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Filter Exchange · Risk-adjusted 1-year return (via Beta)
glgene
msg #153367
modified
8/2/2020 5:02:01 PM

OK, SF experts … please fire away at my SF script below, which attempts to calculate a risk-adjusted return (using Beta) 1-year return of the S&P 500 stocks. The columns are pretty descriptive.
Questions:
1) Is it wrong to use Beta? Or should I use Standard Deviation? Or does neither do the job?
2) How long is the period for the standard Beta calculation in SF? (I'm assuming 1 year.)

My sort column is the risk-adjusted beta 1-year return (descending).

Any constructive input is appreciated. Thank you.
-- Gene in FL

Fetcher[/* Risk-adjusted 1 year return*/
sp500

add column avgvol(50)
set{a, volume/avgvol(50)}
add column a{vol/ avg50}
add column separator
add column weekly roc(1){roc 1 wk.}
add column weekly roc(4){roc 4 wks.}
add column weekly roc(13){roc 3 mos.}
add column weekly roc(26){roc 6 mos.}
add column separator
add column weekly roc(52){roc 1 year}
add column beta
set{b, weekly roc(52)/beta}
add column b{risk-adjusted beta 1 yr. return}
add column separator
add column standard deviation{std.dev}
add column separator
add column pe
add column separator
add column industry
add column separator
add column fi(13)
add column separator

sort column 15 descending
]





Filter Exchange · "Do Not Show Volume Column" in the Filter
glgene
msg #152957
7/5/2020 11:59:16 AM

I have been under the impression that SF’s standard 3 columns were fixed, and couldn’t be deleted:

— Last
— Chg(%)
— Volume

Am I right or wrong?

Gene in FL

General Discussion · Days Ago annoyance and question
glgene
msg #152807
6/26/2020 7:07:06 PM

Same with a 10-day moving average, such as...

Add column MA(10)
It covers 10 “market” days.

Or...

Add column ROC(5)
which covers 5 “market” days
of performance % results.

— Gene in FL


General Discussion · Days Ago annoyance and question
glgene
msg #152803
6/26/2020 4:35:39 PM

Days = trading days, not calendar days.

General Discussion · Find stocks price average percentage change for last 5 days
glgene
msg #152677
modified
6/18/2020 7:35:46 PM

Here are 2 more additions to my previous script:

1) There is a "count" of the # of up Days over the past 5 days (0-5). It is a summation count of #2 below.
2) D1 thru D5 represents Days 1-5; a "1" means it was an up day; "0" it was a down day.

Fetcher[
/* next 2 lines from original script reply*/
close > 1
average volume (20) > 258000

Add column avgvol(50){avgvol(50)}
Set{vol, volume/avgvol(50)}
Add column vol multiplied by 1{vol/ avg50}
Add column separator
Add column industry

add column separator
add column close 5 days ago{price 5d ago}
roc(5) above 0
add column separator
add column roc(5){ROC(5d)%}
add column separator

sort column 12 descending

/*Up Days calculation below*/
set{p0, count(close > close 1 day ago,1)}
set{p1, count(close 1 day ago > close 2 days ago,1)}
set{p2, count(close 2 days ago > close 3 days ago,1)}
set{p3, count(close 3 days ago > close 4 days ago,1)}
set{p4, count(close 4 days ago > close 5 days ago,1)}

set{z, p0 + p1}
set{zz, z + p2}
set{zzz, zz + p3}
set{zzzz, zzz+ p4}
add column zzzz{Days+}
add column separator

add column p0{d1}
add column p1{d2}
add column p2{d3}
add column p3{d4}
add column p4{d5}
add column separator
]


Gene in FL

General Discussion · Find stocks price average percentage change for last 5 days
glgene
msg #152663
modified
6/16/2020 9:47:23 PM

Added volume and industry to my script above

Fetcher[
/* next 2 lines from original script reply*/
close > 1
average volume (20) > 258000

Add column avgvol(50){avgvol(50)}
Set{vol, volume/avgvol(50)}
Add column vol multiplied by 1{vol/ v.avg}
Add column separator
Add column industry

add column separator
add column close 5 days ago{price 5d ago}
roc(5) above 0
add column roc(5){ROC(5)%}
sort column 11 descending
]


Gene in FL

General Discussion · Find stocks price average percentage change for last 5 days
glgene
msg #152639
modified
6/14/2020 10:53:05 PM

Would some please help me to find stocks price average percentage change for last 5 days
and filter percentage change > 0

Fetcher[
/* next 2 lines from previous script*/
close > 1
average volume (20) > 258000

add column separator
add column close 5 days ago{closing price 5 days ago}
roc(5) above 0
add column roc(5){% gain past 5 days}
sort column 7 descending
]



Gene in FL

General Discussion · A big Congrats to Ed S. (aka Nibor100)
glgene
msg #149991
12/23/2019 5:51:24 PM

Ed,

You are too humble. There are 84 User Groups (worldwide) in VectorVest... and you captured 1st place in the USA contest... and, in addition, 1st place among contestants from all 84 Worldwide Groups (spread across 7 countries).

In essence... You are #1 (twice). Enjoy that “double” honor!

Gene in Florida



General Discussion · A big Congrats to Ed S. (aka Nibor100)
glgene
msg #149966
12/21/2019 10:04:00 PM

Ed S. (Nibor100) — is not only a StockFetcher whiz. He’s also a world-class winner in VectorVest!

Ed entered a VectorVest contest entry in the USA for scripting a stock buying/selling ‘paper’ portfolio for the month of October 2019. Well... he not only captured 1st place among USA entrants, but he also won the worldwide competition (7 countries) at the same time! #1 and #1.

Bravo, Ed S.

-Gene in Florida





General Discussion · “Ulcer Index” in StockFetcher?
glgene
msg #149379
10/18/2019 10:06:38 PM

Thank you Ed (nibor100), Cheese and Xarlor...

I’ll work with the script you provided. Well done! I’ll be seeing Ed tomorrow at a monthly meeting we both typically attend.

Gene in FL

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