Beta Coefficient

Beta coefficient is an important indicator in quantitative trading used to measure the volatility of an asset relative to the overall market, reflecting the sensitivity of asset returns to market returns.

Calculation Principle

Beta coefficient is calculated using the following formula:

β = Cov(r_a, r_m) / Var(r_m)

Where:

• r_a: Asset return rate
• r_m: Market return rate
• Cov: Covariance
• Var: Variance

Parameter Description

• Input Parameters: Two K-line data series (asset price series and market benchmark series)
• Output: Beta coefficient value

Usage Recommendations

1. Select appropriate market benchmark
2. Pay attention to data time span
3. Consider data frequency
4. Pay attention to data alignment
5. Recalculate periodically

Notes

• Ensure data quality
• Pay attention to market benchmark representativeness
• Consider extreme market conditions
• Pay attention to data preprocessing
• Consider the impact of calculation period
• Pay attention to result interpretation