The Gateway to Algorithmic and Automated Trading

alphability

Published in Automated Trader Magazine Issue 16 Q1 2010

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

The trend is only your friend if your President also is; which he clearly wasn't in the case of Bank of America on Jan 21st.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Figure 2: Daily Trend Alphability - bottom five Dow stocks

...on which basis J & J can carry on slumbering in peace - unless it also starts trading sub-prime and needs a bail out.

Figure 3: Daily Trend Alphability - bond futures

Figure 3: Daily Trend Alphability - bond futures

While T-Bonds still head the Trend Alphability pack, general trend levels for bond futures are well down on the previous period.

Figure 4: Daily Trend Alphability - stock index futures

Figure 4: Daily Trend Alphability - stock index futures

...as (despite the occasional spurt from the Dax) they also were in stock index futures.

Figure 5: Daily Reversal Alphability - top five Dow stocks

Figure 5: Daily Reversal Alphability - top five Dow stocks

A similar torpor afflicted Reversal Alphability among the top five Dow stocks.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

...while the bottom five were only slightly enlivened by a guest spot from Intel.

Figure 7: Daily Reversal Alphability - bond futures

Figure 7: Daily Reversal Alphability - bond futures

Fortunately, T Bonds saved the day with a performance on Dec 14th that could with a little extra effort become a credible sine wave.

Figure 8: Daily Reversal Alphability - stock index futures

Daily Reversal Alphability - stock index futures

...as did the Dax on Dec 8th.