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Hi Mathew & Darren,
I’m trying to find a way to compare one stock to another based solely on past tendency for a stock to have gaps. I have been thinking of a method to be able to add a ‘gap risk’ component into a risk model but I don’t know if there is a way to script something like this. Here is what I have thought of:
A) A variable that adds up all gap space in percentages, up or down ( example: 15% )
B) A variable that adds up all non-gap space in percentages, up or down (example: 1000%)
Then with those data points:
Divide A into B = .015
Lets say this .015 is compared to a competitor’s stock that came up with .035 , then a conclusion could be the first stock has less ‘gap-risk’ and can a factor into a model.. The comparisons probably would have to start at the same time, example – last 10 years of data, contingent that both stocks have at least that much history.
Is this possible in scripting? Or maybe there is a better way to think about this with a different method?