stock price Run-up

[Lenon]

Hi folks

does anybody have the codes for calculating 1 year or 6 month daily stock price run-up ?

[M_Maldonado]

Lenon,

Below a data mining approach that you might want to try. If you want to go into time series analysis, you probably more about it than I do! It's been a while...

Data mining approach

Back in the day in grad school at the Institute for Advanced Analytics one of our teachers described a really neat idea:

Use a linear regression procedure to output the parameter estimates (betas) of a trend for a 1-day, 2-day, 3-day, and nth-day prediction (or hour for that matter). Then use those betas as inputs for a predictive model that predicts the nth+1 beta. If the nth+1 beta is positive then you have a positive run-up that is quantifiable in terms of both the magnitude and also the accuracy coming out of your best predictive model.

         [If someone knows the formal name of this technique, please comment about it! really interested!!!]

Lenon, give it a try with this approach. If you run into trouble, happy to dig up that code or try to reproduce it.

Good luck!

Miguel