The Gateway to Algorithmic and Automated Trading

alphability

Published in Automated Trader Magazine Issue 19 Q4 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

Alcoa reasserts itself by regaining the Trend Alphability top slot in Q4 and the blow up from September 23rd shows how - pretty much straight up and then straight back down again. Previous leader Caterpillar drops to fourth place, but keeps ahead of newcomer Boeing.

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