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David,
Thanks for the report.
There is actually an indicator in MS that I found
later that is used to compare securities called
"Correlation".
I wrote an Explorer to compare the SPY (S&P 500) to
the securities in my folders. It will be interesting
to see how your list compares.
To use this in the way that I have, you have to have a
high enough MS version where you can call up another
security (I'm not sure which version introduced that
feature). If anyone is interested in the Explorer, I
can post it - it is a fairly simple code.
This is from the MS help files:
"Correlation of one security to another - Another use
of correlation analysis is to measure the strength of
a relationship between two securities. Often, one
security's price "leads" or predicts the price of
another security. This is especially noticeable with
commodities. For example, the correlation coefficient
of gold versus the dollar shows a strong negative
relationship. In other words, an increase in the
dollar usually predicts a decrease in the price of
gold."
Pring
--- David Jennings <DavidJennings@xxxxxxxxxxxxx>
wrote:
> I have now got a printed report. Afraid you''ll have
> to remove some of the CRLF junk in it, but it should
> go into Excel with a bit of a fiddle. Analysis is
> upto date. Perchance you might have forgotten, the
> higher the correlation number the higher the
> correlation.
> ----- Original Message -----
> From: David Jennings
> To: Metastockusers@xxxxxxxxxxxxxxx
> Sent: Tuesday, August 27, 2002 10:32 PM
> Subject: Re: [Metastockusers] Stocks with a life
> of their own
>
>
> I think you are looking for Spearman rank
> correlation. You can use this to look for stocks
> that have low/ high correlation. i use it for pairs
> trading. If you can be more specific as to your list
> e.g. what timeframe, volatility etc - or preferably
> send me a list of symbols, I'm happy to run the
> analysis
> ----- Original Message -----
> From: Pring
> To: Metastockusers@xxxxxxxxxxxxxxx
> Sent: Tuesday, August 27, 2002 9:39 PM
> Subject: [Metastockusers] Stocks with a life of
> their own
>
>
> Question for the group:
>
> I'm looking for a group of stocks that don't
> have a
> strong correlation to the overall market (i.e.,
> when
> measured against the QQQ's or SPY's, there would
> be
> little or no correlation).
>
> I would also like this group of stocks to have
> decent
> volatility and liquidity (say at least 500,000
> shares
> a day). As for the liquidity issue, I know I
> can just
> add a simple statement in a MS exploration to
> filter
> for this.
>
> Any ideas on how I might set up an exploration
> in MS
> to find non-market correlated stocks with decent
> volatility?
>
> Thanks in advance for your input,
>
> Pring
>
>
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>
> > MatchMaker Report
> 17/09/02
>
> 0/12/01 to 13/09/02 - Daily data
> arket Influence not removed.
>
> ickers in List SP_Extra
> Symbol Types: Stocks
>
> o
>
> ickers: SPX
>
> ----------------------------------------------------
>
> ource Source
> A Corr. B Description
>
>
> Agilent Technologies Inc
> 748 SPX S & P 500
>
> A Alcoa Aluminum
> 707 SPX S & P 500
>
> APL Apple Computers Inc
> 705 SPX S & P 500
>
> BC AMERISOURCEBERGEN CORP
>
> 410 SPX S & P 500
>
> BI APPLERA CORP
>
> 642 SPX S & P 500
>
> BK Ambac Financial Group Inc
> 592 SPX S & P 500
>
> BS Albertsons Inc
> 523 SPX S & P 500
>
> BT Abbott Labs
> 598 SPX S & P 500
>
> BX Barrick Gold Corporation
> 78 SPX S & P 500
>
> CAI Atlantic Coast Airlines
> Holdings
> 510 SPX S & P 500
>
> CDO Accredo Health
> 474 SPX S & P 500
>
> CE ACE LTD
>
> 506 SPX S & P 500
>
> CF AmeriCredit Corp
> 636 SPX S & P 500
>
> CS Affiliated Computer
> Services Inc
> 669 SPX S & P 500
>
> CXM Acxiom Corp
> 596 SPX S & P 500
>
> DBE Adobe Systems
> 678 SPX S & P 500
>
>
> Page 1
> MatchMaker Report
> 17/09/02
>
> DI Analog Devices
> 783 SPX S & P 500
>
> DM Archer Daniels Midland Co
> 516 SPX S & P 500
>
> DP ADARE PRINTING GP
> 699 SPX S & P 500
>
> DSK Autodesk Inc
> 625 SPX S & P 500
>
> DVP Advanced Paradigm Inc
> 412 SPX S & P 500
>
> DVS Advent Software Inc
> 677 SPX S & P 500
>
> EE Ameren Corp
> 485 SPX S & P 500
>
> EOS AMERICAN EAGLE OUTFITTERS
> IN
> 557 SPX S & P 500
>
> EP American Elec Pwr Inc
> 456 SPX S & P 500
>
> ET Aetna Inc.
> 497 SPX S & P 500
>
> FC ABERDEEN FC
> 561 SPX S & P 500
>
> FCI Advanced Fibre
> Communications INc
> 646 SPX S & P 500
>
> FL AFLAC Inc
> 651 SPX S & P 500
>
> G AGCO Corp
> 431 SPX S & P 500
>
> GN Allergan Inc
> 516 SPX S & P 500
>
> HC Amerada Hess Corp
> 623 SPX S & P 500
>
> IG American Intl Group Inc
> 766 SPX S & P 500
>
> L Alcan Aluminum Ltd New
> 626 SPX S & P 500
>
> LL Allstate Corp
> 657 SPX S & P 500
>
> LO Alpharma Inc
> 411 SPX S & P 500
>
> LTR Altera Corp
> 729 SPX S & P 500
>
> MAT Applied Materials
>
> Page 2
> MatchMaker Report
> 17/09/02
>
> 714 SPX S & P 500
>
> MGN Amgen Inc
> 660 SPX S & P 500
>
> MR Amr Corp
> 572 SPX S & P 500
>
> NDW Andrew Corp
> 580 SPX S & P 500
>
> NF Abercrombie & Fitch Co
> 607 SPX S & P 500
>
> NN AnnTaylor Stores Corp
> 544 SPX S & P 500
>
> OC Aon Corp
> 556 SPX S & P 500
>
> OL America Online Inc
> 643 SPX S & P 500
>
> PA Apache
> 543 SPX S & P 500
>
> PC Anadarko
> 591 SPX S & P 500
>
> PCC American Power Conversion
> Corp
> 672 SPX S & P 500
>
> PD Air Prods & Chems Inc
> 695 SPX S & P 500
>
> POL Apollo Group Inc
> 563 SPX S & P 500
>
> PPB Applebees International
> Inc
> 491 SPX S & P 500
>
> RW Arrow Electronics Inc
> 744 SPX S & P 500
>
> SH Ashland Oil Inc
> 652 SPX S & P 500
>
> SO AmSouth Bancorporation
> 761 SPX S & P 500
>
> T ALLTEL Corp
>
=== message truncated ===
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