Model update? - Githubissues

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Model update? #7

Open krijnsent opened 4 years ago

krijnsent commented 4 years ago

Hi there, I took your excel file and updated the model quite a bit. Have a look: https://www.dropbox.com/s/3qlzevztkyepuja/sf2.xlsx?dl=0

Main updates:

found a source with e.g. daily blocks and prices and linked it
made the model more flexible with some input cells for "amount to deduct from stock", start-month of check, so you can play around.
Some minor adjustment to the S/F formula (correcting for days in month)

Open questions:

normal excel doesn't have the LEVERAGE formula and my alternative gives a different outcome
do you have open sources for e.g. gold & silver?

ghost commented 4 years ago

leverage is just the trace of the hat matrix

krijnsent commented 4 years ago

leverage is just the trace of the hat matrix

Ehhh, you lost me a bit in the statistics lingo there... I found this explanation: https://stats.stackexchange.com/questions/208242/hat-matrix-and-leverages-in-classical-multiple-regression The explanation is quite good, but am at a loss on how to calculate it. Basically, the calculation is needed to prove that the line that was found with the regression fits okay and doesn't have too many outliers, right?

ghost commented 4 years ago

The hat matrix H= X(XTX)'XT Where X is a matrix of 2 columns length n where the first column is all 1s and the second column is lns2f_i...n T means transpose and ' means inverse. The leverage is the diagonal elements of the resulting matrix. ie leverage=Hii for i =1 to n. Leverage tells us how much influence a particular point had on the regression. We dont want to have few points with high leverage influencing our regression line.