Hi Hitendra, thanks for your explanation of the
matter
my apologies to you and others who referred to ROC
and Relative Strength-- it seems they're similar
I'd only heard of Beta and assumed that one had to
use the Beta Function ( whatever that would do ), not calculate one
-- I had no idea that one had to use ROC to achieve a
Beta
I've barely come across Alpha and Beta -- Greek symbols
referring to volatility in Options ?? -- my impression is Alpha is a
derivitive ? of Beta, which is pretty much as you show below
what then is Alpha used for ? -- only
in Options ?
to calculate Beta below
-- one makes a 21 day ROC of an " indicator " ???
what indicator ? so we're measuring the ROC of another indicator --
Macd etc ?
the result sounds suspiciously like Relative
Strength to me , which I thought measured something
different.
if Beta is used to compare one stock
against say the index, that's what Rel Strength is used for --
do they measure different " strengths" or why
not take the easy way out and just use Rel Strength ?
to calculate Alpha
here one uses the Beta indicator above but also
there's that " indicator" again -- presumably, you'd use the same one as in Beta
?
once you've done Beta and ranked stocks, what is Alpha
then used for ?
I'd be most interested in your advice
thanks again Keith
Sent: Wednesday, February 03, 2010 12:30 AM
Subject: [SPAM] RE: [EquisMetaStock Group]
volatility
Plotting Alpha and
Beta
MetaStock
Indicator
To plot Alpha and Beta in
MetaStock follow the steps below. **The custom indicator named Beta is required
to plot Alpha.
To plot Alpha
- Create the custom formulas
Alpha and Beta (see below for formula syntax)
- Open a chart of the desired
security
- Drag the price plot of the
index you are comparing, into the chart of the security and close the chart of
the index. **Maximize the security chart if needed
- Drag the custom indicator
Alpha from the Quick List and drop it onto the price plot of the index. **The
index plot will turn a purplish colour when you are plotting on top of it.
**Note, this formula is set to
calculate Alpha over 21 periods. To change the time periods replace each
instance of 21 in the formula with the desired number of periods and also change
the time periods in the Beta custom indicator.
|
|
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( Sum( ROC( CLOSE ,1
,% ) ,21 ) - ( Fml( "Beta" ) * Sum( ROC( INDICATOR,1,%) ,21 ) )
) / 21 |
|
To plot Beta
- Open a chart of the desired
security
- Drag the price plot of the
index your comparing, into the chart of the security
- Drag this custom indicator
from the Quick List and drop it onto the price plot of the index.
Note, this formula is set to
calculate beta over 21 periods. To change the time periods replace each instance
of 21 in the formula with the desired number of periods.
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( ( 21 * Sum( ROC(
CLOSE ,1 ,% ) * ROC( INDICATOR ,1 ,% ) ,21 ) ) -
( Sum( ROC(
CLOSE ,1 ,% ) ,21) * Sum( ROC( INDICATOR ,1 ,% ) ,21 ) ) ) /
(
(21 * Sum( Pwr( ROC( INDICATOR ,1 ,% ) ,2 ) ,21 )) - Pwr( Sum( ROC(
INDICATOR ,1 ,% ) ,21 ) ,2 )) |
|
**Beta is a measure of
volatility of one security against another. This is typically used to measure
the volatility of a stock against an index like the S&P 500. A value greater
than one indicates the stock is more volatile than the index.
From: equismetastock@yahoogroups.com
[mailto:equismetastock@xxxxxxxxxxxxcom] On Behalf Of Saint
Anley
Sent: Tuesday, February 02, 2010 3:43 AM
To:
priya_ked@xxxxxxcom
Cc:
equismetastock@yahoogroups.com
Subject: Re: [EquisMetaStock
Group] volatility
|
Hi Priya, not sure what you mean by angle of rise and
fall. - besides how do we figure that out on the Metastock
platform?
Thanks
Saint
--- On Mon, 2/1/10, priya keds
<priya_ked@xxxxxxcom> wrote:
From: priya keds
<priya_ked@xxxxxxcom>
Subject: Re: [EquisMetaStock Group]
volatility
To: equismetastock@yahoogroups.com
Date:
Monday, February 1, 2010, 7:52 AM
One
thing that i think can measure volatility is the angle of rise and
fall.
--- On Mon, 2/1/10, fib1618 <fib1618@xxxxxx
net.au> wrote:
From: fib1618
<fib1618@xxxxxx net.au>
Subject: [EquisMetaStock Group]
volatility
To: "Equismetastock" <equismetastock@
yahoogroups. com>
Date: Monday, February 1, 2010, 1:07
PM
one thing we're interested in as traders
is Volatility-- but the question for me is--- how best to
find it?
one can eyeball charts to find good
movers
maybe we could use a measure for
Volatility on a longer setting -- 6/100 vol,
True Range etc
I've heard of stocks with a " high
Beta " ---- my impression this is a better
method but there's nothing in Metastock help about it
other than the indicator.
has anyone any experience with these
methods?
could someone offer some advice on how
best to scan for stocks with higher volatility please.
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