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How many names a volatility cutoff keeps as the cutoff moves
How many names a volatility cutoff keeps as the cutoff moves
| amplitude_threshold | avg_daily_name_count | share_of_name_days_pct |
|---|---|---|
| 3% | 2155 | 49.64 |
| 5% | 1117 | 25.72 |
| 7% | 627 | 14.44 |
| 10% | 313 | 7.21 |
| 15% | 134 | 3.09 |
| 20% | 71 | 1.63 |
the exact SQL behind every number
SELECT
concat(toString(th), '%') AS amplitude_threshold,
round(countIf(amplitude_pct >= th) / countDistinct(date)) AS avg_daily_name_count,
round(100 * countIf(amplitude_pct >= th) / count(), 2) AS share_of_name_days_pct
FROM
(
SELECT
date,
100 * (toFloat64(high) - toFloat64(low)) / toFloat64(low) AS amplitude_pct
FROM global_markets.stocks_daily_aggs
WHERE date >= today() - 150
AND date < today() - 2
AND volume >= 200000
AND toFloat64(low) >= 2
AND ticker NOT IN ('SPCX')
)
ARRAY JOIN [3, 5, 7, 10, 15, 20] AS th
GROUP BY th
ORDER BY th
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