SOME RECORDS

wsjboy · 发表于 2013-7-21 11:48 AM

本帖最后由 wsjboy 于 2015-4-22 11:52 PM 编辑

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wsjboy · 发表于 2013-7-21 12:00 PM

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130721 HCP, fina,HCP, Inc.,reit-helthcr faclts, in sp500_set
pe 23.84,peg 6.27,alpha 0.50,beta 1.15,a_vol 3053, div 4.52 130502,er 130730,insi 0.5 -6.67,inst 95.2 -0.08,
[ - CFF CFF - CFF P - - - - ]
[ - - - DTT - - - - - FFF ]
[ CFF - CTT DTT - - - - - - ]
[ 1.94 2.65 2.34 | 49.72 50.52 198 | 41.89 41.22 243 ]
yahoo google fool finviz
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wsjboy · 发表于 2013-7-21 12:10 PM

本帖最后由 wsjboy 于 2015-3-17 07:35 PM 编辑

wsjboy · 发表于 2013-7-21 10:41 PM

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130721 FCN, svcs,FTI Consulting, Inc.,managmnt servcs
alpha 44.90,beta 0.72,a_vol 231, er 130729,insi 2.3 13.39,inst 98.4 1.26,
[ CTT - - - - CFF CFF - CTT CTT ]
[ - - - - - - - FFF - - ]
[ - - CTT - - - - - - DTT ]
[ 1.95 2.66 2.86 | 38.14 38.75 258 | 33.65 33.11 302 ]
yahoo google fool finviz
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wsjboy · 发表于 2013-7-21 11:21 PM

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130721 ZUMZ, svcs,Zumiez, Inc.,speclty retl, othr
pe 22.47,peg 1.34,alpha -3.30,beta 1.63,a_vol 317, er 130826,insi 14.4 -10.12,inst 79.7 0.08,
[ - FFF FFF - - CFF - - CTT CFF ]
[ - - - - - - FFF FFF CFF CFF ]
[ DTT - - - FFF - - CFF CFF CFF ]
[ b+ - - - - - - - - - ]
[ 3.50 4.77 4.32 | 31.31 31.81 314 | 25.4 24.99 400 ]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-21 11:49 PM

~~~~~~~~~~~~~~~
130721 ANF, svcs,Abercrombie & Fitch Co.,apparl strs, in sp500_set
pe 17.64,peg 1.08,alpha 23.90,beta 1.74,a_vol 1783, div 1.63 130530,er 130812,insi 1.6 5.2,inst 98.5 -0.08,
[ - - CFF - - CFF - - CTT - ]
[ - - - - - - FFF - - CFF ]
[ - - - FFF F - - FFF CFF - ]
[ 2.90 3.95 2.80 | 52.38 53.22 188 | 45.48 44.75 223 ]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 12:47 AM

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130722 RTN, indg,Raytheon Co.,aerospc/dfns-majr divrsfd, in sp500_set
pe 11.99,peg 1.95,alpha 30.20,beta 0.73,a_vol 1672, div 3.15 130701,er 130725*,insi 0.5 8.7,inst 80.3 -0.11,
[ - - FFF - - - - - DTT - ]
[ CTT CTT CTT - - - - FFF - - ]
[ CTT CTT - - - - - - - - ]
[ 1.27 1.73 2.46 | 72.17 74.70 74 | 64.48 62.16 89 ]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 12:47 AM

本帖最后由 wsjboy 于 2013-7-22 02:47 PM 编辑

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130722 FLY, svcs,FLY Leasing Limited,ctry ie,rentl&lesng servcs
pe 6.78,alpha 10.20,beta 1.66,a_vol 410, div 6.01 130729*,er 130801,debt 3.52,insi 11.58 0.0,inst 40.1 -1.08,
[ FFF CFF - - - CTT DTT CFF - - ]
[ - FFF CFF CFF - - P - - - ]
[ DTT CFF CFF CFF - - TTT - - CFF ]
[ - b- b- b- - - - - - - ]
[ 5.04 6.87 3.84 | 17.3 17.58 569 | 12.69 12.49 801 | 14.66]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 12:26 PM

本帖最后由 wsjboy 于 2013-7-22 04:00 PM 编辑

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130722 HFC, basm,HollyFrontier Corporation,oil&gas refnng&marktng
pe 4.78,alpha 7.20,beta 0.93,a_vol 3373, div 2.83 130610,er 130807,insi 0.5 -8.95,inst 85.2 -1.2,
[ - CTT CFF CFF DFF - P TTT - CTT ]
[ CTT - CTT - - - - CFF - - ]
[ - - CTT - - - CFF CFF - CTT ]
[ b+ - b+ b+ - - - - - b+ ]
[ 4.01 5.47 4.15 | 45.87 46.60 215 | 38.98 38.36 261 | 42.14]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 12:27 PM

occupied

wsjboy · 发表于 2013-7-22 12:42 PM

occupied

wsjboy · 发表于 2013-7-22 01:39 PM

occupied

wsjboy · 发表于 2013-7-22 02:30 PM

occupied

wsjboy · 发表于 2013-7-22 03:31 PM

occupied

wsjboy · 发表于 2013-7-22 03:32 PM

本帖最后由 wsjboy 于 2013-7-25 09:11 PM 编辑

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130725 TPX, csmg,Tempur Pedic International Inc.,home furnshngs&fixtrs
pe 41.96,peg 3.3,alpha 36.62,beta 1.86,a_vol 1264, er 130725,debt 72.92,insi 1.7 12.46,inst 36.6 0.11,
[ CFF CFF - - CFF - CTT CTT - CFF ]
[ - - CFF CFF CFF - - CFF - - ]
[ - FFF CFF CFF CFF - - - - DFF ]
[ 3.31 4.51 2.93 | 47.8 48.56 207 | 40.29 39.65 251 | 42.68 234]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 03:34 PM

本帖最后由 wsjboy 于 2013-7-22 07:27 PM 编辑

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130722 AMSC, tech,American Superconductor Corporation,diversfd elctrncs
alpha -11.40,beta 1.68,a_vol 630, er 130802,insi 1.3 8.23,inst 27.8 -0.08,
[ - - - - CTT CTT DTT - - - ]
[ - - - CTT - - DTT - - - ]
[ b- - b+ - - b+ b+ - b- b+ ]
[ 5.63 7.67 9.46 | 3.27 3.32 3010 | 2.45 2.41 4148 | 2.85]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 04:24 PM

occupied

wsjboy · 发表于 2013-7-22 07:42 PM

occupied

wsjboy · 发表于 2013-7-22 07:43 PM

~~~~~~~~~~~~~~~
130722 GIGA, tech,Giga-tronics Inc.,scientfc&techncl instrmnts
alpha -10.67,beta 0.52,a_vol 14, er 130806,debt 1.25,insi 11.44 0.17,inst 8.7 -23.27,
[ - CTT - CFF - P - DFF DFF DFF ]
[ - - - - CFF CFF - CTT - - ]
[ - - - - - CFF P CTT - CFF ]
[ - - - - - - b+ b- b- b- ]
[ 5.23 7.14 2.81 | 1.45 1.47 6788 | 1.17 1.13 8848 ]
yahoo google fool finviz
~~~~~~~~~~~~~~~

wsjboy · 发表于 2013-7-22 07:55 PM

本帖最后由 wsjboy 于 2015-4-8 01:46 PM 编辑

How I predict?
1) using Matched Pattern from 2000 stocks in last 5 years, matched the pattern of SPX over last 3 days, found similar patterns.
2) Use all matched patterns and perform Markov Chain Monte Carlo simulation, burning-in of first 1000 simulation to reduce predict errors.
3） APPLIED different weight, most recent data with higher weight and perform Bayesian adjustment.
4) Perform Bootstrap simulation to get p values and prediction confidences.

Knowledge need: Bayesian Analyses, Linear model, Pattern analyses, MCMC simulation, Bootstrap simulation, SAS, JAVA, GRAPH, finance knowledge....

Each run cover 2000 stocks*average 30 matched patterns*10000 MCMC simulations * 10000 Bootstrap simulations.

If you have better suggestion, welcomed to suggest.
=========================
The basic assumptions are:

1) MM will repeat their manipulations over history.
2) There are no sudden un-predicted big events happened.

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