X-Trader escribió:
1. En la suma hay tres pares (USDCHF, USDJPY y USDCAD) que tienen diferentes valores del pip (el resto tienen un valor de 10$), no sería más adecuado igualar el valor por pip de todos los pares?
Lo mejor para esto, es hacerlo porcentualmente (%) con lo que tienes una visión más normalizada...y es obligatorio un alisado exponencial...
12 5 5 0.35 5
240 EURO/DOLAR 100 PESETA/CENTIMO 100 7 100
1,680 PRECIO 700 PRECIO 700 49 700
PRECIO CORRELACIO CORRELACIO 1
ALISADO DIFERENCIA SIGUE MEDIA DIFERENCIA SIGUE MEDIA COEFF CORR CORRELACION
92.97 0.00% 0.00% 0.00% 0.00%
92.97 0.00% 0.00% 0.00% 0.19% 0.19% 0.00% 0%
92.97 0.00% 0.00% 0.00% 0.31% 0.50% 0.00% 0%
92.97 0.00% 0.00% 0.00% 0.17% 0.67% 0.00% 0%
92.97 0.00% 0.00% 0.00% 0.21% 0.88% 0.01% 0%
92.96 0.00% -0.01% 0.00% 0.22% 1.10% 0.01% 0%
92.96 0.00% -0.01% 0.00% 0.26% 1.37% 0.01% 0%
92.96 0.00% -0.01% 0.00% 0.23% 1.60% 0.02% 0%
92.95 -0.01% -0.02% 0.00% 0.28% 1.88% 0.02% 0%
92.94 -0.01% -0.03% 0.00% 0.61% 2.49% 0.03% 0%
92.94 -0.01% -0.03% 0.00% 0.72% 3.20% 0.04% 0%
92.93 -0.01% -0.04% 0.00% 0.49% 3.69% 0.05% 0%
92.93 -0.01% -0.05% 0.00% 0.31% 4.01% 0.06% 0%
92.92 -0.01% -0.05% 0.00% 0.23% 4.24% 0.07% 0%
92.92 -0.01% -0.06% 0.00% 0.06% 4.30% 0.09% 0%
92.91 -0.01% -0.07% 0.00% 0.23% 4.53% 0.10% 0%
92.90 -0.01% -0.07% 0.00% 0.32% 4.85% 0.11% 0%
92.90 -0.01% -0.08% 0.00% 0.45% 5.30% 0.13% 0%
92.89 -0.01% -0.08% 0.00% 0.28% 5.57% 0.14% 0%
92.89 -0.01% -0.09% 0.00% 0.18% 5.75% 0.16% 0%
92.88 -0.01% -0.10% 0.00% 0.02% 5.77% 0.17% 0%
92.88 -0.01% -0.10% 0.00% 0.10% 5.88% 0.19% 0%
92.87 0.00% -0.11% 0.00% 0.09% 5.97% 0.21% 0%
92.87 0.00% -0.11% 0.00% 0.30% 6.26% 0.22% 0%
92.87 0.00% -0.11% 0.00% 0.65% 6.91% 0.24% 0%
92.87 0.00% -0.11% 0.00% 0.18% 7.09% 0.26% 0%
92.87 0.00% -0.11% 0.00% 0.13% 7.22% 0.28% 0%
92.87 0.00% -0.11% 0.00% 0.13% 7.35% 0.30% 0%
92.87 0.00% -0.11% 0.00% 0.09% 7.44% 0.32% 0%
92.87 0.00% -0.11% 0.00% 0.11% 7.55% 0.34% 0%
92.87 0.00% -0.11% -0.01% 0.16% 7.71% 0.36% 0%
92.87 0.00% -0.11% -0.01% 0.13% 7.84% 0.39% 0%
92.87 0.00% -0.11% -0.01% 0.23% 8.07% 0.41% 0%
92.87 0.00% -0.11% -0.01% 0.05% 8.12% 0.43% 0%
92.87 0.00% -0.11% -0.01% 0.01% 8.14% 0.45% 0%
92.87 0.00% -0.10% -0.01% 0.01% 8.15% 0.47% 0%
92.87 0.00% -0.10% -0.01% 0.25% 8.40% 0.50% 0%
92.87 0.00% -0.10% -0.01% 0.08% 8.48% 0.52% 0%
92.88 0.00% -0.10% -0.01% 0.23% 8.72% 0.54% 0%
92.88 0.00% -0.10% -0.01% 0.22% 8.94% 0.57% 0%
92.88 0.00% -0.10% -0.01% 0.09% 9.03% 0.59% 0%
92.88 0.00% -0.10% -0.01% 0.07% 9.10% 0.61% 0%
92.88 0.00% -0.09% -0.01% 0.03% 9.14% 0.64% 0%
92.89 0.00% -0.09% -0.01% 0.02% 9.16% 0.66% 0%
92.89 0.00% -0.09% -0.01% 0.12% 9.28% 0.69% 0%
92.89 0.00% -0.08% -0.01% 0.22% 9.50% 0.71% 0%
92.90 0.00% -0.08% -0.01% 0.10% 9.61% 0.74% 0%
92.90 0.00% -0.08% -0.01% 0.15% 9.75% 0.76% 0%
92.90 0.00% -0.07% -0.01% 0.22% 9.97% 0.79% 0%
92.91 0.00% -0.07% -0.01% 0.18% 10.15% 0.82% 0%
92.91 0.00% -0.07% -0.01% 0.18% 10.33% 0.84% 1.00
92.91 0.00% -0.06% -0.01% 0.13% 10.46% 0.87% -0.99 0.99
92.92 0.00% -0.06% -0.01% 0.05% 10.51% 0.90% -0.99 0.99
92.92 0.00% -0.05% -0.01% 0.14% 10.65% 0.93% -0.99 0.98
92.92 0.00% -0.05% -0.01% 0.07% 10.73% 0.95% -0.99 0.98
92.93 0.00% -0.05% -0.01% 0.10% 10.82% 0.98% -0.99 0.97
92.93 0.00% -0.04% -0.01% 0.06% 10.88% 1.01% -0.99 0.97
92.93 0.00% -0.04% -0.01% -0.01% 10.87% 1.04% -0.99 0.96
92.94 0.01% -0.03% -0.01% -0.01% 10.86% 1.07% -0.98 0.96
92.94 0.00% -0.03% -0.01% 0.20% 11.06% 1.10% -0.98 0.95
92.95 0.00% -0.02% -0.01% 0.18% 11.24% 1.12% -0.98 0.94
92.95 0.00% -0.02% -0.01% 0.06% 11.30% 1.15% -0.98 0.94
92.95 0.00% -0.02% -0.01% 0.02% 11.32% 1.18% -0.97 0.93
92.95 0.00% -0.02% -0.01% 0.14% 11.46% 1.21% -0.97 0.93
92.95 0.00% -0.02% -0.01% 0.42% 11.88% 1.24% -0.97 0.92
92.95 0.00% -0.02% -0.01% 0.29% 12.17% 1.27% -0.96 0.92
92.95 0.00% -0.02% -0.01% 0.47% 12.64% 1.31% -0.96 0.91
92.95 0.00% -0.03% -0.01% 0.31% 12.95% 1.34% -0.95 0.91
92.94 0.00% -0.03% -0.01% 0.14% 13.09% 1.37% -0.95 0.90
92.94 0.00% -0.03% -0.01% 0.21% 13.30% 1.41% -0.95 0.90
92.94 0.00% -0.03% -0.01% 0.32% 13.62% 1.44% -0.94 0.89
92.94 0.00% -0.03% -0.01% 0.46% 14.07% 1.48% -0.94 0.89
92.94 0.00% -0.03% -0.01% 0.46% 14.53% 1.52% -0.93 0.88
92.94 0.00% -0.03% -0.01% 0.16% 14.69% 1.55% -0.93 0.87
92.94 0.00% -0.03% -0.01% 0.15% 14.84% 1.59% -0.92 0.87
92.94 0.00% -0.04% -0.01% 0.14% 14.98% 1.63% -0.92 0.86
92.94 0.00% -0.04% -0.01% 0.05% 15.03% 1.67% -0.92 0.86
92.94 0.00% -0.04% -0.01% 0.06% 15.09% 1.71% -0.91 0.85
92.93 0.00% -0.04% -0.01% 0.24% 15.32% 1.74% -0.91 0.85
92.93 0.00% -0.04% -0.01% 0.28% 15.61% 1.78% -0.91 0.84
92.93 0.00% -0.04% -0.01% 0.23% 15.83% 1.82% -0.91 0.84
92.93 0.00% -0.05% -0.01% 0.05% 15.88% 1.86% -0.91 0.83
92.92 0.00% -0.05% -0.01% 0.32% 16.20% 1.90% -0.91 0.83
92.92 0.00% -0.05% -0.01% 0.30% 16.50% 1.95% -0.91 0.82
92.91 -0.01% -0.06% -0.01% 0.18% 16.68% 1.99% -0.92 0.82
92.91 0.00% -0.06% -0.01% 0.37% 17.05% 2.03% -0.92 0.81
92.91 0.00% -0.07% -0.01% 0.40% 17.46% 2.08% -0.93 0.81
92.90 0.00% -0.07% -0.01% 0.40% 17.85% 2.12% -0.93 0.80
92.90 -0.01% -0.08% -0.01% 0.25% 18.10% 2.17% -0.94 0.80
92.89 -0.01% -0.09% -0.01% 0.12% 18.22% 2.21% -0.95 0.79
92.88 -0.01% -0.09% -0.01% 0.23% 18.45% 2.26% -0.96 0.79
92.88 -0.01% -0.10% -0.01% 0.23% 18.68% 2.31% -0.97 0.78
92.87 -0.01% -0.11% -0.01% 0.25% 18.93% 2.35% -0.97 0.78
92.86 -0.01% -0.12% -0.01% 0.34% 19.26% 2.40% -0.97 0.77
92.85 -0.01% -0.13% -0.01% 0.12% 19.38% 2.45% -0.97 0.77
92.84 -0.01% -0.14% -0.02% 0.47% 19.86% 2.50% -0.97 0.76
92.83 -0.01% -0.15% -0.02% 0.35% 20.21% 2.55% -0.97 0.76
92.82 -0.01% -0.16% -0.02% 0.42% 20.63% 2.60% -0.96 0.75
92.81 -0.01% -0.17% -0.02% 0.17% 20.79% 2.65% -0.96 0.75
92.81 0.00% -0.17% -0.02% 0.48% 21.27% 2.71% -0.95 0.75
92.81 0.00% -0.18% -0.02% 0.37% 21.64% 2.76% -0.95 0.74
92.80 0.00% -0.18% -0.02% 0.19% 21.82% 2.81% -0.95 0.74
92.80 0.00% -0.18% -0.02% 0.25% 22.07% 2.87% -0.94 0.73
92.80 0.00% -0.19% -0.02% 0.12% 22.19% 2.92% -0.94 0.73
92.80 0.00% -0.19% -0.02% 0.10% 22.29% 2.98% -0.94 0.72
92.79 0.00% -0.19% -0.02% 0.05% 22.34% 3.04% -0.94 0.72
92.79 0.00% -0.19% -0.02% 0.05% 22.39% 3.09% -0.94 0.71
92.79 0.00% -0.19% -0.02% 0.27% 22.66% 3.15% -0.95 0.71
92.79 0.00% -0.19% -0.02% 0.06% 22.72% 3.20% -0.95 0.70
92.79 0.00% -0.19% -0.02% 0.12% 22.84% 3.26% -0.95 0.70
92.79 0.00% -0.19% -0.02% -0.02% 22.82% 3.31% -0.95 0.69
92.79 0.00% -0.19% -0.02% 0.02% 22.84% 3.37% -0.96 0.69
92.79 0.00% -0.19% -0.02% 0.07% 22.91% 3.43% -0.96 0.68
92.79 0.00% -0.19% -0.02% 0.18% 23.09% 3.48% -0.96 0.68
92.80 0.00% -0.19% -0.02% 0.32% 23.42% 3.54% -0.97 0.67
92.80 0.00% -0.18% -0.02% 0.30% 23.72% 3.60% -0.97 0.67
92.80 0.00% -0.18% -0.02% 0.09% 23.81% 3.65% -0.97 0.66
92.80 0.00% -0.18% -0.03% 0.15% 23.96% 3.71% -0.97 0.66
92.80 0.00% -0.18% -0.03% 0.30% 24.26% 3.77% -0.98 0.66
92.81 0.00% -0.17% -0.03% 0.05% 24.31% 3.83% -0.98 0.65
92.81 0.00% -0.17% -0.03% 0.23% 24.54% 3.89% -0.98 0.65
92.82 0.01% -0.16% -0.03% 0.11% 24.65% 3.95% -0.98 0.64
92.82 0.01% -0.16% -0.03% 0.24% 24.89% 4.01% -0.99 0.64
92.83 0.01% -0.15% -0.03% 0.09% 24.98% 4.07% -0.99 0.63
92.83 0.01% -0.15% -0.03% 0.03% 25.01% 4.13% -0.99 0.63
92.84 0.01% -0.14% -0.03% 0.01% 25.02% 4.19% -0.99 0.62
92.85 0.01% -0.13% -0.03% 0.01% 25.03% 4.25% -0.99 0.62
92.85 0.00% -0.13% -0.03% 0.09% 25.12% 4.30% -0.99 0.61
92.86 0.00% -0.12% -0.03% 0.25% 25.37% 4.37% -1.00 0.61
92.86 0.01% -0.12% -0.03% 0.10% 25.47% 4.43% -1.00 0.60
92.87 0.01% -0.11% -0.03% 0.12% 25.58% 4.49% -1.00 0.60
92.87 0.01% -0.11% -0.03% 0.04% 25.62% 4.55% -1.00 0.60
92.87 0.01% -0.10% -0.03% -0.02% 25.60% 4.61% -1.00 0.59
92.88 0.01% -0.10% -0.03% 0.01% 25.60% 4.67% -1.00 0.59
92.89 0.01% -0.09% -0.03% 0.03% 25.64% 4.73% -1.00 0.58
92.89 0.01% -0.08% -0.03% 0.17% 25.81% 4.79% -1.00 0.58
92.90 0.01% -0.07% -0.03% 0.29% 26.10% 4.85% -0.99 0.57
92.91 0.01% -0.06% -0.03% 0.02% 26.13% 4.91% -0.99 0.57
92.92 0.01% -0.05% -0.03% -0.01% 26.12% 4.97% -0.99 0.56
92.93 0.01% -0.04% -0.03% -0.04% 26.08% 5.03% -0.99 0.56
92.94 0.01% -0.03% -0.03% 0.01% 26.09% 5.09% -0.99 0.55
92.95 0.01% -0.02% -0.03% 0.00% 26.08% 5.15% -0.98 0.55
92.96 0.01% -0.01% -0.03% 0.06% 26.14% 5.21% -0.98 0.55
92.97 0.01% 0.00% -0.03% 0.07% 26.21% 5.27% -0.98 0.54
92.98 0.01% 0.01% -0.03% 0.07% 26.28% 5.33% -0.97 0.54
92.99 0.01% 0.02% -0.03% 0.21% 26.49% 5.39% -0.97 0.53
92.99 0.01% 0.03% -0.03% 0.07% 26.56% 5.45% -0.96 0.53
93.00 0.01% 0.04% -0.03% 0.05% 26.61% 5.51% -0.96 0.52
93.01 0.01% 0.04% -0.03% 0.07% 26.69% 5.57% -0.95 0.52
93.02 0.01% 0.05% -0.03% 0.13% 26.81% 5.63% -0.94 0.52
93.03 0.01% 0.06% -0.03% 0.11% 26.93% 5.69% -0.93 0.51
93.03 0.01% 0.07% -0.03% 0.12% 27.05% 5.75% -0.91 0.51
93.04 0.01% 0.08% -0.03% 0.13% 27.18% 5.81% -0.90 0.50
X-Trader escribió:
2. ¿Por qué suma y no resta? No prefieres ver las desviaciones mejor?. Y ojo porque si haces diferencias, entonces USDCHF, USDJPY y USDCAD deben ir sumados al estar. No sé, quizás si pones la fórmula de esa línea me haga una idea de cómo es el asunto.
,
Esto también es muy importante, las correlaciones están para sacar la medición a lo que más nos interese, si nos interesa únicamente la desviación negativa entre los puntos A y B, hemos de configurarlo para tal propósito.
PD: digo esto, porque podemos modelizarlo todo, para que empiece a medir la correlación en un punto concreto de roturo por ejemplo, porque si ponemos correlaciones históricas o de seguimiento, muchas veces nos encontramos que cuando nos da la señal de correlación ya ha hecho el camino, por la distancia que pueda existir en una correlación 0,80 hasta que converge a la medición adecuada, a una correlación de 0 a suma resta dado unos puntos de rotura establecidos, por lo que también es de suma importancia modelizar el entorno de trabajo bajo unas condiciones.