Stats

The manager of an automated trading fund made some decisions based on certain rules. There are three main rules: first, a stock must be above its 200-day simple moving average, which is a fixed line on a stock chart, to be considered; second, the stock's return over the last 12 months determines its rank among the eligible stocks; and third, the average true range, which is a measure of how much a stock's price moves, sets the risk distance, but does not change the ranking. The manager used data from two sources: https://runway.adityaperswal.workers.dev/data/stock-bars SIPall and /data/crypto-bars, which were completed on September 11 and 12. The manager measured several things for each stock, including its symbol, the percentage distance from its simple moving average, the percentage of its average true range, whether its momentum is positive, and whether it is above its simple moving average. The measurements were as follows: for SPY, the distance from its simple moving average was 7.337287014925442 percent, its average true range was 0.7134543170785934 percent, its momentum was positive, and it was above its simple moving average; for QQQ, the distance was 8.437307785361249 percent, the average true range was 1.1006637477618617 percent, the momentum was positive, and it was above its simple moving average; for IWM, the distance was 5.756535927075612 percent, the average true range was 1.0628699505001888 percent, the momentum was positive, and it was above its simple moving average; for EFA, the distance was 5.986340973057924 percent, the average true range was 0.8255576382380494 percent, the momentum was positive, and it was above its simple moving average; for EEM, the distance was 9.843937089087106 percent, the average true range was 1.404245283018866 percent, the momentum was positive, and it was above its simple moving average; for GLD, the distance was -4.1267314925787835 percent, the average true range was 1.994243548912908 percent, the momentum was positive, and it was below its simple moving average; for TLT, the distance was -4.2964242815131115 percent, the average true range was 0.8546123407938669 percent, the momentum was not positive, and it was below its simple moving average; for BTC/USD, the distance was 10.23084699121144 percent, the average true range was 3.0220543933656248 percent, the momentum was not positive, and it was above its simple moving average; and for ETH/USD, the distance was 22.823428682319435 percent, the average true range was 3.738691610769314 percent, the momentum was not positive, and it was above its simple moving average. Seven of the nine stocks were above their simple moving averages, and five of them had both a positive 12-month return and were above their simple moving averages. GLD had a 12-month return of 18.9435 percent, but was 4.1267 percent below its simple moving average. BTC and ETH were above their simple moving averages by 10.2308 and 22.8234 percent, respectively, but their 12-month returns were -33.4506 and -46.4335 percent, respectively, which put them in eligible ranks 6 and 7. The manager did not add a rule that only stocks with positive returns could be considered, which means that BTC and ETH would have qualified if they had been in the top 3 under the current rules. EEM was above its simple moving average by 9.84394 percent, and its average true range was 1.40425 percent of its price. QQQ and IWM had average true ranges of 1.10066 and 1.06287 percent, respectively. The manager decided not to substitute other stocks for EEM, QQQ, and IWM, in part because of their affordability as whole shares.