StockFetcher Forums · General Discussion · How to find correlated stocks<< >>Post Follow-up
71 posts
msg #73313
Ignore cunparis
4/5/2009 4:25:11 AM

I'd like to find correlated stocks but I don't see any indicators for this. Does anyone have an idea how I can do this?

133 posts
msg #73337
Ignore decipherlinda
4/6/2009 1:34:27 AM

By correlated, do you mean they have similar patterns or that they are from industries that move in sync?

If you're looking for similar patterns, are you aware of the Patterns -- Pattern Matching option on SF's home page?

200 posts
msg #73382
Ignore tomm1111
4/8/2009 3:06:55 AM

Correlation is basically matching the slopes between securities. Follow the steps below.

1. Determine period for slope and enter in filter below
2. Use symlist function to "grab" slope of security in question
3. Remove symlist function and screen based on the slope of security in above step

Longer periods of correlation, can potentially result in larger residuals (difference between sample and fitted mean) of the correlation coeffient. Given a few days or less the slope is probably ok for correlation, but as decipherlinda indicates in previous post, pattern matching would be an entirely different animal.

set{var,5 day slope of close}

show stocks where close is above 1
and volumne is above 100000

and var is between 0 and 0.5

add column var {slope}

If one security lagged another by 1 day or more, it might be possible to pick this up on SF as in X days out of 100 type of thing. Not sure how I would screen for this at the moment.

7 posts
msg #73383
Ignore cjg123
4/8/2009 3:33:34 AM

this site might have what you want

StockFetcher Forums · General Discussion · How to find correlated stocks<< >>Post Follow-up

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