Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

High Beta Scanner – Amibroker AFL code

1 min read

Beta is a volatility measurement compared to the market (benchmark) returns. It is calculated using regression analysis. If the Beta is greater than 1. Let say 1.5 it means the stock has the tendency to move 50% more than the benchmark index i.e if the index moved 1% then the stock would have moved 2% in terms of returns(either positive or negative). If the Beta is 0.5 then it means the stock will make only 1% returns for every 2% returns in index and if beta for a stock is less than 1 then such stocks are termed as low beta stock. If the Beta = 1 then both the stock and the benchmark index move in the same direction and yields the same returns.

High Beta Apollo Tyre

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High Beta Stocks

If Beta of a stock is more than 1.5% then such stocks are terms as high beta stock. Which relatively shows more volatility than the benchmark Index. Generally intraday traders and short term positional traders trade high beta stocks to generate high returns by taking high risk.

The Beta of the stock constantly vary with respect to time. So a high beta stock over a period of time may not be a high beta stock as it beta change with time.

How to Install High Beta Scanner?
1)Download the High Beta Scanner to your local machine -> Unzip it and save it in your Program Files->Amibroker->Formulas->Exploration Folder and Set the Benchmark Index in the AFL code line 3. In my case i opted NIFTY-I as the benchmark index
2)Open New Analysis -> Settings -> Choose Periodicity as Daily
3)Select All Symbols from the Apply To drop down menu
4)Select the range option to 1 Recent Day(s)
5)Press Explore Button
6)You are Done

List of High Beta Stock Futures as on 20th Feb 2015 where beta > 1.5 in relative to Nifty Futures

High Beta Scanner – Amibroker AFL Code

https://gist.github.com/373c6f8e8fcf41dd42cd

Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

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9 Replies to “High Beta Scanner – Amibroker AFL code”

  1. Hi Rajandran thanks for great scanner can you add volume also. That will help more. Thanks again.

  2. Hi Rajandran

    I tried the High Beta Scanner, but I’m afraid it produces no results. I used the ^FTSE as the benchmark, and then scanned the FTSE AIM sector, but nothing came up on over 800 shares! Obviously something is wrong.

    Can you help?

    Thanks

  3. Hi Rajandran,

    I have never used AmiBroker before. I just need high beta stocks on a daily basis. I have followed the steps you gave but on AMIBROKER when I click ‘Explore’ it says ‘Can not open formula file’. Can you please guide me on this.

    Regards
    Padma

  4. Greetings Rajendran,

    I did an exploration on all the NSE stocks in futures today, Strangely I see SUN TV showing a negative beta value -4.43 while SUNTV really shot up with handsome returns.

    What is your definition of negative Beta Value in Intraday trades ? Please comment as I feel this would greatly help every body.

    Thanks for all that you do !

    Cheers
    JS

  5. hello,
    as you said “The Beta of the stock constantly vary with respect to time” then can you please explain what time frame to calculate BETA this AFL takes in consideration? can i change it ?

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