Tag Archives: calculate

How to calculate beta ATR implied volatility with IQFeed in Python

How to calculate beta ATR implied volatility with IQFeed in Python

Because of this literal showstopper, I have decided to find a few workarounds on a non Windows environment

I AM OFFICIALLY DUMPING MICROSOFT WINDOWS 10

Here are some links and Python code to help you out

#https://pypi.python.org/pypi/stockstats
import stockstats
import pandas as pd

#better to use IQFEED to create CSV
#create csv from http://stackoverflow.com/questions/22991567/pandas-yahoo-finance-datareader
#use Gaspare Bonventre answer
stock = stockstats.StockDataFrame.retype(pd.read_csv('stocks.csv'))
print stock.get('atr')

#calculate beta (R Squared) from http://gouthamanbalaraman.com/blog/calculating-stock-beta.html
#implied volatility with option pricing
#http://stackoverflow.com/questions/35391850/implied-volatility-calculation-in-python

 

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How to calculate a beta on a stock asset vs Standard N Poor 500 index for performance comparison

How to calculate a beta on a stock asset vs Standard N Poor 500 index for performance comparison

Here is my definition of beta as I explain in my video. Beta is used to calculate to be used in position management

http://www.investopedia.com/terms/b/beta.asp

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Note I switched the regression with:

mdl = fitlm(x,y) %function closest to Exlce Data Analysis regression package

beta = mdl.Coefficients.Estimate(2);
pval = mdl.Coefficients.pValue(2);

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Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

This calculation can be used to figure out your beta of returns of closing price. Do this in order:

1. Download the closing price of your stock and index( i.e. S&P 500) to calculate returns

2. Use both returns to run a regression. Use Excel Data Analysis option plugin pack.

3. Calculate your output range with a plot. You should see a regression summary once calculated

4. To interpret the graph, you will see the returns with an observed regression line. This is caclulated by ordinary least squares. If the index is your x axis while the Y axis is the stock, it measures the response against the index. THe line is the gradient of the slope which measures if < 1, the beta amount could be calculated the stock is defensive.

5. The beta value is displayed in the summary. The R^2 is tha variation in returns of the stock. Beta x amount can mean the returns of the stock can be explained by the stock market from a statistical POV.

6. P-values of the X variable which is beta. If < 0.05, it is considered statistically insignificant. The P-value lets you know the probability that the beta could be 0.

Hope this helps somewhat

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Do you think this the easiest way to calculate Implied Volatility with Excel with FREE Yahoo Finance data?

A couple of things list to summarize where I am at. I posted this recently:

Is this the easiest way to calculate Implied Volatility with Excel?See more 

Simple yes, but hard to implement as there are few examples of this actually programmed. It is due to less faith in IV for forecasting I believe. I think it is fine for long term horizon vs intraday trading. I posed this for my members:

Forward looking implied volatility with Excel add in and Matlab script for Yahoo Finance option chain data See more

 

It includes a full 30 minute walkthrough video with my most up to date Excel spreadsheet with an implied volatility calculation.

This is basic stuff but man, this new system will really change my view on profitable LONG TERM trading but I am working on this system with this new attitude. I am not saying it will guarantee profit, but it will have highly advanced ways to setting parameters to keep you profitable or at least reduce your risk of the downside with open positions.  I don’t think you will get this kind of system anywhere else.

Anyhow, I will detail this further in tomorrow’s email especially my view on this IV thing.

As result, if you are interested in seeing my postings on this in the backend as I my members do, consider joining by going here. I cannot implore the many benefits listed which of course you get source code!

Lastly, this video you may not have seen which reflects my view of this new attitude I got towards trading. Watch this video here:
So what i use for technical analysis with Excel and free Yahoo Finance dataSee more

I hope this really gets you excited as I am to develop it.

Bryan

 

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CAPM demos to calculate stock beta efficient frontier and portfolio management weight allocation

CAPM demos to  calculate stock beta efficient frontier and portfolio management weight allocation

http://www.mathworks.com/discovery/capm.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/investment-performance-metrics-1.html

http://www.mathworks.com/help/finance/examples/capital-asset-pricing-model-with-missing-data.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/portfolio-selection-and-risk-aversion.html#f9-6202

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Working demo of primitive model with real time market data to calculate quant and submit market order

Working demo of primitive model with real time market data to calculate quant and submit market order

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