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Total posts in this thread: 5 |
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scottlu
Member
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Hello, I enjoy your product, thank you! This is a bit of a feature request: I'd like an FAverage function for screens, that uses parameters similar to FRank, so I can specify #Previous. I noticed IndAvg but it doesn't work in screens and doesn't get me what I want (I think). My use case: I want a screen criteria that compares against the average market cap of companies above $200M. Thanks! ---------------------------------------- [Edit 1 times, last edit by scottlu at Feb 19, 2012 12:11:24 PM] |
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marco
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Why not use FMedian ? Using averages in financial data is very iffy due to big outliers. ---------------------------------------- Portfolio123 Staff |
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scottlu
Member
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Thanks for your reply. I imagine it would be problematic. The main reason I'm interested is that I'm looking at screens from O'Shaughnessy's book "What Works on Wall Street", and some of them call for averages in a few places. For example to identify his small stock universe, he uses stocks below the average market cap. There are a handful of additional places he uses averages. Median wouldn't be a faithful implementation of these screens. Thanks. |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Scott, The ability to calculate averages would be helpful. In the mean time try using FRank. That allows you to rank the stocks in order of various functions. To screen for stocks that have an MktCap less than the average MktCap use: FRank("MktCap",#All,#DESC,#Previous) < 50; that will give you 4077 stocks as of today. Be careful though, of those 4077 stocks there are only 649 that have a liquidity > AvgDailyTot(60) > 100000. Be sure to add a minimum liquidity rule to your screen. Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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scottlu
Member
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Hi Denny, Thank you for your help! I use FRank quite a bit. In this case though, I really am looking for the average. Thank you for your liquidity rule suggestion, I'm always looking for info on appropriate liquidity measures. Scott |
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Re: Calculating averages in screens
