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alphability

Published in Automated Trader Magazine Issue 13 Q2 2009

Alphability are Automated Trader’s proprietary tradability metrics. They are environmental statistics intended to assist those building trading models/systems in determining which markets and timeframes are most favourably responsive to which generic types of model. For more information on Alphability, please see page 56 of the Q3 2007 edition of Automated Trader or visit http://www.automatedtrader.net/Alphability.xhtm

Figure 1: Daily Trend Alphability - top five Dow stocks

Figure 1: Daily Trend Alphability - top five Dow stocks

AIG takes over from GM as this quarter's rock'n'rolla. A blowup of March 17th shows why - that's about a 75% move. Overall, much less trendiness than Q1 2009.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Figure 2: Daily Trend Alphability - bottom five Dow stocks

And at the other end of the spectrum in the world of the living dead, we have Johnson & Johnson barely stirring from its usual catatonia. The blowup of April 3rd reveals another stellar performance - that's a move of, errr, 0.29%.

Figure 3: Daily Trend Alphability - bond futures

Figure 3: Daily Trend Alphability - bond futures

The Long Gilt awakes! March 5th sees it out-trend the T-Bond; the blowup tells it all.

Figure 4: Daily Trend Alphability - stock index futures

Figure 4: Daily Trend Alphability - stock index futures

You would think with all this economic excitement the FTSE might try a bit harder, but for much of February it was lagging the DAX and E-mini in trend stakes by a mile.

Figure 5: Daily Reversal Alphability - top five Dow stocks

Figure 5: Daily Reversal Alphability - top five Dow stocks

With the exception of AMEX (which squeezes into the Top 5 at the expense of JP Morgan) all the Reversal Alphability scores are substantially up on Q1 2009, just as the Trend Alphability scores are down.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Sadly those higher reversal scores don't apply down among the dead men.

Figure 7: Daily Reversal Alphability - bond futures

Figure 7: Daily Reversal Alphability - bond futures

The Long Gilt has clearly been at the marching powder this quarter, comfortably beating the T-Bond for reversals as well as trends.

Figure 8: Daily Reversal Alphability - stock index futures

Figure 8: Daily Reversal Alphability - stock index futures

Which is more than can be said of the FTSE, which (as the blowup shows) will be joining Johnson & Johnson at this rate…