psychtrader
4 posts
msg #72224
- Ignore psychtrader |
3/7/2009 12:40:53 PM
I read an article in Active Trader about using the gain-loss spread as a form of simpler volatility. Basically, here is what it was looking at.
To calculate the gain-loss spread for a stock, first select a
historical time period — one year, for example. Next, break
the time period into intervals of 52 weeks. Finally, ask four
simple questions:
1. In how many of the 52 weeks did the stock go up?
2. In how many of the 52 weeks did the stock go down?
3. For the up weeks, what was the average percentage gain?
4. For the down weeks, what was the average percentage loss?
The weekly gain-loss spread is calculated directly from these four numbers:
• The probability of gain is estimated as the number of up weeks divided by 52.
• The probability of loss is estimated as the number of down weeks divided by 52.
• The gain loss spread is the size of the average percentage gain times the probability of gain, minus the size of the average
percentage loss times the probability of loss.
I'm wondering if this is something that stockfetcher could calculate and then enter a symlist maybe of stocks in the same sector/etf?
Any coding gurus care to take a stab at it?
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