Market Data Module
The Japan Analytics Market Data Module provides conventional line charts of Monthly and Daily stock prices as well as Monthly and Daily charts of our Price Score and Volume Score.
Monthly prices are provided since the month of listing and Daily prices cover the last 260 trading days. Stock prices are updated in the App after the close and not in real-time.
Monthly Stock Price
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.
Monthly Price Score
The Japan Analytics Volume Score is a measure of the deviation of volume divided by shares outstanding compared to its mean absolute deviation over a stock's trading history (Monthly) and the last 260 days (Daily). The effect is to standardize relative volume for every company.
In our database of over 1 million trading months, first percentiles were identified as above 3x for large cap stocks and 6x for mid and small cap stocks. Stocks in these percentiles are deemed to be 'Overtraded'.
Stocks identified as outliers in terms of both their Price Score and Volume Score have a greater potential for mean reversion in the short term.