StockFetcher Forums · Filter Exchange · high beta stocks?<< >>Post Follow-up
jota2123
2 posts
msg #37536
Ignore jota2123
8/19/2005 2:53:51 AM

Does anyone knows if it's possible to write a filter for stocks with beta around 2, a high relative strength and P/E ratio around 16?


rtucker
318 posts
msg #37538
Ignore rtucker
8/19/2005 6:46:56 AM

Try this;


Fetcher[set{a, close - close 1 day ago}
set{b, a/close}
set{c, b * 100}
set{vola,abs(c)}
and add column cema(vola,90) and sort column 5 descending


/* 1% avg daily change is about twice that of SPY*/
cema(vola,90) between 1 and 1.5 /* beta of 2 to 3 */

/* choose your time period. I think 99 days is max*/
/* 1.03 means 3% better than SPY */

relative strength(^SPY,30) > 1.03

and pe between 10 and 20
add column pe
]




rtucker
318 posts
msg #37539
Ignore rtucker
8/19/2005 8:02:00 AM

Previous filter dosent work right. Its (SPY,30) not (^SPY,30). Try this.

Fetcher[set{a, close - close 1 day ago}
set{b, a/close}
set{c, b * 100}
set{vola,abs(c)}
and add column cema(vola,90) and sort column 5 descending


/* 1% avg daily change is about twice that of SPY*/
cema(vola,90) between 1 and 1.5 /* beta of 2 to 3 */

/* choose your time period. I think 99 days is max*/
/* 1.1 means 10% better than SPY */

relative strength(SPY,30) > 1.10

and pe between 10 and 20
add column pe
]





StockFetcher Forums · Filter Exchange · high beta stocks?<< >>Post Follow-up

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