Beta shows how strongly one stock responds to systemic volatility of the entire market. More info ...
// usage
IEnumerable<BetaResult> results = Indicator.GetBeta(historyMarket, historyEval, lookbackPeriod); | name | type | notes |
|---|---|---|
historyMarket |
IEnumerable<Quote> | Historical [market] Quotes data should be at any consistent frequency (day, hour, minute, etc). You must supply at least N periods of history. This market history will be used to establish the baseline. |
historyEval |
IEnumerable<Quote> | Historical [evaluation stock] Quotes data should be at any consistent frequency (day, hour, minute, etc). You must have at least the same matching date elements of historyMarket. Exception will be thrown if not matched. |
lookbackPeriod |
int | Number of periods (N) in the lookback period. Must be greater than 0 to calculate; however we suggest a larger period for statistically appropriate sample size. |
IEnumerable<BetaResult>The first N-1 periods will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.
| name | type | notes |
|---|---|---|
Index |
int | Sequence of dates |
Date |
DateTime | Date |
Beta |
decimal | Beta coefficient based on N lookback periods |
// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> historyTSLA = GetHistoryFromFeed("TSLA");
IEnumerable<Quote> historySPX = GetHistoryFromFeed("SPX");
// calculate 20-period Beta coefficient
IEnumerable<BetaResult> results = Indicator.GetBeta(historySPX,historyTSLA,20);
// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
BetaResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("Beta(SPX,TSLA,20) on {0} was {1}", result.Date, result.Beta);Beta(SPX,TSLA,20) on 12/31/2018 was 1.676