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Kurtosis Exact by MG Ferreira
From: Khamsina <Khamsina11 / at / yahoo.fr>
To: equismetastock / at / yahoogroups.com <equismetastock / at / yahoogroups.com>
Date: Monday, May 16, 2005, 9:51:32 AM
Subject: [EquisMetaStock Group] "Skewness" and "Kurtosis" indicators (MG)

Hi MG,

One month ago, you posted the "Skewness" and "Kurtosis" codes.
Unfortunately, my computer crashed and I did not have time to save them.
I perused the Yahho archives but I just can't retrieve them.

Might you post them again ?

Thanks in advance,

Marco

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From: mgf_za_1999 <no_reply / at / yahoogroups.com>
To: equismetastock / at / yahoogroups.com <equismetastock / at / yahoogroups.com>
Date: Monday, May 16, 2005, 2:32:49 PM
Subject: [EquisMetaStock Group] Re: "Skewness" and "Kurtosis" indicators (MG)

Here they are. Note that there are four indicators, the exact and approximated kurtosis and bias. Just cut on the dotted lines.

PS: Is it this difficult to get previous posts? There are a few posts that I have in the back of my mind that I want to retrieve at a later stage. I know I struggled with this before, but hoped you could just search for say 'Kurtosis' somewhere and get all the related posts.

Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com


Kurtosis Exact

{MG Ferreira
http://www.ferra4models.com
For personal use only}

xx := INDICATOR;
ll := Input("Kurtosis length:",1,20,20);
yy := ROC(xx,1,%);
mm := Mov(yy,ll,S);
ss := Power(yy-mm,4)+
Power((Ref(yy,-1)-mm)*(ll>1),4)+
Power((Ref(yy,-2)-mm)*(ll>2),4)+
Power((Ref(yy,-3)-mm)*(ll>3),4)+
Power((Ref(yy,-4)-mm)*(ll>4),4)+
Power((Ref(yy,-5)-mm)*(ll>5),4)+
Power((Ref(yy,-6)-mm)*(ll>6),4)+
Power((Ref(yy,-7)-mm)*(ll>7),4)+
Power((Ref(yy,-8)-mm)*(ll>8),4)+
Power((Ref(yy,-9)-mm)*(ll>9),4)+
Power((Ref(yy,-10)-mm)*(ll>10),4)+
Power((Ref(yy,-11)-mm)*(ll>11),4)+
Power((Ref(yy,-12)-mm)*(ll>12),4)+
Power((Ref(yy,-13)-mm)*(ll>13),4)+
Power((Ref(yy,-14)-mm)*(ll>14),4)+
Power((Ref(yy,-15)-mm)*(ll>15),4)+
Power((Ref(yy,-16)-mm)*(ll>16),4)+
Power((Ref(yy,-17)-mm)*(ll>17),4)+
Power((Ref(yy,-18)-mm)*(ll>18),4)+
Power((Ref(yy,-19)-mm)*(ll>19),4);
ll*(ll+1)*ss/(Power(Stdev(yy,ll)*
Sqrt(ll/(ll-1)),4)*(ll-1)*(ll-2)*(ll-3))-3*(ll-1)*(ll-1)/((ll-2)*(ll-3)

 

 


Kurtosis Approx

{MG Ferreira
http://www.ferra4models.com
For personal use only}

xx := INDICATOR;
ll := Input("Kurtosis length:",1,9999,50);
yy := ROC(xx,1,%);
mm := Mov(yy,ll,S);
dd := yy - mm;
ll*(ll+1)*Sum(Power(dd,4),ll)/(Power(Stdev(yy,ll)*
Sqrt(ll/(ll-1)),4)*(ll-1)*(ll-2)*(ll-3))-3*(ll-1)*(ll-1)/((ll-2)*(ll-3))

 

/cut

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From: Khamsina <Khamsina11 / at / yahoo.fr>
To: equismetastock / at / yahoogroups.com <equismetastock / at / yahoogroups.com>
Date: Tuesday, May 17, 2005, 12:12:56 AM
Subject: [EquisMetaStock Group] Re: "Skewness" and "Kurtosis" indicators (MG)

Hi MG,

It is very kind of you ;-)

Many thanks !

Regards,

Marco

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