Wed, 26 Oct 2005
 

Rates of Change


Ed,

You might try putting step 1 last. 

Update the lag after you use it to compute ROC.

From the numbers on your spreadsheet:

(P - AV)/AV = (6.2 - 3.736) / 3.736 using the lag before updating it

            = .6595

            = 65.95   percent by which price exceeds lag

/ 20        = 3.2976  estimate of daily percent change basis 20 days

Wed, 26 Oct 2005

Questions re PCT ROC calculation


Hi Ed,

The following is pseudo-code that represents my calculation of the percent ROC (pctROC) per the assignment. This code seems to match your example.
 

----
C: array of closes, indexed starting at 0
lag = C[0]
roclen = 20

for i=roclen to C.size-1
diff = C[i] - lag               amount by which price leads the lag
roc = diff / roclen             daily increment

pctROC = roc / diff             try this instead: pctROC = roc / lag 

lag = lag + diff / roclen       or, lag = lag + roc
next i
return pctROC
----
:
For stock BRLC my pctROC value is 0.0330 which matches one contributors value whereas your pctROC value for the same stock is 0.659.

Questions:

For your pctROC = roc / diff, consider using pctROC = roc / lag.

Mon, 24 Oct 2005

Using Cash Flow Screen +

Some Services Do Not Back-Post New Listings +

Computing ROC from Lags

Ed,

It seems I send my last results before the exercise settles into steady state.

Thank you for suggesting that I might do a cash flow screen.

I use a 20-day lag of cash flow and require that to be at least $250,000/day. I get the list you post to the site with one exception. I show RWC as a strong stock. Its chart confirms its strength. I note that some online charting sites give differing amounts of history for RWC. It seems that some databases do not include price history prior to October 14 when RWC lists on the AMEX. Other databases (e.g. CSI) have price data before RWC lists on the AMEX.

I also notice one small difference in the (P-AV)/AV values. The match is better than I expect given the number of possible sources of errors.

I wonder how you calculate the Yearly %ROC values. My first approach is to calculate the daily rate of change and then compound that by the number of trading days in a year. This doesn't match your metrics at all. I choose to use ((P-AV)/AV)/20)*365.25*100 which matches your results closely and (as you can see below) not exactly.

Another difference that you can't see here is that my charts show volume that  seems to be about half the volume on your charts. The online charting services that I check seem to match my volume data. Does your data provider double count volume?


 

Yes, I notice RWC has only a few days of data on Worden and on Track Data.  I screen on having a year's worth of data, so I do not capture RWC from these sources.

I calculate yearly percentage ROC just as you surmise:

YPROC = 365.25 / 20 * (P-AV₂₀)/AV₂₀

Since alternative methods are all monotonic relative to this one, and since the only use of YPROC is to generate a flat list, and since YPROC is a gross approximation / prediction, I use a simple method.

Sun, 23 Oct 2005

Getting the Same List Plus Some Thin Stocks

Trying to Filter Out Stocks with CSI

Ed,

This is an interesting project. I am learning more about my database(CSI).

There doesn't appear to be a way to exclude securities that trade on OTC
bulletin board or on the pink sheets.

The price data often do not accurately reflect restructurings... Viz the sharp drops in VCO and SPCHB.

Here's a list of strong and weak instruments without filtering for liquidity, etc.

"Strong" stocks 

"Weak" stocks

Yes, you seem to get all the stocks I get, in the same order.  I have the matches, above, in boldface. You are also getting some other stocks that seem pretty thin (trade by appointment only): URSI, BTAHY, SVCF, etc.  Maybe you can do a cash flow screen: CF = volume * price. 

Sun, 23 Oct 2005

TSP: ranked list of Top and Bottom 10 stocks

Hi Ed,

Here's my results for Top and Bottom 10 stocks ranked according to a 20 day ROC. The symbol and ROC are listed.

-- Strongest
 

-- Weakest