Multiple time period correlations
Okay, we now have three time periods covered for every stock in our database - 200 days, 100 days and 30 days. It took a little while to get things optimized so that we could re-run the calculations every days. Remember - we have well over 8000 stocks in the database, so that is (8000*8000)/2 = 32 million correlations that need to be calculated for each time period.
What the heck is the deal with IBM? It seems odd that no other stock has a positive correlation over 200 days that is above .80. It seems that MSFT is also weird - nothing over .80 for 30, 100 or 200 days.
How often are your 32 million correlations calculated? Pretty impressive. We keep correlations to sectors and broad market indicators for all stocks. http://www.trade-ideas.com/StockInfo/AAPL/APPLE_COMPUTER_INC.html#Technicals
Let me know if there’s a complimentary or peer-based association that’s possible.
Hey David!
I run them every morning (when I remember - I need to create a cron job). It was taking forever when I was depending on SQL, so I just wrote it all in Java and do everything in memory. Nice and quick on a 64-bit AMD processor and 64-bit Linux!
You guys at trade-ideas seem to be doing quite a good job - plus you work with real-time data, right?
Let me know if you come up with any good ideas for complimenting each others’ sites - I am trying to find the path least tread.
Dear Eric,
I’ll certainly add you to our blogroll (http://marketmovers.blogspot.com/) - yours is an informative site. You can look at some of the tools that other blogs have used to enhance their content. Free TA stock reports and EOD scans: http://www.trade-ideas.com/StockInfo/; Samples of real-time alerts in a banner or ticker form: http://www.trade-ideas.com/Banners.html
A list of some the blogs using this data: http://blog.fallondpicks.com/; http://downtowntrader.blogspot.com/; http://nasdaqtrader.blogspot.com/
Send me an email if we can do something.
Best, D