Technical Values DatabaseThe Technical values database,
(host: db10, database: technicals, tables: technicals and timedvol),
contains for each stock symbol or other ticker, the following information
which is computed overnight from the daily and intraday data for the ticker:
In the technicals table:
10,20,50,100 & 200 day Moving Average values
10,20,50,100 & 200 day Average Volumes
10,20,50,100 & 200 day Volatility (standard deviation of price)
10,20,50,100 & 200 day Volatility of returns (std of returns)
10,20,50,100 & 200 day Average of Returns
NB returns = (close_today-close_yestaday)/close_yestaday
10,20,50,100 & 200 day Autocorrelation of returns with previous days returns
10,20,50,100 & 200 day Autocorrelation of returns with two days ago returns
The autocorrelation measures how similar one days returns where with the
previous days, over a period of days.
It will be equal to +1, if price is increases by the same fraction all the time, and it will be equal to -1 if the next days price move always cancels out the previous days price move.
Generally the autocorrelation increases with the period its measure over
because the random movements tend to cancel out.
Number of consecutive previous days the symbol was gaining
Number of consecutive previous days the symbol was lossing
If the price falls for 4 days then goes up for the next 3 days to current,
then the, constant gains is 3 days, and the constant losses is zero.
The 'Beta','Alpha' and correlations of the symbol compared with FTSE100 and the SNP500
In the table timedvol:
In the timed volume table timedvol, the average volume for each 15 minute period of the day (in GMT) is stored.
e.g. vol_1600_1615 holds the average volume between 4pm and 4:15pm
|
Register with Email
