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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.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Even the best things must come to an end and so it is with the reign of J & J as the monarch of monotony - the king is dead, long live the king! Coke's coup is not hard to fathom once you see the slice of masterly inactivity on display in the blow up for July 30th. Breathtakingly boring...

Figure 3: Daily Trend Alphability - bond futures

T-Bonds may look lively but they're actually running at barely 60% of the Trend Alphability levels they returned in Q3. The Long Gilt clearly spent most of late July and early August on a sun lounger by the pool.

Figure 4: Daily Trend Alphability - stock index futures

An even worse torpor seems to have afflicted stock index futures, with Trend Alphability levels around 50% of those achieved in Q3. Looks like the FTSE joined its compatriot Long Gilt for the first and last few days of its poolside break.

Figure 5: Daily Reversal Alphability - top five Dow stocks

A clean sweep from Alcoa in Q4, topping both Trend and Reversal Alphability tables.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

The end of an era in Reversal as a well as Trend Alphability as J&J slips to 3rd in the list of Reversal Alphability tail enders. Upstart P & G shows how it's done with a barnstorming display of tedium on July 19th (see blow up).

Figure 7: Daily Reversal Alphability - bond futures

After all the Q3 excitement, bond futures are pretty much back where they have spent most of the last year. Though, as the blow up shows, T-Bonds had a stab at relieving the tedium with some serious to-ing and fro-ing on August 31st.

Figure 8: Daily Reversal Alphability - stock index futures

Stock index futures have also dropped the pace in Q4 after their Q3 glories. Bit of European assertion too, as the Dax tops the Reversal Alphability rankings by shouldering past the S & P Emini.