|
PureBytes Links
Trading Reference Links
|
Anthony: excellent information on Alpha....
I received plain text messages without figures; are the figures
available somehow?
One of my favorite sites to look at nice stocks with nice charts is
http://www2.barchart.com/sectors.asp?sec=top~100~stocks.sec&level=2&titl
e=Top+100+Stocks
(word wrap may alter this link).
As an alternate, you can go here, and then click on Top 100 stocks
http://www2.barchart.com/sectors.asp
These stocks are sorted by "weighted alpha", and I am not sure it is the
same alpha you refer to in your messages. Plus I do not know what kind
of "weighting" is applied. But these are fantastic looking charts (just
look at the column of YTD% increase)--but are after long and generous
runups.
I have long tried to anticipate the stocks that are listed in the
Top100. They get into the top 100 well after having started nice,
consistent uptrends. I would love to know a method to spot these closer
to their "launch points".
Are you planning to publish any AFL code to explore for stocks have good
alpha values???
Thanks for a great set of messages.
Ken
-----Original Message-----
From: Anthony Faragasso [mailto:ajf1111@xxxxxxxx]
Sent: Saturday, September 20, 2003 5:42 AM
To: amibroker@xxxxxxxxxxxxxxx
Cc: advenosa@xxxxxxxxxxxx; Al; Herman van den Bergen; Steve; Steve
Sidley
Subject: [amibroker] Alpha-Beta Trading System (Part 2)
Alpha-Beta Trading System (Part 2): Trading for the Risk-Averse
The common image of a conservative and risk-averse stock investor is one
who
buys Blue Chips and holds on to them forever. But it is not true that
the
risk-averse cannot trade short-term and compound his gains.
By picking stocks which will outperform the general market and yet are
not
'risky', the conservative can trade short term without having sleepless
nights. How is this done?
In a previous article "Trading With A Stock's Alpha", we dicussed
picking
stocks by their Alpha values instead of Beta. To recapitulate, the Beta
is
the slope of a regression line in a scatter-graph of stock vs Index,
while
the Alpha is the point at which this line cuts the Y-axis.
Non-mathematically speaking, stocks with high Beta , but a low Alpha
move up
and down with the market sentiment, while stocks with high Alphas are to
a
greater degree independent of the Index.
In this article, we show examples of stocks on the Main Board with high
Alpha and stocks with high Beta. But first, to prove our theory that in
a
strong market, more shares will be at the higher range of Alpha values,
compare Fig.1 and 2.
Fig. 1. Frequency histogram of the Alpha values of Main Board stocks.
Fig. 1 is a frequency histogram of the Alpha values of SESDAQ stocks and
Fig. 2 is a similiar histogram of Main Board stocks. In a strong market
the
Alpha frequency histogram will have more stocks on its right side, while
in
a weak market, the frequency histogram will have more stocks on the
left.
You can see that both markets are at the moment not very strong, but the
Main Board is slighly better than SESDAQ in the sense that it has
slighly
more proportion of stocks with higher Alpha values.
Fig.2. Frequency histogram of the Alpha values of SESDAQ stocks.
Fig. 3. Top ten Main Board Stocks by Alpha ranking for date ending
960408.
Fig. 4. Top ten Main Board stocks by Beta ranking.
In Fig. 3, we rank the top ten Main Board stocks by Alpha, while in Fig.
4,
we rank the top ten by Beta. So Orchard Parade, Wing Tai and Marco Polo
are
more resistant to downward moves of the Index-in this case we used the
STII.
On the other hand, UPP, Hong Kong Land and UOB F will move up very fast
when
the Index moves up and also move down very fast when the Index moves
down
because of their low Alpha values.
But look again at stocks with high Alpha as well as Beta such as Marco
Polo.
They are relatively safe yet relatively fast. Should risk-averse but
yearning-to-trade investors pick such stocks?. Of course one must
remember
that the status quo does not remain forever, that what is strong and
fast
this week may not be the same next week. Studies like this are therefore
to
be updated every day.
Fig. 5. Alpha-Beta profile of a Blue Chip. The thicker line is the
alpha.
Due to their high liquidity, Blue Chip stocks usually have high Beta but
low
Alpha. Fig. 5 shows the Alpha-Beta graph of UOB Foreign. Note that its
Beta
is 1.74 while its Alpha is -0.44. The thinner Beta line shows regular
swings
up and down as profit-taking takes place. Experienced trader's familiar
with
a Blue Chip's price channel or range of trading can catch it at the
bottom
of the channel and sell it on the way up.
In conclusion, it can be seen that in a market there may be some stocks
which can offer proportionately more gains without proportionately more
risk. These are the stocks for the eager but more conservative
investors.
---
Outgoing mail is certified Virus Free.
Checked by AVG anti-virus system (http://www.grisoft.com).
Version: 6.0.520 / Virus Database: 318 - Release Date: 9/18/2003
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
------------------------ Yahoo! Groups Sponsor ---------------------~-->
ReplayTV: Control live television
Special Sale: 50% off ReplayTV
CNet Ranked #1 over Tivo!
http://us.click.yahoo.com/aUMW7B/A6qGAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|