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Registered User
Joined: 3/2/2005
Posts: 120
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is there a way to write a pcf to sort stocks by their Betas.eg i am looking for stocks which have high Betas and instead of a 1 yr calculation i am trying to calculate for a 3 month or so
many thanks
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Registered User
Joined: 1/28/2005
Posts: 6,049
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You may be interested in this:
Create your own stock rankings using WatchLists and Sort conditions
Thanks
diceman
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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sgia,
Beta calculations in TeleChart are limited to the already included Fundamental System Criteria:
Beta - The coefficient which measures the volatility of a stock's returns relative to the market (S&P 500). It is based on a 36/60-month historical regression of the return on the stock onto the return on the S&P 500:
Ri = a + (Rm) + e
where Ri is the monthly total returns on the stock, a is the stock's Alpha, Rm is the monthly total returns on the market (S&P 500), and e is a random error term. A minimum of 12 monthly returns are required for this calculation.
A beta of 1 means that the market and the stock move up or down together, at the same rate. That is, a 5% up or down move in the market should theoretically result in a 5% up or down move in the stock. A beta coefficient of 2 suggests that the stock will tend to fluctuate twice as much as the market. That is, if the market moves up 5%, then the stock should move up 10%. A beta coefficient of 0.5 indicates that the stock will move one-half as much as the market, either up or down.
A negative beta indicates the stock tends to move in the opposite direction from the general market. That is, the stock price declines when the overall market is rising, or rises when the overall market is declining. Negative beta stocks are rare.
There is no syntax for referencing either another symbol (SP-500 in this case) or Fundamental data in TeleChart's Personal Criteria Formula Language. You may wish to review the following:
Definitions of all built in scanning and sorting criteria
Handy PCF example formulas to help you learn the syntax of PCFs!
How to create a Personal Criteria Forumula (PCF)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (Bruce_L) Beta - The coefficient which measures the volatility of a stock's returns relative to the market (S&P 500). It is based on a 36/60-month historical regression of the return on the stock onto the return on the S&P 500:
Ri = a + (Rm) + e
where Ri is the monthly total returns on the stock, a is the stock's Alpha, Rm is the monthly total returns on the market (S&P 500), and e is a random error term.
Bruce,
Please notice that the above equation has nothing to do with Beta and the statement below the equation does not even mention Beta.
The above should be modified to read something like:
Beta - The coefficient which measures the volatility of a stock's returns relative to the market (S&P 500). It is based on a 36/60-month historical regression of the return on the stock onto the return on the S&P 500:
Ri = a + b*Rm + e
where the Ri are the monthly returns of the stock, the Rm are the monthly returns of the market (S&P 500), and e is the error. The stock's Alpha and Beta are the values of the constants a and b, respectively, which minimize the mean square of the error e.
Thanks,
Jim Murphy
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (Bruce_L) A beta of 1 means that the market and the stock move up or down together, at the same rate. That is, a 5% up or down move in the market should theoretically result in a 5% up or down move in the stock. A beta coefficient of 2 suggests that the stock will tend to fluctuate twice as much as the market. That is, if the market moves up 5%, then the stock should move up 10%. A beta coefficient of 0.5 indicates that the stock will move one-half as much as the market, either up or down.
A negative beta indicates the stock tends to move in the opposite direction from the general market. That is, the stock price declines when the overall market is rising, or rises when the overall market is declining. Negative beta stocks are rare.
Bruce,
Please notice that the above is quite misleading, also. The above becomes less misleading as Alpha and the mean square error of the Linear Regression approach zero.
The whole writeup on Beta in the Help Files should be changed.
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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bustermu,
I'm not sure what to tell you. The Data Department has indicated that beta is not calculated by us. Both the formula and definition in the Help Files are provided by Hemscott. We do control the help files however. I'll see what I can do about having the entry reviewed and changed on our end.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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