Thursday, September 18, 2008
New statistic needed
A commenter noted that the shorting on weakness trial didn't work in the face of a +400 Dow up day. That leads me to an idea that what I need is a statistic that correlates how a given stock moves with the market. Perhaps the advance/decline daily correlated with green or red would be enough. That will give me an indication of how independent a stock is. I've had the opinion that a lot of the ones I trade don't get influenced by overall market conditions but I need to turn this feeling into an actual number that I can reference. This will be a project to write the filter over the weekend. If anyone has an idea what would be a good indicator or how to write the code, please leave in comments.
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2 comments:
Hey, johnny, this is unrelated to your blog post. But you know how you told me to split my account? Adam Brooks told me that he had multiple Thinkorswim accounts and had them linked so he can hop back and forth between them. So I'm looking into that. I need to do something...I'm sick of the PDT tying my hands behind my back. I was hesitant to hop in plays today because I didn't want to lose a day trade.
I hope I'm not misunderstanding what you're looking for, but it sounds like beta would fit your purposes well:
http://en.wikipedia.org/wiki/Beta_(finance)
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