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Re: [SPAM] RE: [EquisMetaStock Group] volatility


  • Date: Wed, 3 Feb 2010 09:35:36 +1100
  • From: "fib1618" <fib1618@xxxxxxxxxxxx>
  • Subject: Re: [SPAM] RE: [EquisMetaStock Group] volatility

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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.


( 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.


( ( 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

 

Hey

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.

thanks   Keith 

 



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