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alphability

Published in Automated Trader Magazine Issue 14 Q3 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

Bank of America bounds into the lead as the post-Merrill excitement rumbles on, though as the blow up shows - not always happily.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Some dossiers just can't be sexed up - and here's our old friend J & J to prove it. As the blow up shows, zzzzzzzzzzzzzzzzz…

Figure 3: Daily Trend Alphability - bond futures

Figure 3: Daily Trend Alphability - bond futures

From the moribund to the wired, with T-Bonds jiving way above the Bund and Long Gilt. The blow up says it all

Figure 4: Daily Trend Alphability - stock index futures

Figure 4: Daily Trend Alphability - stock index futures

Stock index futures had a less than thrilling quarter, with the FTSE occasionally making an attempt to keep up, but suffering more than a few J & J moments.

Figure 5: Daily Reversal Alphability - top five Dow stocks

Figure 5: Daily Reversal Alphability - top five Dow stocks

After all the excitement of the previous issue, Reversal Alphability scores declined - though it's interesting to see a new yellow face with tracks attached, in the form of Caterpillar.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

The overall scores may be low, but Verizon manages a bit of a home waddle.

Figure 7: Daily Reversal Alphability - bond futures

Figure 7: Daily Reversal Alphability - bond futures

As with Trend Alphability, T-Bonds comfortably outpace the competition.

Figure 8: Daily Reversal Alphability - stock index futures

Figure 8: Daily Reversal Alphability - stock index futures

No shortage of zig and zag for the Emini, though overall Reversal Alphability scores were down again.