Post #3339 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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thanks, i am getting the impression that neither estimate is commonly available per ticker.

If you think the kind of estimate of the weighted average entry price I mentioned might be of value, you can calculate it yourself stock by stock from the history of daily price and volume.

If a stock has had a price much higher than the current one for quite a while, it's likely the average breakeven price of holders (especially those with any propensity to trade) is higher than the current price. With a few simplifying assumptions related to what fraction of shareholders have any propensity at all to trade, it's not hard to calculate. I remember reading a paper on this subject, but I'm not sure exactly which one...start with "The Disposition Effect and Momentum" by Mark Grinblatt and Bing Han.

Jim

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