StockFetcher Forums · General Discussion · Correlation filter - stock compared to it's index<< >>Post Follow-up
miska2
17 posts
msg #85361
Ignore miska2
12/31/2009 6:35:16 PM

Do any of you know a filter for tracking how closely a stock follows it's index in % terms over the past x time period?

I sent this post about a week ago with no reply. I also asked SF support and they indicated they don't have a correlation filter. I'm guessing one, if not many programmers on this site has or could create this filter or something similar.

Your help would be greatly appreciated!

tomm1111
198 posts
msg #85397
Ignore tomm1111
1/1/2010 10:34:43 PM

Here are a couple different ways to look at spy vs. spx.

Fetcher[
symlist(spy)

set{var,ind(^spx,close)}

set{var1,close * 10}
set{spydiff,var1 / var}

draw spydiff
draw compare ^spx
]



miska2
17 posts
msg #85410
Ignore miska2
1/2/2010 2:28:54 AM

Thanks! This is what I was looking for.

StockFetcher Forums · General Discussion · Correlation filter - stock compared to it's index<< >>Post Follow-up

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