Creating an Index
- Thread starter carltonp
- Start date
You need something like TradeStation or similar. I use to do my own custom index in TradeStation many years ago when I used their software. I'm sure there's other programs out there that would allow you to do such.
In addition, I remember someone here at ET posting several years ago about doing such in excel.
Mark
An index of 10 stocks you favor has probably no value whatsoever. Popular indices have value for TA for example simply because they are popular. You will be wasting your time.
A better analysis would be to see how your portfolio returns correlate to those of a benchmark index like the SP500 for example. Then you will know your alpha and beta.
Anyway, usually indices are calculate based on market cap weights. They are something like this:
Index = SUM over i (Pi x market cap i)
Pi = price of stock i
You're welcome. I can't remember whom but there were actually several different custom index ideas I've seen over the years here at ET.
Not sure if any of them will be suitable for your needs after you do your research to find more info nor can I remember what specific software they were using besides TradeStation or excel.
Mark
carlton i use excel to create an equal weighted index
for the ftse100 and sp500.
i simply look at the open, minus the last price which updates
every few seconds for a basket of stocks. You can also add volume
and advancer/decliners if you want to experiment with different fields.
you could use TOS which has a very good excel dde link
to create your index.
do a search for the member named edgehunter, he has wrote
a few posting on creating custom indices.
for the ftse100 and sp500.
i simply look at the open, minus the last price which updates
every few seconds for a basket of stocks. You can also add volume
and advancer/decliners if you want to experiment with different fields.
you could use TOS which has a very good excel dde link
to create your index.
do a search for the member named edgehunter, he has wrote
a few posting on creating custom indices.
hello, just curious what would you do with custom index, how would you use it? Thanks.
on ET since 2005 and still have no idea?..
just an example..based on whatever criteria you build a portfolio of stocks(that suppose to outperform the market),put them into index. now you can test them agaist whatever.... then...short etf against it. and you have market neutral portfolio..just one random idea that comes to my drunk brain at this particular moment...