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Phsst,
No hidden agenda. More like no agenda at all. I must confess that I haven't
followed the thread as closely as I should. Bits of it jogged my memory about
some ideas I had seen at the MI board. I sent the information to the amibroker
board , thinking it might be of value and something to the discussion.
Guess I just went off half-cocked. Sorry to have annoyed you, just thought I
might be helpful.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 18, 2003 11:23
PM
Subject: [amibroker] Re: Phsst ,
Exponential Growth Rates and Low Volatility High Growth Stocks
<Is this the kind of thing that you are working on,
Phsst>Greg,I am getting older every day, not to mention a
little tired right now.I exposed to your my AB Explore code.So
why do you have to ask if this is the kind of thing that I amworking on?
Your question just doesn't make sense. Tell me two (2)things... what is it
that you did not understand about my explore, andwhat hidden agenda to you
have in this post?Phsst--- In amibroker@xxxxxxxxxxxxxxx,
"Greg" <gregbean@xxxx> wrote:> Hi,> > This stock
ranking is from the Mechanical Investing board on TheMotley Fool . I uses
statistical analyses in the ranking of stocks.Method is described below.
Is this the kind of thing that you areworking on, Phsst> >
Greg> > URL of last week's projections:> <A
href="">http://boards.fool.com/Message.asp?mid=19280301>
> Here are the Exponential Growth rankings for Friday, July 11, 2003.
> > Screen StocksRisk
Averse
RYL QADI
CECO DOX
IMDCPessimist
QADI RYL
DOX AMHC CECORisk
Neutral
QADI EXLT
DNA
AMHCRYLOptimist
QADI
EXLT DNA
AMHC PHSLow Volatility High
Growth
EDMC(*) EBAY
(*) PGR
OCR IGT> (*) These are the viable option
candidates this week. A stock is a"viable" candidate for a 6/3 option if
(a) it is in the top 5 of theLVHG screen, (b) it has a projected annual
growth rate greater than50% under the Risk Averse formula, and (c) it has
publicly-traded calloptions.> > Please see the notes below
for a brief explanation.> > Projected Total Annual ReturnsBased
on 6 Months of Prior Data,Exponential Growth Model, and Friday
close.
Risk
Risk
LowVolatilityStock
Mean Sigma
Averse Pessimist
Neutral Optimist
HighGrowth*RYL
0.027253 0.043519
120% 201%
313% 465%
QADI
0.0360130.084674
92% 253%
551% 1098%
CECO 0.025243
0.054176 70%
151% 272%449%
DOX 0.026600
0.060454 67%
158% 299%
517% IMDC
0.0218220.044461
64% 126%
211% 329%
EDMC 0.018796
0.034003 63%
108% 166%240%
1EBAY 0.016640
0.027999 59%
94% 138%
191% 2GILD
0.0181080.035958
53% 98%
156% 232%
AMHC 0.028011
0.072105 52%
155% 329%622%
KSWS 0.020037
0.044072 50%
106% 183%
290% PGR
0.0149780.028759
44% 77%
118% 168%
3AMZN 0.021873
0.054132 43%
111% 212%361%
SHRP 0.021441
0.052961 42%
108% 205%
347% COH
0.0194140.046378
41% 96%
174% 283%
ADVP 0.020596
0.051725 38%
101% 192%324%
AMGN 0.012494
0.022684 38%
63% 91%
126% 6HOV
0.0214090.057537
33% 101%
204% 361%
DHI 0.016851
0.042572 30%
77% 140%226%
APOL 0.014963
0.037758 26%
66% 118%
186% ANSI
0.0149010.040206
22% 62%
117% 190%
OCR 0.013569
0.035951 21%
56% 103%162%
4PHS 0.025633
0.081207 18%
111% 279%
581% IGT
0.0130280.035777
18% 52%
97% 155%
5UTSI 0.022231
0.069609 16%
92% 218%425%
GTK 0.012735
0.036252 15%
49% 94%
152% SNPS
0.0153300.046517
13% 59%
122% 210%
CSGP 0.017431
0.054575 13%
67% 148%267%
RE 0.012670
0.038405 11%
47% 93%
155% TSS
0.0143050.044947
10% 52%
110% 191%
DNA 0.030046
0.102005 10%
129% 377%895%
BER 0.010309
0.032169 7%
36% 71%
116% 8BVF
0.0163800.054535
7% 58%
134% 247%
URBN 0.017964
0.060487 6%
65% 154%
294%TTC
0.010435 0.035542
3% 33%
72% 122%
7HAR 0.011024
0.039391 1%34%
77% 136%
EXLT 0.030785
0.110777 0%
123% 396%
1002%
PSUN0.012543
0.046600 -2%
37% 92%
169% NVR
0.008748 0.033586
-3%24% 58%
101% 9FDS
0.018390 0.069019
-4% 58%
160% 328%
DG
0.0170020.065576
-6% 51%
142% 288%
BIO 0.016784
0.065011 -6%
50% 139%283%
NZT 0.007620
0.032871 -7%
17% 49%
88% 10PFCB
0.0096060.043772
-12% 20%
65% 126%
LXK 0.007660
0.037086 -13%
14% 49%
95%GYI
0.011275 0.051524
-15% 24%
80% 161%
APPB 0.007565
0.038300-15%
12% 48%
95% HTCH
0.010691 0.051542
-17% 20%
74% 153%
FLWS0.010247
0.051636 -19%
17% 70%
147% CKFR
0.016229 0.073298
-19%37% 133%
294% BSTE
0.014732 0.067981
-19% 32%
115% 251%
ESI0.009390
0.049361 -20%
14% 63%
133% HELE
0.012682 0.063428
-23%22% 93%
206% KRON
0.009928 0.054289
-23% 13%
68% 148%
WDC
0.0186730.086337
-24% 42%
164% 392%
CHS 0.009332
0.060743 -32%
5% 62%152%
DLTR 0.008667
0.063144 -37%
0% 57%
147% STK
0.0032910.045494
-38% -15%
19% 65%
NXTL 0.010929
0.076073 -41%
2% 77%206%
AMTD 0.013558
0.092159 -46%
4% 102%
293% IDXC
-0.0014690.058205
-60% -39%
-7% 41% >
Brief explanations:> > 1. The "Exponential Growth" model can be
used in mechanicalinvesting to rank the stocks from any screen or set of
screens. Whenused on a set of screens, it is similar to (and hopefully
better than)the "Overlap" method. On the assumption that a "good" stock is
onethat grows strongly along an exponential path, we calculate the
meanand standard deviation (sigma) of weekly change in log(Price),
goingback 26 weeks. We use weekly closing prices, adjusted for splits
anddividends. Thus, a "good" stock should have a high mean and a very
lowsigma. The sigma statistic is often called "historical volatility."
Itmeasures the amount of deviation from a purely exponential path.
Sigmacan interpreted as a measure of the risk of the stock as
aninvestment. Values of sigma close to zero suggest that the growth
ofthe stock will not be erratic in the future, and therefore less
risky.It is only a suggestion, not a guarantee, or even a
prediction.> > 2. The next step is to project what the price of
the stock will beone year in the future, under four different
conditions:> --- (a) growth will be two standard deviations below
expected (RiskAverse)> --- (b) growth will be one standard
deviation below expected(Pessimistic)> --- (c) growth will occur at
the expected rate (Risk Neutral)> --- (d) growth will be one standard
deviation above expected(Optimistic)> These four conditions serve
to give investors a feeling for wherethese stocks will be in the future,
if they continue to grow as theydid during the previous 26 weeks. But
beware: few stocks continuetheir past behavior for very long. Our
backtesting research isdesigned to measure the predictability of top-rated
RS stocks, but theresults are not yet ready.> > 3. Next,
projections made under the four above conditions are usedto generate four
rankings of these stocks. The ranking implied bycondition (a) is called
"Risk Averse" because it uses a severeadjustment for risk. The ranking for
(b) is called "Pessimistic"because it adjusts the growth for risk. The
projected rate of returnin this condition is often called the "Risk
Adjusted Return" in thefinancial literature. The ranking for (c) is called
"Risk Neutral"because those who use it are not paying attention to risk at
all. Theranking for (d) is called "Optimistic" because investors who seek
outrisk and volatility often prefer it.> > 4. Finally, a
fifth ranking is generated known as the "LowVolatility High Growth" (LVHG)
screen. This is designed to find stockswith very low volatility that are
nevertheless growing strongly. Thetop one or two stocks in this screen may
be especially appropriate for6/3 call options. The theory, still untested,
is that option investorsas a class prefer momentum stocks with high
volatility, like NEWP andRMBS. By seeking out those strongly growing
stocks that haverock-bottom volatility, we hope to sneak in "under the
radar" to findoptions that are dramatically under priced. The LVGH screen
is made byfirst sorting the entire table for lowest possible volatility
(sigma),then sorting the top ten for highest growth (mean).>
> 5. Need more detail? Please visit Loren's website:> >
http://www.Aetheling.com/MI>
> > Best of Luck,> > JeffSend
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