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Phsst:
I enjoy your posts, but I think you are being just a tad critical of Greg.
If I were to take the time and trouble to conduct a detailed analysis of
some aspect of trading and present it to this or some other board, I do so with
the INTENT of soliciting critical comments from my peers, not to just look
for mass approval. That's the beauty of a free, open-minded forum, which
this forum indeed is. When I read Greg's message about an alternative list of
highly liquid stocks, I did not take it in any way as a rejection of your
approach, and I don't think you should have, either. Perhaps he should have gone
a step further and done the comparison you asked him to do, but it certainly
does not suggest any hidden agenda on Greg's part nor any unkind criticism of
your post. As a QP2 user, I saved your post and your code for future reference,
and I encourage you to continue your good work. But if someone reading your post
asks you how your code or approach differs from some other code or approach
published elsewhere, don't take it a a personal affront, otherwise you stand the
chance of discouraging ANY comments from the readers.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 18, 2003 10:59
PM
Subject: [amibroker] Re: Phsst ,
Exponential Growth Rates and Low Volatility High Growth Stocks
Greg,When all is said and done, I hope that when
people look back, theywill 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 doan analysis and present it to others, it
may not be the kindest thingto ask them how their effort compares to
something else you might havebeen 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 Ihaven't followed the thread as closely as I should. Bits of
it joggedmy memory about some ideas I had seen at the MI board. I sent
theinformation to the amibroker board , thinking it might be of value
andsomething to the discussion. Guess I just went off half-cocked.
Sorryto 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 LowVolatility 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:> > <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 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:>
> > > <A
href="">http://www.Aetheling.com/MI>
> > > > > Best of
Luck,> > > > Jeff> >
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