glgene
616 posts
msg #149322
- Ignore glgene |
10/11/2019 10:04:35 PM
Does anyone know the the look-back periods for these indicators used in StockFetcher:
*Beta
*STD Dev
If so, what are they?
Gene in FL
|
nibor100
1,031 posts
msg #149326
- Ignore nibor100 |
10/12/2019 12:36:34 PM
Hey Gene,
Beta is 36 months according to SF
It looks like Standard Deviation period is set by a user by putting a value inside the parentheses, according to SF.
Ed S.
|
glgene
616 posts
msg #149327
- Ignore glgene |
10/13/2019 6:39:13 AM
Thanks, Ed...
I’m trying to work on a SF script where I can show a “risk-adjusted” rate of return, taking into consideration the volatility of a stock’s beta (or standard deviation). In other words — looking back, say, 1 year —
SP500
Set {a, ROC(252) / Beta}
Add column a {RAR}
Sort column (?) descending
This would produce a table of S&P 500 stocks that would rank (sort) such stocks with the best (highest) risk-adjusted returns at the top.
Not sure if this really means anything, but it’s just something I would like to work on. Maybe I can show you next Saturday if you’re going to be at our local VectorVest User Group meeting. Will you be there?
Gene in FL
|
xarlor
581 posts
msg #149328
- Ignore xarlor |
10/13/2019 10:42:03 AM
|
nibor100
1,031 posts
msg #149329
- Ignore nibor100 |
10/13/2019 1:08:01 PM
Hey Gene,
Currently, I'm planning on being there next Saturday.
Ed S.
|