Beta calculation for a list of stocks

Author: spaceman1969

Creation Date: 1/28/2010 12:26 PM

Wealth Lab » Technical Indicators » Beta calculation for a list of stocks

spaceman1969

1/28/2010 12:26 PM

I am new to programming in C#. I have some code that calculates Beta on a list of stocks and output the values to a text file.

Anyone who can see why the script is not working?

Thanks,
Jorgen

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I am new to programming in C#. I have some code that calculates Beta on a list of stocks and output the values to a text file.

Anyone who can see why the script is not working?

Thanks,
Jorgen

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.IO;

namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
		protected override void Execute()
		{	
			string path = @"C:\Data\ASCII\";
			string file = path + "OO" + ".csv";
			StreamWriter csv = new StreamWriter( file );
		
			for(int s = 0; s < DataSetSymbols.Count; s++)
			{
				SetContext( DataSetSymbols[s], false );	    			
				int period = 900;
				double res = 0;
				DataSeries Beta = new DataSeries( Bars, "Beta" );
				DataSeries Stock = Bars.Close;
				DataSeries Market = GetExternalSymbol( "^GSPC", true ).Close;
				Market = Synchronize( Market );
				DataSeries PctStock = ROC.Series( Stock, 1 );
				DataSeries PctMarket = ROC.Series( Market, 1 );
				DataSeries MarketSq = PctMarket * PctMarket;
				DataSeries ProductSeries = PctStock * PctMarket;
				//  Need to find Linear Regression Slope of Stock return vs. Mkt Return
				double SumMarket = 0;
				double SumMarketSq = 0;
				double SumStock = 0;
				double SumProduct = 0;
				//for(int bar = period; bar < Bars.Count; bar++)
				//{
				SumMarket = SumMarketSq = SumStock = SumProduct = 0;
					//for (int i = bar-period; i <= bar; i++)
				//	{
					SumMarket += PctMarket[Bars.Count-1];
					SumMarketSq += MarketSq[Bars.Count-1];
					SumStock += PctStock[Bars.Count-1];
					SumProduct += ProductSeries[Bars.Count-1];
				//	}				
				res = ( (period*SumProduct)-(SumStock*SumMarket) ) / ( (period*SumMarketSq)-( Math.Pow(SumMarket,2) ) );
			//	}
				csv.WriteLine( DataSetSymbols[s] + ";" + res);
				RestoreContext();
			}
			csv.Close();
			csv = null;
		}	
			
	}
}[/CODE]

Eugene

1/28/2010 12:41 PM

Install Community.Indicators from Extensions and run this code, making sure the number of bars loaded is at least = Beta Period:

CODE:
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aykuts

9/30/2014 6:45 AM

Hi,

I copied / pasted the following code to my strategy:

CODE:
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But the code returns `type or namespace name Beta doesnt exist.... are you missing an assembly difference?` error.

- I think I have an updated version of community components,
- Used `using Community.Components;` in the directives,
- And, despite the fact that I dont need to, I gave a reference to the respective dll that is saved under the wealthlab default folder.

Still, this code doesnt work for me.

Any suggestions?

thanks in advance.

Aykut

aykuts

9/30/2014 6:53 AM

I am sorry, it is the `community indicators` not the `community components` that I should be using.

problem is resolved.

thanks.

Eugene

9/30/2014 6:54 AM

Hi Aykut,

The only suggestion is to carefully reread my post #2 above:

* The very first sentence in post #2 instructs to install Community Indicators.
* The code in #2 doesn't refer to Community Components at all.
* Beta is an indicator. So you need to add a "using Community Indicators"; instead.

I know we've all been there. Happened to me as well. ;)