Beta is a measure of an asset's volatility relative to the market (the S&P500 is the most widely used index for this). A beta of 1 indicates that the asset moves exactly like the market, a beta < 1 indicates that the asset is less volatile than the market, and a beta > 1 means that the asset amplifies market movements.
This tool is used to calculate easily the...
Display the correlation coefficient and/or Beta of an asset to a specified market.
- Specify market (S&P500 futures by default)
- Display one or other metrics
- Modify assessment period (200 bars by default)
- Calculate on price, returns or log-returns
This is a Live Screener for my previous Alpha & Beta indicator, which filters stocks lively based on the given values.
Use 5min timeframe for Live Intraday.
The default stocks in the screener is selected based on high beta value from F&O listed stocks. It may include other stocks also.
User can input stocks of your choice either through the menu or through the...
My beautiful traders, how is everyone doing? This indicator I built detects trends, I haven't seen any repaints, I only had 3 minor ones. It is still on BETA version.
To all new traders, and busy traders I will be posting one that you can set alerts. Please look under my profile or type " K.M Trend Alerts (BETA 1.2) " .
I ask for everyone to try this script...
Beta value of a stock relative to benchmark index. Thanks to Ricardo Santos for the original script. This script is adapted from it.
To understand beta, refer Investopedia link: www.investopedia.com
A beta value of 1 means the stock is directly correlated to benchmark index - volatility would be same as overall market.
Beta value less than 1 and greater than 0...
How to use Alpha(α)?
If Alpha is positive the stock outperforms, if the value is negative means the stock underperforms.
α < 0: The investment has earned too little for its risk (or, was too risky for the return)
α = 0: The investment has earned a return adequate for the risk taken
α > 0: The investment has a return in excess of the reward for the assumed risk
The indicator will show the Sectors which are leading or lagging NIFTY50 index based on Alpha & Beta values. Stock selection can be done based on the respective Sectors.
Look for alpha & beta values.
Prefer one with high beta.
Greens are leaders & Blues are lagers.
This don't completely indicates a trend, but it can give the overview of a major trend &...
Portfolio Risk Metrics (Part I):
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'...
Alpha is a measure of the active return on an investment, the performance of that investment compared to the S&P500 index, where 0.01 = 1%
alpha < 0: the investment has earned too little for its risk (or, was too risky for the return)
alpha = 0: the investment has earned a return adequate for the risk taken
alpha > 0: the investment has a return in...
USE ON DAILY TIMEFRAME TO DETECT MOMO STOCKS & ETFs AND TRADE THEM
This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. Strategy can be adapted to run intraday, it however needs different (lower) trigger levels.
examples to try this on: GER30, NAS100, JPN225, AAPL, IBB, TSLA, etc.
This is a Index Screener which can short list the major Sectors contributing to NIFTY movement that day.
This helps in sector based trading, in which we can trade in the stocks which falls under that particular sector.
No need to roam around all the stocks in the whole watchlist.
It is recommended to create sector wise watchlist of all sectors. It will be easier...
Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors.
The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price...
Shows an instrument's sentiment in a day (or week) compared to the market (SPY default). The Red line shows bearish sentiment compared to the market and the green is bullish. Technically this works like a proxy for Alpha/Beta factor.