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Thank you Brian,
I have found it here complete:
http://www.singaporegateway.com/products/nfga/select1.htm
and the second part here:
http://www.singaporegateway.com/products/nfga/select2.htm
Eitan
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> I was interested in looking at the charts myself so I did a search
at
> Purebytes - I did find the post, complete with the image links but
> alas the links are dead.
>
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "eitan_kle" <eitankle@> wrote:
> > >
> > > Hello Anthony,
> > >
> > > I find this post very interesting, it seems that the attached
> > > pictures are not stored with the post, is there a way to view
> them?
> > >
> > > Thanks,
> > > Eitan
> > >
> >
> > Hello Eitan,
> >
> > In the short term you can pick them up at:
> >
> > http://www.purebytes.com/archives/amibroker/
> >
> > There is delay before the current posts are filed there.
> > They can be hard to find.
> >
> > The attachments go to people who receice the forum as mail.
> >
> > I don't use desktop mail (I use Yahoo webmail for extra
security)
> so
> > in the end I elected to receive messages from this group to my
> Yahoo
> > box (just to get the attachments and keep the few that I want to
> > follow up on).
> >
> > Select the receive as mail from the options at this messageboard.
> >
> > brian_z
> >
> >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@>
> > > wrote:
> > > >
> > > > Alpha-Beta Trading System (Part I): Trading With A Stock's
Alpha
> > > >
> > > > Relative strength trading can be one of the ways to trade the
> > > market for
> > > > short-term gains. Basically, the concept of relative strength
> > > trading
> > > > involves picking stocks that will perform better than the
> general
> > > market as
> > > > represented by some Index. Technically a market Index is just
a
> > > basket of
> > > > component stocks, but in reality it is more than the sum of
its
> > > parts. For
> > > > market players, it is a psychological reference, and
therefore
> > has a
> > > > feedback effect. i.e. while prices affect the Index, the
Index
> > also
> > > affects
> > > > prices. This enhances the value of relative strength trading.
> The
> > > two main
> > > > calculations required for trading the relative strength of a
> > stock
> > > are its
> > > > Beta and Alpha.
> > > > The Beta of a stock is defined as the slope of a regression
> line
> > in
> > > a
> > > > scatter graph of paired data points representing percentage
> > changes
> > > of an
> > > > Index and the corresponding change in the price of a stock
(See
> > > Fig. 1). The
> > > > Alpha is the point where this regression line cuts the Y-
axis.
> A
> > > stock's
> > > > Beta can be described as that part of a stock's movement that
> is
> > > influenced
> > > > by the Index. And a stock's Alpha can be regarded as that
part
> of
> > a
> > > stock's
> > > > movement that is independent of the Index's movement. In
> > practical
> > > terms,
> > > > examples of stocks increasing in Alpha could be those with
take-
> > over
> > > > rumours, under strong syndicate manipulation, or having
strong
> > > expectations
> > > > of good results, i.e. factors which make them move more and
more
> > > > independently off the Index.
> > > >
> > > >
> > > >
> > > > Fig. 1. The Alpha and Beta of a stock, where Alpha is the
> > vertical
> > > intercept
> > > > and Beta is the slope of the best fit line.
> > > >
> > > > Using the Beta to trade is quite common, but not so common is
> > using
> > > the
> > > > Alpha. Actually stock picking by Alpha is a much more
rewarding
> > and
> > > less
> > > > dangerous task than stock picking by Beta.
> > > >
> > > > In our method, we design Alpha for trading very short term
i.e.
> 5
> > > days,
> > > > screening with volatility and volume condition indicators.
The
> > > number of
> > > > data points used to calculate Alpha is first aggregated in
> > clusters
> > > to
> > > > produce points for percentage changes over a certain number
of
> > > days. This
> > > > results in a very sparse data set, and the regression line
> > > is "forced" to
> > > > fit these few number of points. The under-fitting is
deliberate
> > > although
> > > > unconventional by statistical theory standards.
> > > >
> > > > To narrow down the choice, step-by-step filtering is next
> > applied.
> > > You could
> > > > first filter by volatility which can be represented by
Average
> > True
> > > Range or
> > > > some other volatility indicator of your choice. The second
> filter
> > > could be
> > > > some sort of Buy*Volume condition, for example:
> > > >
> > > > H>HY1*V>VY1*L>LY1=1
> > > >
> > > > which means: High of today>High of Yesterday AND Low of
> Today>Low
> > of
> > > > Yesterday AND Volume of Today>Volume of Yesterday. A third
> filter
> > > condition
> > > > could be that today's Close should be greater than
yesterday's
> > > Close, i.e.,
> > > >
> > > > C>CY1
> > > >
> > > > It is quite up to the individual to specify the conditions
> > > according to his
> > > > risk profile and his trading style. A totally mechanical
> approach
> > > would not
> > > > be successful. For example on days that the market was down,
> > > filtering with
> > > > a Buy*Volume condition may not be appropriate. On days that
the
> > > market was
> > > > up, C>CY1 should be part of your filter, the stocks to be
> > selected
> > > should
> > > > have moved up with the market with the majority of stocks.
And
> > after
> > > > filtering you could discard any stocks with negligible Volume
> > from
> > > your
> > > > list.
> > > >
> > > > Some guidelines for the use of Alpha and Beta in trading are
> > given
> > > below:
> > > >
> > > > 1 For very short-term trading, stocks with Beta >1.5 can be
> > > regarded as high
> > > > Beta stocks.
> > > >
> > > > 2.Absolute values of Alpha depend on time span of data, and
> > period
> > > over
> > > > which the change is recorded. What is more relevant is the
> change
> > > in Alpha.
> > > >
> > > > 3. A stock with high Beta moves up fast when the Index goes
up,
> > but
> > > also
> > > > moves down fast with the Index, unless it has a high Alpha
> value
> > in
> > > which
> > > > case, the Alpha value acts as a support.
> > > >
> > > > 4. A stock with high Alpha, but not necessarily high Beta,
can
> > move
> > > up fast
> > > > when the Index moves up, if the circumstances for the high
> Alpha
> > > are still
> > > > present or have increased in influence. This can be depicted
as
> a
> > > moving up
> > > > of the whole regression line, resulting in a higher point of
> > > intercept with
> > > > the Y-axis.
> > > >
> > > > 5. Therefore the way to select stocks is to look for changes
in
> > > Alpha or
> > > > Beta rather than values of Alpha and Beta. The absolute Alpha
> and
> > > Beta
> > > > values only show the status quo. To add an element of
> prediction,
> > > the change
> > > > in Alpha would be more useful.
> > > >
> > > > 6. It is better to choose stocks with increasing Alpha rather
> than
> > > > increasing Beta. High Beta stocks with low Alpha values
require
> > > great
> > > > alertness and usually intra-day trading strategies.
> > > >
> > > > 7. The most potentially rewarding stocks are those that have
a
> > high
> > > Beta as
> > > > well as a high Alpha; with the added conditions that these
> values
> > > have not
> > > > peaked,or are already on the way down. This can be confirmed
by
> > > graphing the
> > > > Alpha and Beta values.
> > > >
> > > > 8. When Alpha and Beta values are graphed, and put on a split
> > screen
> > > > together with the stock's price line chart, they are seen to
be
> > in
> > > waves
> > > > each having a span of between 3-5 days. These waves reflect
the
> > > inevitable
> > > > profit taking. But trends and patterns in the waves can also
be
> > > seen, and
> > > > these can be analysed using traditional technical analysis
> > concepts
> > > of
> > > > trend, support, resistance and divergence. (See Fig. 2)
> > > >
> > > >
> > > >
> > > > Fig. 2. The Alpha and Beta values with price charts of a
stock
> > and
> > > an index.
> > > > The thicker line is the Alpha.
> > > >
> > > > 9. Generally, a stock is "in play" when the amplitude of its
> > alpha
> > > waves are
> > > > getting bigger while its alpha value is also trending up.
> > > >
> > > > 10. Trading short-term with Alpha assumes a trending and
> > reasonably
> > > volatile
> > > > market. In a sideway market, Alpha would not be useful. The
> > > determination of
> > > > market direction and whether it is in a trending stage can be
> by
> > > means of
> > > > indicators like the ADX and Moving Averages.
> > > >
> > > > 11. In a down-trending market, you could either buy stocks
with
> > > consistently
> > > > high Alphas for the market's rebound, or,if short-selling is
> > > allowed, choose
> > > > stocks with high Beta and low Alpha.
> > > >
> > > > 12. By scanning several markets and seeing which have more
> stocks
> > > with Alpha
> > > > values at the higher end of the market range, it is possible
to
> > > select which
> > > > market to participate in.(A frequency histogram of markets
will
> > > show which
> > > > side the values of Alpha are skewed towards).
> > > >
> > > >
> > > > ---
> > > > 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
> > > >
> > >
> >
>
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