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Al,
A sincere thanks for a well though out and gentle rebuke.
You are right of course.
The real issue was that I had taken the effort to do my research and
then Greg asked me to go further and do more research that he should
have been capable of doing. I didn't take it as a personal affront.
I over-reacted to an otherwise well meaning post.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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.
> ----- Original Message -----
> From: Phsst
> To: 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, 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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