Expected ratio between two stocks

[Kovacs]

Is there anywhere I can get the expected ratio between any two S&P 500 stocks for free?

For example, on trade ideas, you can get the expected ratio between XOM and XLE(http://www.trade-ideas.com/StockInfo/XOM/EXXON_MOBIL_CORP.html). But not the ratio between IBM and WMT.

 

[Bob111]

Quote from Kovacs:

Is there anywhere I can get the expected ratio between any two S&P 500 stocks for free?

For example, on trade ideas, you can get the expected ratio between XOM and XLE(http://www.trade-ideas.com/StockInfo/XOM/EXXON_MOBIL_CORP.html). But not the ratio between IBM and WMT.

you can do it yourself in excel for example.
IBM and WMT not in same group\sector-it imo-make no sense to pair them.
http://finance.yahoo.com/q/bc?s=WMT&t=1y&l=on&z=m&q=l&c=ibm

http://www.gummy-stuff.org/PairsTrading.htm

 

[Don Bright]

Quote from Kovacs:

Is there anywhere I can get the expected ratio between any two S&P 500 stocks for free?

For example, on trade ideas, you can get the expected ratio between XOM and XLE(http://www.trade-ideas.com/StockInfo/XOM/EXXON_MOBIL_CORP.html). But not the ratio between IBM and WMT.

Not sure what you mean by ratio in this case. For pairing (in same sector and subgroup etc.) we simply balance out the $$dollars to determine long short share size.

??

Don

 

[Kovacs]

Quote from Don Bright:

Not sure what you mean by ratio in this case. For pairing (in same sector and subgroup etc.) we simply balance out the $$dollars to determine long short share size.

??

Don

If you follow the trade ideas link, you'll see expected ratio under the Sector/Index Correlation. In this case, it's 0.8576 compared to XLE.

In other words, when XLE moves a dollar, XOM will move 85 cents. That's what I'm looking for.

I'd like to know how far WMT moves when IBM moves a dollar for example.

Thanks.

 

[Don Bright]

Quote from Kovacs:

If you follow the trade ideas link, you'll see expected ratio under the Sector/Index Correlation. In this case, it's 0.8576 compared to XLE.

In other words, when XLE moves a dollar, XOM will move 85 cents. That's what I'm looking for.

I'd like to know how far WMT moves when IBM moves a dollar for example.

Thanks.

LOL, you can compare a stock within an index to the index, but you can't compare an individual stock with another individual stock with the same formula. We use Simple ratio'd (to dollar neutral) charting to determine ranges over several periods of time.

I took a snapshot of a small percentage of the data we use for our correlated pairs trading, see if that makes some sense to you. Just trying to help.

Don

 

[Kovacs]

Quote from Don Bright:

LOL, you can compare a stock within an index to the index, but you can't compare an individual stock with another individual stock with the same formula. We use Simple ratio'd (to dollar neutral) charting to determine ranges over several periods of time.

I took a snapshot of a small percentage of the data we use for our correlated pairs trading, see if that makes some sense to you. Just trying to help.

Don

I see. Thanks, Don. I'll take a look at the spreadsheet sample.

 

[gehko]

Quote from Don Bright:

LOL, you can compare a stock within an index to the index, but you can't compare an individual stock with another individual stock with the same formula. We use Simple ratio'd (to dollar neutral) charting to determine ranges over several periods of time.

I took a snapshot of a small percentage of the data we use for our correlated pairs trading, see if that makes some sense to you. Just trying to help.

Don

i think I1 should be set to =AVERAGE(I7:I5000)

thanks for the sheet don...pouring through the calcs now