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alphability

Published in Automated Trader Magazine Issue 17 Q2 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 our Alphability page

Figure 1: Daily Trend Alphability - top five Dow stocks

Figure 1: Daily Trend Alphability - top five Dow stocks

Although it came second overall to Alcoa, the big yellow digging machine put down a serious marker of trending intent on Feb 11th, as the blow-up shows.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Figure 2: Daily Trend Alphability - bottom five Dow stocks

No change among the living dead. J & J still in its customary pole position, though Verizon's April 6th trend torpor looks promising - apart from a rather hyper-active lapse on the first bar of the day.

Figure 3: Daily Trend Alphability - bond futures

Figure 3: Daily Trend Alphability - bond futures

Overall Trend Alphability among bond futures was pretty much a replay of a subdued Q1, with T-Bonds also still heading the pack; though on its duller days the Bund looks increasingly like J & J.

Figure 4: Daily Trend Alphability - stock index futures

Figure 4: Daily Trend Alphability - stock index futures

Stock index futures were a little less trendy overall than in Q1, though the Dax kept things moving along in late January and early February.

Figure 5: Daily Reversal Alphability - top five Dow stocks

Figure 5: Daily Reversal Alphability - top five Dow stocks

Reversal Alphability among the top five Dow stocks was down overall in Q2, though Alcoa's to and fro on March 15th helped enliven proceedings.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Though all things are relative, one could almost claim to detect similar enlivenment from J & J in late January. Well, a flicker of a pulse at least.

Figure 7: Daily Reversal Alphability - bond futures

Figure 7: Daily Reversal Alphability - bond futures

As with Trend Alphability, Bunds are becoming an increasingly sluggish rear marker for Reversal Alphability, as its non-events of April 19th graphically show.

Figure 8: Daily Reversal Alphability - stock index futures

Figure 8: Daily Reversal Alphability - stock index futures

Exhausted by their Reversal Alphability exertions in late January and February, stock index futures made a lifestyle choice and took March off, before condescending to return to their desks in mid April for a spot of light exercise.