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PureBytes Links
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FWIW, from barcharts.com's support
area:
Learning Center - Weighted
Alpha
The Alpha is a measure of how much a stock has
risen or fallen over a one year period. The original research was restricted to
large cap stocks, so the corresponding rise in the S&P 500 index was
subtracted, however as there are a number of interesting stocks that do not fit
well into any category, and others that fit into more than one category the
results are presented without subtracting any index.
Barchart.com takes this Alpha (measure of how much
a stock has changed in the one year period) and weights this, assigning more
weight to recent activity, and less (0.5 factor) to activity at the beginning of
the period. Thus the weighted alpha is a measure of one year growth with an
emphasize on the most recent price activity.
A stock whose price has risen over the one year
period will have a positive weighted alpha. A stock whose price has not changed
in the period will have a small weighted alpha and a stock whose price has
dropped over the period will have a negative weighted alpha.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, September 20, 2003 7:22
AM
Subject: RE: [amibroker] Alpha-Beta
Trading System (Part 2)
Anthony: excellent information on Alpha....I
received plain text messages without figures; are the figuresavailable
somehow?One of my favorite sites to look at nice stocks with nice
charts is <A
href="">http://www2.barchart.com/sectors.asp?sec=top~100~stocks.sec&level=2&title=Top+100+Stocks(word
wrap may alter this link).As an alternate, you can go here, and then
click on Top 100 stocks<A
href="">http://www2.barchart.com/sectors.aspThese
stocks are sorted by "weighted alpha", and I am not sure it is thesame
alpha you refer to in your messages. Plus I do not know what kindof
"weighting" is applied. But these are fantastic looking charts
(justlook at the column of YTD% increase)--but are after long and
generousrunups. I have long tried to anticipate the stocks that
are listed in theTop100. They get into the top 100 well after having
started nice,consistent uptrends. I would love to know a method to
spot these closerto their "launch points".Are you planning to
publish any AFL code to explore for stocks have goodalpha
values???Thanks for a great set of
messages.Ken-----Original Message-----From: Anthony
Faragasso [mailto:ajf1111@xxxxxxxx] Sent: Saturday, September 20, 2003
5:42 AMTo: amibroker@xxxxxxxxxxxxxxxCc: advenosa@xxxxxxxxxxxx; Al;
Herman van den Bergen; Steve; SteveSidleySubject: [amibroker]
Alpha-Beta Trading System (Part 2)Alpha-Beta Trading System (Part 2):
Trading for the Risk-AverseThe common image of a conservative and
risk-averse stock investor is onewhobuys Blue Chips and holds on to
them forever. But it is not true thattherisk-averse cannot trade
short-term and compound his gains.By picking stocks which will outperform
the general market and yet arenot'risky', the conservative can trade
short term without having sleeplessnights. How is this done?In a
previous article "Trading With A Stock's Alpha", we
dicussedpickingstocks by their Alpha values instead of Beta. To
recapitulate, the Betaisthe slope of a regression line in a
scatter-graph of stock vs Index,whilethe Alpha is the point at which
this line cuts the Y-axis.Non-mathematically speaking, stocks with
high Beta , but a low Alphamove upand down with the market sentiment,
while stocks with high Alphas are toagreater degree independent of the
Index.In this article, we show examples of stocks on the Main Board
with highAlpha and stocks with high Beta. But first, to prove our theory
that inastrong 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 andFig. 2 is a
similiar histogram of Main Board stocks. In a strong markettheAlpha
frequency histogram will have more stocks on its right side, whileina
weak market, the frequency histogram will have more stocks on
theleft.You can see that both markets are at the moment not very
strong, but theMain Board is slighly better than SESDAQ in the sense that
it hasslighlymore 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 ending960408.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 Poloaremore resistant to downward
moves of the Index-in this case we used theSTII.On the other hand,
UPP, Hong Kong Land and UOB F will move up very fastwhenthe Index
moves up and also move down very fast when the Index movesdownbecause
of their low Alpha values.But look again at stocks with high Alpha as
well as Beta such as MarcoPolo.They are relatively safe yet relatively
fast. Should risk-averse butyearning-to-trade investors pick such stocks?.
Of course one mustrememberthat the status quo does not remain forever,
that what is strong andfastthis week may not be the same next week.
Studies like this are thereforetobe updated every
day.Fig. 5. Alpha-Beta profile of a Blue Chip. The thicker
line is thealpha.Due to their high liquidity, Blue Chip stocks
usually have high Beta butlowAlpha. Fig. 5 shows the Alpha-Beta graph
of UOB Foreign. Note that itsBetais 1.74 while its Alpha is -0.44. The
thinner Beta line shows regularswingsup and down as profit-taking
takes place. Experienced trader's familiarwitha Blue Chip's price
channel or range of trading can catch it at thebottomof the channel
and sell it on the way up.In conclusion, it can be seen that in a
market there may be some stockswhich can offer proportionately more gains
without proportionately morerisk. These are the stocks for the eager but
more conservativeinvestors.---Outgoing mail is certified
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