How to find highly correlated stocks within a list of 50 securities?
Salty Gibbon
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Not a clue.
Excel solution
I'd copy data for each stock to Excel (either copy and paste from charts or use the downloader to export an excel readable file). Then use the correl function and a cross table to highlight which (if any) have a reasonable correlation.
Good luck
Babymushbabymush said:
I'd copy data for each stock to Excel (either copy and paste from charts or use the downloader to export an excel readable file). Then use the correl function and a cross table to highlight which (if any) have a reasonable correlation.
Good luck
FetteredChinos
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i agree with what gcb has said. i think the Correl function is the spearman rank coefficient-tie-my-shoelaces function.
is pretty accurate.
only problem is... i would struggle to see how you could use this information effectively.
you would have to download the data in real-time to try to exploit the differences etc.
could be a LOT of hard work, for correspondingly little reward.
a bit like housework.
is pretty accurate.
only problem is... i would struggle to see how you could use this information effectively.
you would have to download the data in real-time to try to exploit the differences etc.
could be a LOT of hard work, for correspondingly little reward.
a bit like housework.
TheBramble
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The only thing I could find:-
http://www.lokbox.net/stockc/Scenarios/WhichToBuy.htm
Not used them. Not recommending them.
http://www.lokbox.net/stockc/Scenarios/WhichToBuy.htm
Not used them. Not recommending them.
You could take a look at www.pairstrader.com they do some software that will do the job for you but you have to pay a monthly fee, they used to have a free calculator to do the job for you but it seems to have vanished.
Hi,
I’m not sure whether you’re asking the right question here? How are you going about picking your list of 50 securities and why are you taking this approach?
It seems to me that what you’re really trying to do is to perform a Beta Analysis on your list of 50 securities? If this is the case, why don’t you try typing Beta Analysis or Beta Factor or Coefficient of Determination (Trading?) into Google and check out the results?
If you want a quick result then I suggest you take a two week trial of Updata’s Technical Analyst software, which you’ll find here: http://www.updata.co.uk/shop/freetrialAll.asp
The software will allow you to export the results to a CSV file, as you wish?
The important point is that while you would normally run a Beta Analysis against the Market Index which represents a proxy for the market return as a whole, the software gives you the option of running the Beta Analysis against any other instrument. This will give you the option of determining the risk within individual market sectors against the sector index rather than against the market as a whole, etc.
I’m not really sure what you’re looking at here, but you should be able to get the exercise done and dusted within an hour or so from start to finish?
HTH
Cheers
Mayfly
I’m not sure whether you’re asking the right question here? How are you going about picking your list of 50 securities and why are you taking this approach?
It seems to me that what you’re really trying to do is to perform a Beta Analysis on your list of 50 securities? If this is the case, why don’t you try typing Beta Analysis or Beta Factor or Coefficient of Determination (Trading?) into Google and check out the results?
If you want a quick result then I suggest you take a two week trial of Updata’s Technical Analyst software, which you’ll find here: http://www.updata.co.uk/shop/freetrialAll.asp
The software will allow you to export the results to a CSV file, as you wish?
The important point is that while you would normally run a Beta Analysis against the Market Index which represents a proxy for the market return as a whole, the software gives you the option of running the Beta Analysis against any other instrument. This will give you the option of determining the risk within individual market sectors against the sector index rather than against the market as a whole, etc.
I’m not really sure what you’re looking at here, but you should be able to get the exercise done and dusted within an hour or so from start to finish?
HTH
Cheers
Mayfly
Last edited:
theknifemac
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Perhaps babymush is looking to create some pairs to trade ?
See the link....it is one package that picks up correlated stocks in a group....babymush said:
Have a word with Paritech....
http://www.paritech.co.uk/uk/products/software/visualtrader.asp
IMO This looks good: http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0471584282,descCd-description.html
You should be able to get for circa $50-60 US via http://www.abebooks.com/
HTH
Cheers
Mayfly
You should be able to get for circa $50-60 US via http://www.abebooks.com/
HTH
Cheers
Mayfly
theknifemac
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Mayfly said:
Yup its quite a good book but perhaps a bit basic. I say this without having finished the book. The writing style of the author is excellent and he explains how to setup spreadsheets to track a pair etc. Another book worth considering is
https://www.amazon.co.uk/exec/obido...206/ref=sr_8_xs_ap_i1_xgl/202-5441049-8247846
Which is a lot more mathematical judging by the reviews and marketing spiel.
HTH
Stew
