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Greg,
When all is said and done, I hope that when people look back, they
will remember me kindly.
If you had no hidden agenda then so be it.
So please understand that when anyone takes the time and trouble to do
an analysis and present it to others, it may not be the kindest thing
to ask them how their effort compares to something else you might have
been exposed to. Perhaps it is your job to do the comparison, eh?
So as per your suggestion... no offense taken.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> 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
>
> ----- Original Message -----
> From: Phsst
> To: 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 am
> working on? Your question just doesn't make sense. Tell me two (2)
> things... what is it that you did not understand about my explore, and
> what 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 The
> Motley Fool . I uses statistical analyses in the ranking of stocks.
> Method is described below. Is this the kind of thing that you are
> working on, Phsst
> >
> > Greg
> >
> > URL of last week's projections:
> > 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 AMHC
> RYLOptimist 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 the
> LVHG screen, (b) it has a projected annual growth rate greater than
> 50% under the Risk Averse formula, and (c) it has publicly-traded call
> options.
> >
> > 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 Low
> VolatilityStock Mean Sigma Averse Pessimist
Neutral Optimist High
> Growth*RYL 0.027253 0.043519 120% 201%
313% 465% QADI 0.036013
> 0.084674 92% 253% 551% 1098% CECO
0.025243 0.054176 70% 151% 272%
> 449% DOX 0.026600 0.060454 67% 158%
299% 517% IMDC 0.021822
> 0.044461 64% 126% 211% 329% EDMC
0.018796 0.034003 63% 108% 166%
> 240% 1EBAY 0.016640 0.027999 59% 94%
138% 191% 2GILD 0.018108
> 0.035958 53% 98% 156% 232% AMHC
0.028011 0.072105 52% 155% 329%
> 622% KSWS 0.020037 0.044072 50% 106%
183% 290% PGR 0.014978
> 0.028759 44% 77% 118% 168% 3AMZN
0.021873 0.054132 43% 111% 212%
> 361% SHRP 0.021441 0.052961 42% 108%
205% 347% COH 0.019414
> 0.046378 41% 96% 174% 283% ADVP
0.020596 0.051725 38% 101% 192%
> 324% AMGN 0.012494 0.022684 38% 63%
91% 126% 6HOV 0.021409
> 0.057537 33% 101% 204% 361% DHI
0.016851 0.042572 30% 77% 140%
> 226% APOL 0.014963 0.037758 26% 66%
118% 186% ANSI 0.014901
> 0.040206 22% 62% 117% 190% OCR
0.013569 0.035951 21% 56% 103%
> 162% 4PHS 0.025633 0.081207 18% 111%
279% 581% IGT 0.013028
> 0.035777 18% 52% 97% 155% 5UTSI
0.022231 0.069609 16% 92% 218%
> 425% GTK 0.012735 0.036252 15% 49%
94% 152% SNPS 0.015330
> 0.046517 13% 59% 122% 210% CSGP
0.017431 0.054575 13% 67% 148%
> 267% RE 0.012670 0.038405 11% 47%
93% 155% TSS 0.014305
> 0.044947 10% 52% 110% 191% DNA
0.030046 0.102005 10% 129% 377%
> 895% BER 0.010309 0.032169 7% 36%
71% 116% 8BVF 0.016380
> 0.054535 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% PSUN
> 0.012543 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 0.017002
> 0.065576 -6% 51% 142% 288% BIO
0.016784 0.065011 -6% 50% 139%
> 283% NZT 0.007620 0.032871 -7% 17%
49% 88% 10PFCB 0.009606
> 0.043772 -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% FLWS
> 0.010247 0.051636 -19% 17% 70% 147%
CKFR 0.016229 0.073298 -19%
> 37% 133% 294% BSTE 0.014732 0.067981
-19% 32% 115% 251% ESI
> 0.009390 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 0.018673
> 0.086337 -24% 42% 164% 392% CHS
0.009332 0.060743 -32% 5% 62%
> 152% DLTR 0.008667 0.063144 -37% 0%
57% 147% STK 0.003291
> 0.045494 -38% -15% 19% 65% NXTL
0.010929 0.076073 -41% 2% 77%
> 206% AMTD 0.013558 0.092159 -46% 4%
102% 293% IDXC -0.001469
> 0.058205 -60% -39% -7% 41%
> > Brief explanations:
> >
> > 1. The "Exponential Growth" model can be used in mechanical
> investing to rank the stocks from any screen or set of screens. When
> used on a set of screens, it is similar to (and hopefully better than)
> the "Overlap" method. On the assumption that a "good" stock is one
> that grows strongly along an exponential path, we calculate the mean
> and standard deviation (sigma) of weekly change in log(Price), going
> back 26 weeks. We use weekly closing prices, adjusted for splits and
> dividends. Thus, a "good" stock should have a high mean and a very low
> sigma. The sigma statistic is often called "historical volatility." It
> measures the amount of deviation from a purely exponential path. Sigma
> can interpreted as a measure of the risk of the stock as an
> investment. Values of sigma close to zero suggest that the growth of
> the 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 be
> one year in the future, under four different conditions:
> > --- (a) growth will be two standard deviations below expected (Risk
> Averse)
> > --- (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 where
> these stocks will be in the future, if they continue to grow as they
> did during the previous 26 weeks. But beware: few stocks continue
> their past behavior for very long. Our backtesting research is
> designed to measure the predictability of top-rated RS stocks, but the
> results are not yet ready.
> >
> > 3. Next, projections made under the four above conditions are used
> to generate four rankings of these stocks. The ranking implied by
> condition (a) is called "Risk Averse" because it uses a severe
> adjustment for risk. The ranking for (b) is called "Pessimistic"
> because it adjusts the growth for risk. The projected rate of return
> in this condition is often called the "Risk Adjusted Return" in the
> financial literature. The ranking for (c) is called "Risk Neutral"
> because those who use it are not paying attention to risk at all. The
> ranking for (d) is called "Optimistic" because investors who seek out
> risk and volatility often prefer it.
> >
> > 4. Finally, a fifth ranking is generated known as the "Low
> Volatility High Growth" (LVHG) screen. This is designed to find stocks
> with very low volatility that are nevertheless growing strongly. The
> top one or two stocks in this screen may be especially appropriate for
> 6/3 call options. The theory, still untested, is that option investors
> as a class prefer momentum stocks with high volatility, like NEWP and
> RMBS. By seeking out those strongly growing stocks that have
> rock-bottom volatility, we hope to sneak in "under the radar" to find
> options that are dramatically under priced. The LVGH screen is made by
> first 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,
> >
> > Jeff
>
>
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