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New Tool: Price Movement Analysis

Discussion in 'Equities' started by tom, Oct 19, 2014.

  1. tom

    tom Administrator Staff Member

    I've been building a new tool this weekend and I think it's ready to have some testers. It uses Yahoo symbols so the indices are a bit weird (RUT = ^RUT) for example.
    I have a drop down (like on the earnings tool) so you can pick some popular indices easier.

    OK..so what does this tool do?

    The short answer is it computes the mean, standard deviation and ranges for a symbol but you can group it in any number of days (up to 60) and optionally start on any day of the week. You can also use the open or close prices. Here's what it looks like:


    This shows SPX for the last six months in one day groups from close to close. Average movement was 9.07 points with a mean + 1 sigma of 17.50 points.

    Here's what it looks for the same period but starting on Friday and ending on Wednesday's open:

    I've tested it with a few stocks but not many. I have price data for a lot of stocks in my database (close to 3 million rows of data) and I lookup new symbols if it's not found in the database.

    I need some people to test it out and give me feedback so I can debug/improve it.

    It's in the members web site on the "Tools" menu. (just underneath the earnings tool).

    Let me know what you think.


  2. RayM

    RayM Well-Known Member

    Thank you very much for sharing...I will kick its tires
  3. tom

    tom Administrator Staff Member

    I just added a few improvements.

    - You can now choose to use the adjust close price (includes dividends and splits)
    - If you "Show data", it now shows the Adjusted Close and the Unadjusted Close prices
    - I show you how far back the data for a specific symbol goes. I added an admin tool on the backend for me to re-load data for a symbol if needed.
    - I show the most recent 12 symbols queried

    The DJI data wasn't loading from Yahoo so I have to remove that as I don't have any price data for that index now :(
  4. m&m

    m&m Member

    Hi Tom, the above setting will return aapl Mon(open) - Friday(close) from 6/9 to 11/3?
    if that is the case I have different results than the tool. I grabbed the data from yahoo as well.
    your tool shows
    maximum of -2.1
    average .53
    stdev .45

    my spreadsheet return
    max 1.15
    average .29
    stdev .659

    maybe my assumptions are wrong?
  5. tom

    tom Administrator Staff Member

    Hi M&M. I'll have to dig into the code for this one...

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