CS Cuts AA 2009 EPS Forecast from $1.50 to $0.15
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EUR/USD Consolidating Just Above 1.3420
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BoC To Auction C$2bln In 28 Day TLF on Jan 12
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BoC To Auction C$1bln In 14 Day PRA on Jan 12
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C, MS in Talks to Merge Brokerage Units --CNBC
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Merkin Leaving GMAC Board
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C: Rubin Will Stay on as Director Until Term Expires --CNBC
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Moody's Puts FDX (Baa2) on Outlook Neg
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WSJ reports Robert Rubin is "tired of defending" his Citi tenure
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Rubin Leaving Citigroup --WSJ
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NY FED Board Will Meet Tomorrow to Consider Geithner Replacements --Reports
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Boeing to Cut 4,500 Jobs --WSJ
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'Wickedly Nasty' Recession; Zero Upward Pressure on Rates --Pimco's McCulley on Bbg TV
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Pemex: Fisherman Protest at Salina Cruz Terminal Jeopardizes Shipments
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YHOO Likely to Pick Decker, Bartz, or 3rd Candidate for CEO Next Week
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Crude Down 3.5% at 40.27
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Exxon: Planned Repairs to Torrance, CA Refinery (150k BPD) Include Hydrotreater, Alky, Sulfur, FCC Units
::
10yr Up 0.75% at 126-08
::
Exxon Closes Units at Torrance, CA Refinery (150k BPD) for Maintenance
::
Barclays Cuts J Crew from $10 to $5
::

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Automated Traders proprietary tradability metrics 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.

alphability

Trend Alphability

The Alphability stats for determining the ‘trend friendliness’ of markets shown here are based upon determining the amount of noise around a hypothetical trend. The simplest variant of Trend Alphability depicted here consists of the R2 (coefficient of determination) of a linear regression line plotted through the data points between the bars on which the low and high of a trading session were made (or the reverse if the high was made first). The calculation is based on the mid point of price bars in a variety of time frames. Multiplying this daily Alphability metric by the high/low range for the day (expressed as a percentage change) gives a ratio of ‘trendiness’ to the maximum available reward. ...

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Automated Traders proprietary tradability metrics 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.

alphability

Trend Alphability

Subscribers Only Content

This article is for subscribers only, please either log into your account above or click here to purchase a subscription for Automated Trader Magazine.

Automated Traders proprietary tradability metrics 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.