Beta On Increase [BetaOnInc]

Return to Complete List of Functions

The Beta On Increase function compares changes in a field to changes in a benchmark index over a given period of time when that index is increasing. Parameters ------------------ Close                The closing price of the security for each given day. Index Value      The value associated with a benchmark market index for each given day.                          Typically, this is the value of the S&P 500. Change Period The number of bars of data to include in the volatility measurement, not including the current value.                          For example, a change period of 5 compares the current value with the value five bars ago. Analysis Period The number of bars of volatility measurements to analyze to produce a value.                          For example, an analysis period of 10 includes the current volatility with the previous nine values. Note that while this function is intended for use with these specific values, any values can be used for these parameters, including other price values and averaged prices. Indicator Value ------------------------ The Beta is designed to be a measure of volatility relative to the market as a whole. It compares the percent change in the price of a security to the percent change in the value of the market based on a market index. Both percent changes are taken over a given (Change) period. The slope of a linear regression between these values is then taken over a (Analysis) period to produce a value. Beta values greater than 1 indicate that the price of the security changed by a larger percentage than the market as a whole. Values less than 1 indicate that the price changed by a smaller percentage. Negative values indicate that the price tends to move contrary to the market. Usage ----------- Beta On Increase is typically used as a measure of risk for a security. Beta values greater than 1 indicate that the price of the security has a tendency to move faster than that of the market. In an advancing market, the value of the security will tend to gain more than the market. However, in a declining market, the value will tend to lose more than the market. Beta values less than 1 indicate the opposite, that the price will change less than that of the market.