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alphability

Published in Automated Trader Magazine Issue 18 Q3 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

Although it came second overall to Alcoa in Q2 in terms of Trend Alphability, the big yellow digging machine tops the bill in Q3. The blow up of the US morning session of May 6th gives an inkling of how it did it.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

There was near-consternation in the Automated Trader offices recently as it appeared as if impostor AT & T was bottoming the bill and J & J had been displaced! Fortunately it turned out to be a clerical error and, as the blow up of June 3rd illustrates, all is right with the world - the thoroughbred of tedium still reigns supreme.

Figure 3: Daily Trend Alphability - bond futures

Clearly stung into a frenzy by our comparisons with J & J in Q2, bond futures embarked on a whirl of Trend Alphability. Well, some of them (such as the T-Bond) did - however the Long Gilt needs to look sharp if it doesn't want to find itself in Figure 2 in Q4...

Figure 4: Daily Trend Alphability - stock index futures

The Long Gilt should clearly take a leaf out of its compatriot's book, as the FTSE shows how it's done by beating all overseas compensation. Perhaps it's some weird sort of subliminal World Cup compensation?

Figure 5: Daily Reversal Alphability - top five Dow stocks

Alcoa staves off a spirited challenge from Caterpillar to prevent it attaining the top slot in both Trend and Reversal Alphability. The blow up shows how - May 5th, the perfect day for a reversal - or ten.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

We had some real drama on the J & J front this quarter, with Procter & Gamble and others scrambling below it to the bottom of the Reversal Alphability pile. Could this be the end of an era?

Figure 7: Daily Reversal Alphability - bond futures

T-Bonds comfortably top the Reversal Alphability stakes in Q3. The blow up of the evening session of May 20th shows how. Yee Ha!

Figure 8: Daily Reversal Alphability - stock index futures

...and that makes it a clean Reversal Alphability sweep for US futures in Q3 with particularly outstanding Emini performances on April 30th and May 5th.