Hi Adam,

Is there a method to change the benchmark from the SPY?

Not currently but it's on our (very long) to-do list but not ETA.

Also, is there a method to add breakpoints in the code? And a workspace that details what values my parameters are assigned as I step thru the code?

Debugging is on that list as well. You can just do log.debug(my_var) to get it printed to the log console.

Lastly, for the TA-Lib function ta.BETA...what is the relative index when this beta is calculated? is it SP500?

I'm actually not sure about that one, will have to look into it. Do you not pass it another series as a parameter?

Hello Adam/Thomas,

These are comments from the the 'C' source for ta.BETA:

/** DESCRIPTION OF ALGORITHM:
    *   The Beta 'algorithm' is a measure of a stocks volatility vs from index. The stock prices  
    *   are given in inReal0 and the index prices are give in inReal1. The size of these vectors  
    *   should be equal. The algorithm is to calculate the change between prices in both vectors  
    *   and then 'plot' these changes are points in the Euclidean plane. The x value of the point  
    *   is market return and the y value is the security return. The beta value is the slope of a  
    *   linear regression through these points. A beta of 1 is simple the line y=x, so the stock  
    *   varies percisely with the market. A beta of less than one means the stock varies less than  
    *   the market and a beta of more than one means the stock varies more than market. A related  
    *   value is the Alpha value (see TA_ALPHA) which is the Y-intercept of the same linear regression.  
    */  

P.

I suspect that we implemented ta.BETA incorrectly. We intended to only release ta-lib functions that only accept one stock. This one appears to have slipped through. I don't know what it actually does =)

Hello Dan,

I've never used ta.BETA before but it might offer a customisable benchmark - see attached. If you set context.sid and context.benchmark to be the same SID you get a flat line.

P.

It is possible that we implemented it correctly after all. That would be a pleasant surprise - it didn't receive a lot of deep thought.

Hi Guys,
If possible, please make changing benchmark a high priority :)

Regarding beta, this is how i understand the calculation:
beta = COVAR(Return % EQUITY, Return % INDEX) / VAR(Return % INDEX)

Peter: I'm assuming the "index" that's being used as default is the SP500? However, based on your code above, i could conceivably set the context.benchmark to what i want it to be?

...context.benchmark with respect to beta

Hello Adam,

To be honest you know as much as I do. The TA-Lib library is great but documentation is lacking which is why I sometimes look at the 'C' source code for some ideas or even just for the parameters and their order. It looks as though ta.BETA is the slope of the regression line in the CAPM - see http://www.moneychimp.com/articles/risk/regression.htm. Although mentioned in my first post above I don't immediately see that ta.ALPHA - the intercept of the line - was ever implemented. If my understanding is correct you can use ta.BETA to calculate beta with any 'index' you choose.

P.