谁知道R／S分析的程序代码

cls

load data[3089, 2] = lunwen\99201.txt@读入数据@

datr = data[2:3089, 2]:

@计算个数@

obv = (int((rows(datr)-1)/100)*100)+2

print obv

@通计算对数回报率@

datn = (ln(datr[2:obvl./datr[l:obv-1]))

obv = obv-1

@计算AR(1)@

yi = datn[2:obv]

xi = datn[l:obv-1]

xi2 = xi^2

ybar = meanc(yi)

xbar = meanc(xi)

xly = yi.*xi

sxx = obv*sumc(xi2) - (sumc(xi))_2

sxy = obv*(sumc(xly)) - sumc(xi)*sumc(yi):

slope = sxy/sxx const = ybar-slope*xbar

datx = datn[2:obv] - (const + slope*datn[l:obv-1]):

clear datn obv = rows(datx)

@计算R/S值@

I = 4

do while i<obv-1

i = i+l n = floor(obv/i) num = (obv/i):

if n<num:

goto repeat

endif

x1 = reshape(datx, n, i)

mu = meanc(xl)

xl = xl - mu

sig = stdc (xl)

sum = cumsumc(xl)

max = maxc(sum) min = minc(sum):

r=max-min

rs=r/sig

a=log(meanc(rs))b=log(i)

c=a^b^i

?c

repeat:endo

两种办法，一是自己写公式，我试过，但是只能在大周期上显示，改变了周期后要调整参数，就是四根均线，然后将均线乘以一个系数。另一种方法是用Mt4中的envelopes指标，改变周期和偏差值也可以，这两种办法都需要在不同周期上使用不同的参数。不一定非要用薛斯通道，只要方法合适，能在图表上拟合出来就可以了，我也百度了很久，也始终找不到。

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