Thanks for pointing out the error in pctgain. Sorry about that. Is this OK:
pctgain:= ((b1-b)/abs(b+.0000001))*100; //abs((b1/b)-1);
If so, the scan will be:
//Slope formula by Bob Jagow
//Back-testing version by Roy Yorgensen
output = "linregslope.lst";
input="portfoli.lst";
issuetype common;
//Daystoload = 50; //needed for R2 bug!!!
integer i,j, S, Sx, Sxx;
float b,b1, Sxy, Sy, pctgain;
b1:=0; // only initialized first time
for j = 0 to -10 step -1 do
// reset all variables at stat of next loop
S := 21;
Sx := 0;
Sxx := 0;
Sxy := 0;
Sy := 0;
for i = j+(1 - S) to j do
Sx := Sx + i;
Sy := Sy + close(i); //kills println wo d2ld
Sxx := Sxx + i*i;
Sxy := Sxy + i*close(i); //kills println wo d2ld
//Sxy := Sxy + i*close(0);
next i;
b := (S*Sxy - Sx*Sy)/(S*Sxx - Sx*Sx);
if
j<0 and // eliminate first pass thru loop
b< b1 then
pctgain:= ((b1-b)/abs(b+.0000001))*100; //abs((b1/b)-1);
endif;
if
j<0 // eliminate first pass thru loop
and b< b1 then
println symbol,",", date(i),",",close(0):6:3,","," B: ",
b:4:3,","," B1: ", b1:4:3,","," Pctgain: ", pctgain:4:2;
b1:=b; // save current for next test
else
b1:=b; // must alway set ot last day's val
endif;
next j; |
