betagainst
Finance and crypto
stock correlation finder
SHOW HN2022
How HN took it
5 positive, 26 neutral or asking, 5 mixed, 14 critical, out of 50 comments about the project. Thread score -0.20.
Idea: 3 for, 6 againstExecution: 1 for, 6 againstPerformance: 0 for, 2 against
The thread, comment by comment
Each row is a top-level comment and its replies, in HN's order. Select a cell to open that comment on HN.
positive neutral or mixed critical about another commenter or something else the maker
What HN said
Objections
Correlation is an unreliable basis for hedging and betting; correlations change over time
From 3 comments
Couple of random thoughts: - Building things like this is always great. And its a fun site to poke around on. - I would not count on this approach or expect it to be reliable in…
HFguy on HN"We calculate the correlations between 2 securities on the daily closing values of the last 20 years." It's better to correlate daily returns than daily prices, since the latter…
Bostonian on HNCorrelation between assets change over time. Predicting what the correlation will be in the future is important for asset managers. I am supervising a master thesis project (in…
surfsvammel on HN
Splits and dividends are not handled correctly, producing wrong results
From 3 comments
Well this tool does not cater for splits and dividends :-/ very misleading IMO
flying_sheep on HNThis tool does not correctly handle stock splits and thus all the correlations it produces are wrong for any stock that has ever had a split or a reverse split. It shows a split…
dmitrygr on HNData source? Did you correct for splits and dividends? Why not use returns? Nice idea, but we’re left with so many questions.
Def_Os on HN
Server timeouts and rate-limit errors under load
From 4 comments
Super useful! However, I get a “504 Gateway Time-out” error for https://betagainst.fun/asset/bz__f_bno/. HN hug of death?
runeks on HNGetting 429 status codes after I hit search
daxaxelrod on HNHN Hug of Death continues. 503 and 504 all morning. Congrats?
TradingPlaces on HNThis is a really great idea, unfortunately also getting 504s.
dom96 on HN
Index funds like S&P 500 and DJI give meaningless results
From 2 comments
Very cool, although index funds like S&P 500 and DJI don't seem to work. https://betagainst.fun/asset/_gspc_spy/ https://betagainst.fun/asset/_dji_dia/
vortico on HNThat doesn't make any sense anyway. You're asking what are the highest and lowest correlations of the market against the market itself. You cannot compare the same or roughly the…
andrewmcwatters on HN
Requests
Use daily returns instead of prices, and a shorter window than 20 years
From 1 comment
"We calculate the correlations between 2 securities on the daily closing values of the last 20 years." It's better to correlate daily returns than daily prices, since the latter…
Bostonian on HN
Add lagged correlations
From 2 comments
Are you also considering time lagged correlations? To me I don't care if a certain stock is correlated by something, I would more like to know which stocks do have correlations…
karxxm on HNI want LAGGING correlation please thanks.
matt321 on HN
Add cointegration as well as correlation
From 2 comments
I wonder if correlation is the best measure. Cointegration might be more important for this sort of trading. And might be a supplementary measure you want to add since you’re…
omarhaneef on HNGreat project! Even more so, congrats on shipping something! A little tip from someone who dabbles in algorithmic trading, look into cointegration as well as correlation. Also,…
loxias on HN
Support more tickers, indices, currencies and commodities
From 4 comments
Does this support all publicly listed tickers? It didn't seem to find the few I searched for.
lbhdc on HN"any stock"? First two I tried are not available.
ltbarcly3 on HNCool. Not sure how useful it is considering what other commenters said, but is there anything like this for indices or currencies? Also, typo: Higest -> Highest
throwamon on HNNice. I've been stewing on a similar idea but that finds correlations in equities with commodity futures.
c_o_n_v_e_x on HN
Questions
Where does the data come from and is it split and dividend adjusted
From 2 comments
Where do you get your data from?
throwaway4good on HNData source? Did you correct for splits and dividends? Why not use returns? Nice idea, but we’re left with so many questions.
Def_Os on HN
Alternatives named
Beta calculations and risk models
From 2 comments
Couple of random thoughts: - Building things like this is always great. And its a fun site to poke around on. - I would not count on this approach or expect it to be reliable in…
HFguy on HNThe correlation of an asset to the market is the definition of 'beta' and it is not technical analysis (from investopedia): "Beta is a measure used in fundamental analysis to…
JackFr on HN
Factor.fyi SQL correlation query
From 1 comment
This is pretty easy to do in SQL too! https://factor.fyi/questions/top-10-aapl-correlating-stocks-s7v8xk0nsu
sdcoffey on HN