Market Data

Price Score

The Market Data Module also contains the Japan Analytics Price Score which is a measure of the deviation of the stock price relative to the market index compared to its mean absolute deviation over its trading history (Monthly) and the last 260 trading days (Daily).  The effect is to standardize relative stock prices for every company.

Having examined over a million trading months of relative performance relationships, we categorized the first and last percentiles as ‘Overbought’ and ‘Oversold’, with the former being amounts above 4 and the latter below -2. Lines are drawn on each chart at '4'  in red and at '-2' in green to highlight the 'Overbought' and 'Oversold' zones.

Persistence within these categories is weak with reversion apparent in 85% of cases within 6 months for ‘Overbought’ stocks and 18 months for ‘Oversold’ stocks. Currently around 4% of all listed companies are rated ‘Overbought’ (the highest ratio since 1992) and 1.5% are ‘Oversold’.

Note that entry into a particular zone is not in itself a call-to-action.  Although moves above 4 and below -2 often present short-term 'buy' and 'sell' opportunities, respectively, long-term value-orientated investors are more likely to view stocks entering in these zones as a reason to do the opposite.