Registered User
Joined: 6/19/2014
Posts: 40
|
Hi:
I ran into a term/measurement I hadn't seen before called positive weighted alpha (that Zacks uses), and read the definition is: The exact formula for weighted alpha can be modified based on the preferences or objectives of the individual analyst. One version of weighted alpha might apply a weight of 1.5 to all activity within the past three months and a factor of 0.5 to all activity between nine and 12 months ago. Others may apply a gradually declining weight to all price movements as they stretch further back in time.
I don't see anything in the forums on in v17. Is this anything you could help me take a crack at it, or are there equivalent formulas that are predictive at continued gains-momentum?
Thanks, Fred
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
Is it just a weighted percent change? If so, there have been formulas written for IBD Relative Strength. It has a weighted percent change which is then converted to a percentile rank later.
40 * C / C63 + 20 * C / C126 + 20 * C / C189 + 20 * C / C252 - 100
I would think you would generally want the values to add up to unity (1 or 100%), but maybe this is not the case with a weighted alpha.
If you used a factor of 1.5 for the past three months and it overlaps like the IBD Relative Strength (so not adjusted for unity) you would get the following.
150 * C / C63 + 50 * C / C189 + 50 * C / C252 - 250
Adusted for unity this would be the following.
60 * C / C63 + 20 * C / C189 + 20 * C / C252 - 100
If the periods are overlapping then not adjusted for unity this would be the following.
150 * C / C63 + 50 * C63 / C189 + 50 * C189 / C252 - 250
And adjusted for unity it would be the following.
60 * C / C63 + 20 * C63 / C189 + 20 * C189 / C252 - 100
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|