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Last night under the Subject of "Random Selection of Stocks" I put
together an Explore filtering on stocks that traded in excess of $50
million DOLLARS worth of stock, looking for highly liquid issues.
I got 399 hits and then found myself wondering what those 399 stocks
really represented.
So today I did a little research and thought others might find the
following interesting:
--------------------------------------
Again, this volume study was measured in $DOLLAR value of shares
traded, rather than number of shares trades. All shares traded on the
the major US exchanges were included in the measurements.
The Total $ Volume of all shares traded on 7/17/2003 - $99.2 Billion
I did the Explore (below*) against all issued traded on 7/17.
The Exported file was sorted in descending sequence by DOLLAR value of
the volume for each issue traded.
Top % of Avg Avg
# of Total BETA Institutional
Issues Vol Ownership
on List
3 10%
20 25% 1.76 68.23%
100 48% 1.48 65.85%
200 61% 1.41 68.19%
300 69% 1.36 68.86%
400 75% 1.34 66.71%
The top 400 issues traded a minimum of $50 million USD each.
The other 7067 issues that traded on 7/17 accounted for ONLY 25% of
the total dollar value traded.
Of the top 400 issues, 12 were ETF's that can be shorted without an
uptick..
The top three dollar volume leaders were SPY, QQQ & MSFT in that order.
I like what I see here as a starting point for further analysis. My
slippage over the past few months has been much higher than it used to
be. I expect that focusing on these high volume stocks the slippage
should diminish measurably.
Anyway it is a starting place for evaluating new trading systems (and
even seeing how old trading systems are affected).
Don't know what to expect from Scoring and Ranking, but look forward
to observing Chuck (and Freds) guidance or examples as they apply to
this starting basket of issues.
BTW... Fred mentioned a seperate forum for PTxxxx. Anyone know the web
address for that?
If anyone is interested in the exported .csv file let me know.
Phsst
------ EXPLORATION USED -----------------
// 1ExploreDollarVolumes
MktCap = GetExtraData("SharesFloat") * ( (O + H + L + C) / 4 ) * 1000000;
InstHldgs = GetExtraData("InstHolds");
Beta = GetExtraData("Beta");
PEG = GetExtraData("PEG");
QRS = GetExtraData("QRS");
DailyDollarVolume = V * ( (O + H + L + C) / 4);
Filter = DailyDollarVolume > 50000000;
//Buy = 1;
//Filter = IssueType == "A";
Filter = 1;
AddColumn(Close,"Close", 6.2);
AddColumn(DailyDollarVolume,"DolVol",12.0);
AddColumn(MktCap,"MktCap",12.0);
AddColumn(DailyDollarVolume / MktCap,"%ofFloat",10.5);
AddColumn(Beta,"Beta",6.2);
AddColumn(PEG,"PEG Ratio",6.2);
AddColumn(QRS,"QRS",3.0);
AddColumn(InstHldgs,"InstHldgs",6.2);
//AddTextColumn(IssueType,"IssueType");
//IssueType = GetExtraData("IssueType");
/* IssueType(s)
0 - Common Stock
1 - Preferred Stock
2 - Warrant or Right
3 - Convertable Bond (NONE)
7 - CEF
A - Market Index
F - ADR
% - ETF
*/
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