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Strategies & Market Trends : Technical analysis for shorts & longs

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To: Lachesis Atropos who wrote (17420)	8/2/1998 4:22:00 PM
From: Lachesis Atropos	Read Replies (3) of 68618

Stocks with Similar Trends and Phase Lag I am in the process of generating a pair wise comparison of all the stocks in my database. It has been running for 26 hours so far and has only done comparisons on A->ADKT. The file being generated is very large. So I will post a small portion. If you want a completed file I will send to any one interested after it has been done. It will be 30K or so. What is it? At a high level, the comparison shows the beta between two stocks. (I only save off beta's that are in the 80 percentile and above). What is this beta thing? The way this beta is calculated shows which stocks trade together. I take a 20 ma on the stock. Then compare the MAs not by value but by direction. The MAs are matched up tick for up tick, and down tick for down tick. If both stocks are moving in the same direction then the beta will be close to 1. A value of one indicates an exact match. I would imagine that brokers would have similar reports generated so that they could convince clients to buy and sell stocks based on this type of analysis. "Hey Bubba, stocks A and B are trading with a 10 day lag." Some of the values are spurious. The sample size I am using only goes back 171 days. Possibly a larger sample size will give better cyclical indicators. Constructive and destructive criticism is welcome. I don't want to waste my time if that data is of little value. I have not assessed that value of this information myself and am looking for insight and ideas. Here is how I read the file output. ABI___.BIN OZRK__.BIN 1 23 First column is the first symbol. (Symbols with an X in the 6th position indicate to me that my data vendor sent me the data in 100ths rather than fractional notation. Thus any X in the 6th position can be ignored). Second column is the second symbol. Third column is the beta. (Value range from 0 to 1. A one indicates a perfect match) Fourth column is days lag. (Can be read like this ABI and OZRK trade together with a 23-day phase lag). One can verify the results by looking at the chart of both stocks and matching up their 20 day weighted moving averages. Remember the magnitude of an MA's direction has not been considered just the direction If you have any ideas on how to exploit this let me know. Lachesis Below is a small sample of the output. ABI___.bin OZRK__.bin 1 23 AB____.bin FLD___.bin 1 13 AB____.bin GH____.bin 0.992248 18 AB____.bin AOC_PB.bin 0.992188 19 AB____.bin RNO___.bin 0.992188 19 AB____.bin FLS___.bin 0.991935 23 ABI___.bin AIN___.bin 0.991667 27 ABI___.bin FRND__.bin 0.991667 27 ABI___.bin OSU___.bin 0.991667 27 AB____.bin PH____.bin 0.991667 27 AB____.bin USFS__.bin 0.991667 27 AB____.bin CNSKP_.bin 0.985075 13 AB____.bin PLSIA_.bin 0.985075 13 AB____.bin TNCR__.bin 0.984496 18 AB____.bin WX____.bin 0.984252 20 ABI_PB.bin OZRK__.bin 0.983871 23 ABI_PB.bin FRND__.bin 0.983193 28 ABI_PB.bin OSU___.bin 0.983193 28 ACT__X.bin ERI__X.bin 0.979592 0 AB____.bin CU____.bin 0.977612 13 AB____.bin HFI___.bin 0.977099 16 AB____.bin FLMK__.bin 0.976744 18 AB____.bin OLS___.bin 0.976378 20

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