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Prog. for SPY Atr vs. Atr of all stocks in tradestation
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Prog. for SPY Atr vs. Atr of all stocks in tradestation

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Prog. for SPY Atr vs. Atr of all stocks in tradestation

Does anyone have a program that uses SPY's ATR and compares it to the ATR of all stocks in Tradestation?
Thanks Bill

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Does anyone have a program that uses SPY's ATR and compares it to the ATR of all stocks in Tradestation?
Thanks Bill

The ATR is not a normalized indicator. If you compare the ATRs of different stocks with the ATR of Spyder, it does not tell you anything.

Are you looking for stocks with a high beta? In that case you would need to calculate the covariance for the historical returns calculated for both SPY and an individual stock, then divide it by the variance of the returns for the individual stock.

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