The quantitative approach to investing has rapidly grown in application over the past 20 years. As home computers have increased in power and the internet has allowed unprecedented access to information, even the retail investor can now use this approach to the stock market. In this blog, we discuss a variety of quantitative approaches to investing, and provide analysis the current market state, as well as offer a number of unique insights into market sentiment.
Sunday, March 20, 2011
The BAT Computer - Market Analysis Software (Tutorial v0.9)
(Click image for full size view)
Top Left - 50 day candlestick pattern of the Nasdaq marketplace composite average. Weekends are included unlike most charts because, as you might find, they are important. The 10 day moving average is in red and the 25 day average is in green.
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Middle Left - Bar chart of volumes.
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Bottom Left - Momentum predictor calculated as,
Momentum = 10 DMA [ (Price Change * Volume) / (Price * Average Volume) ].
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Top Right - The price change % and volume represented as standard deviations from the average. Values of 0 imply the average price change % or the average volume. 2 standard deviations away implies that the price change % or volume is in the top or bottom 2 % all time.
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Middle Upper Right - Uncertainty calculated two ways.
Left - (High of day - Low of day) / abs(Price-Opening Price) - 1.
Right - STD( % Price change of ALL Nasdaq stocks).
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Middle Lower Right - Uncertainty calculated two ways.
Heat map of all Nasdaq listed stocks. Positive price changes are in green and negative changes are in red, with the colors maxed out at +/- 5% changes.
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Bottom Right
Coming soon! A neural network algorithm to predict the movement of the stock market using the measures in the BAT computer.
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