A List of Possibilities

[Rob]

I think I finally figured out the R^2 Regression Analysis thing, or at least how to find the value of it. So I put together this list of possibilities.

Here's how I arrived at this list: These stocks are all from the IBD 100 list published in the Jan. 12 issue. I excluded all stocks with a ROE<17. I ran $$$Mr. Market$$$'s famous R^2 Regression Analysis on one year of closing prices (except LEND, which IPO'd less than a year ago).

They're sorted (1) in descending order by the R^2 value, then (2) in ascending order by P/E ratio. The stock price is as of close on Fri., Jan. 9.

Check it out:

[code:1:e311a921cd] Price EPS RSI Fwd P/E PEG R^2
Company Sym. (1/9) Rtg Rtg ROE P/E 1 Yr Ratio Regr

Coach Inc COH 36.61 99 80 42 40.35 27.32 1.59 0.96
Coventry Health Care Inc CVH 62.69 99 76 21 17.39 12.93 1.02 0.95
Nara Bancorp Inc NARA 27.49 92 85 18 23.43 18.33 1.24 0.94
K Swiss Inc KSWS 25.95 96 82 21 21.37 16.42 1.41 0.93
Mobile Telesystems Adr MBT 87.99 99 78 23 19.49 12.43 0.69 0.92
U S A N A Health Science USNA 30.87 86 92 52 38.11 22.87 N/A 0.91
Harman Intl Industries HAR 73.22 94 86 17 44.92 29.06 1.42 0.91
Hovnanian Enterprises A HOV 77.80 99 77 31 9.67 7.87 0.42 0.90
Patina Oil & Gas Corp POG 48.22 98 78 21 19.46 13.14 1.11 0.89
Wilshire State Bank Ca WSBK 17.25 97 90 21 22.72 15.83 0.98 0.89
Hot Topic Inc HOTT 29.75 98 74 23 34.60 25.65 1.16 0.89
World Acceptance Corp WRLD 21.94 93 87 20 15.95 12.98 0.89 0.88
Merit Medical Systems MMSI 22.69 97 82 20 38.72 31.08 2.07 0.88
Fremont General Corp FMT 16.37 99 86 27 6.98 5.95 0.25 0.87
Sigmatron International SGMA 26.30 77 96 23 14.96 N/A N/A 0.87
Shuffle Master Inc SHFL 37.88 94 79 30 37.93 25.25 1.47 0.87
S A P Ag Adr SAP 44.36 96 76 33 38.55 36.36 2.79 0.87
Cognizant Tech Sol Cl A CTSH 51.00 99 87 27 71.95 44.35 2.37 0.87
Accredited Home Lenders LEND 31.72 99 93 66 8.16 6.28 0.43 0.86
Petrokazakhstan Inc Cl A PKZ 24.47 98 85 84 7.46 7.22 N/A 0.82
Engineered Support Sys EASI 53.23 99 83 23 29.94 20.24 1.23 0.82
Icici Bank Ltd Adr IBN 16.08 96 89 21 N/A 14.49 0.83 0.82
Starcraft Corp STCR 32.92 98 89 99 14.09 N/A N/A 0.81
Multimedia Games Inc MGAM 47.01 90 83 37 21.76 14.69 0.81 0.78
American Pharmaceutical APPX 34.24 99 86 29 33.80 28.07 1.30 0.78
Middleby Corp MIDD 39.79 96 96 27 23.40 18.51 1.10 0.77
Bio Reference Labs Inc BRLI 15.65 97 92 23 34.91 N/A N/A 0.73
National Medical Health NMHC 20.00 88 89 25 25.84 19.80 N/A 0.72
Satyam Computer Svcs Adr SAY 29.23 98 94 17 39.74 37.00 2.41 0.61
W Holding Company Inc WHI 18.32 97 76 17 24.89 14.09 0.87 0.52
Infosys Technologies Ads INFY 98.14 97 80 36 57.57 40.22 1.84 0.40
Daktronics Inc DAKT 26.69 94 82 21 33.02 27.80 1.26 0.37
Wipro Ltd Adr WIT 52.55 92 84 27 65.04 49.11 2.41 0.37
Central European Dist Cp CEDC 33.20 96 80 26 32.35 17.95 1.33 0.15[/code:1:e311a921cd]

[stocks54]

Hello Rob,

Can you tell me where can I find more information on

"R^2 Regression Analysis thing"


How to analyse the information that you posted?

Regards,

[Rob]

Can you tell me . . . how to analyse the information that you posted?

If I understand it correctly, the closer the R^2 value gets to 1, the straighter the path the stock took over the given period of time. Thus one might expect less volatility in the near term.

[mrmarket]

You guys are right on the money..and Rob posts such pretty tables!

[stocks54]

Thank you for explaining that.

[billyjoe]

Rob, Thanks for your analysis. Do you see any correlation between the r^2 and the up/down valuation in IBD? This caught my attention when you mentioned the "straight path" as the price ascended. Thanks again. billyjoe

[Rob]

Here's a follow-up on the list I posted at the top of this thread two weeks ago. The list is sorted this time from best to worst performance during the period:
[code:1:e6e9980d3f] Price Price
Company Sym. (1/9/04) (1/23/04) % Change

Bio Reference Labs Inc BRLI 15.65 21.6 38.0%
Fremont General Corp FMT 16.37 20.06 22.5%
Accredited Home Lenders LEND 31.72 38.27 20.6%
National Medical Health NMHC 20 22.83 14.2%
Mobile Telesystems Adr MBT 87.99 98.7 12.2%
Sigmatron International SGMA 26.3 29.411 11.8%
Cognizant Tech Sol Cl A CTSH 51 56.66 11.1%
Wilshire State Bank Ca WSBK 17.25 19.07 10.6%
Nara Bancorp Inc NARA 27.49 30.31 10.3%
Wipro Ltd Adr WIT 52.55 57.12 8.7%
W Holding Company Inc WHI 18.32 19.85 8.4%
Middleby Corp MIDD 39.79 42.93 7.9%
American Pharmaceutical APPX 34.24 36.62 7.0%
Merit Medical Systems MMSI 22.69 24.22 6.7%
World Acceptance Corp WRLD 21.94 23.2 5.7%
Harman Intl Industries HAR 73.22 77.4 5.7%
K Swiss Inc KSWS 25.95 27.39 5.5%
Hot Topic Inc HOTT 29.75 31.27 5.1%
Icici Bank Ltd Adr IBN 16.08 16.65 3.5%
Central European Dist Cp CEDC 33.2 34.16 2.9%
Coventry Health Care Inc CVH 62.69 64.34 2.6%
Petrokazakhstan Inc Cl A PKZ 24.47 24.95 2.0%
Hovnanian Enterprises A HOV 77.8 78.67 1.1%
U S A N A Health Science USNA 30.87 30.926 0.2%
Patina Oil & Gas Corp POG 48.22 47.15 -2.2%
Engineered Support Sys EASI 53.23 51.99 -2.3%
Coach Inc COH 36.61 35.74 -2.4%
Daktronics Inc DAKT 26.69 25.78 -3.4%
Shuffle Master Inc SHFL 37.88 36.35 -4.0%
Infosys Technologies Ads INFY 98.14 93.85 -4.4%
S A P Ag Adr SAP 44.36 42.06 -5.2%
Multimedia Games Inc MGAM 47.01 44.3 -5.8%
Satyam Computer Svcs Adr SAY 29.23 27.46 -6.1%
Starcraft Corp STCR 32.92 22.95 -30.3%
Aggregate: 3.2%[/code:1:e6e9980d3f]
So, would it be best to buy the ones at the top of the list, reasoning that they have the "big mo"? Or would it perhaps be more prudent to buy near the bottom of the list, with the idea that they're at or near the bottom of their price cycle and due to turn up? Or maybe you play it safe in the middle? One thing's for sure: BRLI was a heck of a buy two weeks ago!

[siliconhippy]

Rob,

This is a nice summary of more important parameters governing price appreciation, IMHO.

If you subscribe to WON at IBD ("growth" camp), he will say go with the big mo. Others ("value" camp) will say go bottom fishing. Those mutual fund managers would play it safe and buy the middle ones.

Interestingly MrMarket's recent picks are in the upper middle to middle. Maybe this is the best approach !

I would look at the chart performance (cup and handle stuff, volume breakouts etc) plus company earnings news and whether the tickers fall into a rising IndGroup. So this is closer to WON.

If you post these two tables (combine them with the nice green colored tabular format, with perhaps enough width), this could serve as a check on these various strategies. I suggest you look at a 3-6 week performance to accomodate various styles for comparison.

:twisted:
siliconhippy

[Rob]

Hey siliconhippy,

Thanks for the input. Your observations pretty much parallel what I was thinking.

BTW, if anyone is having trouble viewing the pre-formatted lists I've posted here because the lines are wrapping, throwing the columns out of alignment, here are some possible solutions:

1. Maximize your browser window.

2. Set the font display size in your browser to the smallest setting.

3. Increase the DPI resolution on your monitor.

4. If none of the above work, you've got a cheap monitor and need a new one!

[Ron T]

Rob your follow up chart is missing the original r^2 value. I think that would help.

[carribean_mike]

Using Yahoo and Excel is pretty painful way of caculating r^2 for more a few stocks at a time. Does anyone know the formula for r^2? I am thinking that it could be programmed in a program like Quotes Plus or Amibroker making it much faster to calculate many r^2. Any other ideas on how to calculate r^2 on many stocks quickly.

thanks

[scifos]

On finance.yahoo.com you can click on technical analysis for any stock, then click on RSI (middle of page, just above graph) and it will reload the page and at the bottom of the graph is a graph of the RSI. Hard to get an exact value from this, but it might be helpful.

[Mi6op]

From what I see that seems to be a decent screen for scrounging up investment possiblities. Why not run that screen weekly and see what it turns up.

Or am I reading this thread totally wrong...

[Rob]

Here's the next two-week follow-up posting on the original list, in case anyone is interested:

[code:1:3ac486f31e]
Price Price Price R^2
Company Sym. (1/9) (1/23) Change (2/6) Change Regr

Wilshire State Bank Ca WSBK 17.25 19.07 10.60% 22.27 29.10% 0.90
National Medical Health NMHC 20.00 22.83 14.20% 25.10 25.50% 0.79
Fremont General Corp FMT 16.37 20.06 22.50% 18.86 15.21% 0.86
Bio Reference Labs Inc BRLI 15.65 21.60 38.00% 17.86 14.12% 0.82
Mobile Telesystems Adr MBT 87.99 98.70 12.20% 99.00 12.51% 0.93
W Holding Company Inc WHI 18.32 19.85 8.40% 20.51 11.95% 0.61
Accredited Home Lenders LEND 31.72 38.27 20.60% 34.65 9.24% 0.88
Nara Bancorp Inc NARA 27.49 30.31 10.30% 29.50 7.31% 0.93
Central European Dist Cp CEDC 33.20 34.16 2.90% 35.00 5.42% 0.75
Cognizant Tech Sol Cl A CTSH 51.00 56.66 11.10% 53.00 3.92% 0.90
Icici Bank Ltd Adr IBN 16.08 16.65 3.50% 16.70 3.86% 0.89
Coach Inc COH 36.61 35.74 -2.40% 37.87 3.44% 0.94
American Pharmaceutical APPX 34.24 36.62 7.00% 35.37 3.30% 0.79
World Acceptance Corp WRLD 21.94 23.20 5.70% 22.35 1.87% 0.88
U S A N A Health Science USNA 30.87 30.92 0.20% 31.34 1.52% 0.89
Coventry Health Care Inc CVH 41.79 42.89 2.60% 42.25 1.10% 0.95
Middleby Corp MIDD 39.79 42.93 7.90% 40.05 0.65% 0.83
Hot Topic Inc HOTT 29.75 31.27 5.10% 29.50 -0.84% 0.94
Harman Intl Industries HAR 73.22 77.40 5.70% 72.35 -1.19% 0.94
Hovnanian Enterprises A HOV 77.80 78.67 1.10% 75.38 -3.11% 0.85
S A P Ag Adr SAP 44.36 42.06 -5.20% 42.46 -4.28% 0.92
Merit Medical Systems MMSI 22.69 24.22 6.70% 21.54 -5.07% 0.91
K Swiss Inc KSWS 25.95 27.39 5.50% 24.60 -5.20% 0.93
Petrokazakhstan Inc Cl A PKZ 24.47 24.95 2.00% 23.19 -5.23% 0.87
Daktronics Inc DAKT 26.69 25.78 -3.40% 24.92 -6.63% 0.48
Patina Oil & Gas Corp POG 48.22 47.15 -2.20% 44.45 -7.82% 0.90
Shuffle Master Inc SHFL 37.88 36.35 -4.00% 34.54 -8.82% 0.86
Infosys Technologies Ads INFY 98.14 93.85 -4.40% 89.13 -9.18% 0.61
Wipro Ltd Adr WIT 52.55 57.12 8.70% 47.62 -9.38% 0.59
Engineered Support Sys EASI 53.23 51.99 -2.30% 48.22 -9.41% 0.86
Multimedia Games Inc MGAM 47.01 44.30 -5.80% 42.45 -9.70% 0.88
Sigmatron International SGMA 26.30 29.41 11.80% 22.75 -13.50% 0.88
Satyam Computer Svcs Adr SAY 29.23 27.46 -6.10% 23.44 -19.81% 0.75
Starcraft Corp STCR 32.92 22.95 -30.30% 17.50 -46.84% 0.58
Aggregate: 3.20% -1.94%
[/code:1:3ac486f31e]

My favorite stock right now, however, does not appear on this list. Omnivision Technology (OVTI) closed Friday at 49.06. It will soon hit 70.00 (up 43%, possibly in less than a month). You heard it here first. Do your own DD, and see if you don't agree. Happy trading!

[luckiguess]

As long as we are talking mathematical lines here, I have a few questions that maybe Mr Market or someone else can help me with:

#1: Doesn't using R^2 just describe the "goodness of fit" to a straight line, even if it was almost flat? Wouldn't we also be interested in the slope of the line to evaluate how fast the price is rising vs time?

#2: Has anyone used the first and second derivative of the moving averages (for example, 10 day or 50 day) to flag the inflection point ... as a signal when to buy (accelerating) or sell (decelerating or turning negative)?

Thanks for anyones help on this.

[Rob]

Here's the next 2-week update of the list I started back on Jan. 9.

To date, there are 20 losers vs. 14 winners. Of course all these companies have until recently been winners, or they would have never shown up on IBD's top 100.

I have not yet taken the time to formulate any theories as to what caused the winners to be winners. If there be any notable pattern, of course, one might better be able to discern which companies' stock prices stand the best chance of increasing in the days and weeks ahead.

There's one thing about using IBD's top 100, which has also been noted by numerous people who post to the forums over there, is that by the time a company makes the list, it may be too late to make any large profits on them--or indeed any profit at all, since they've just demonstrated a large move up.

Anyway, here's the list. If anyone has any of their own theories as to why the winners are pulling ahead, I'd like to hear them.

[code:1:65bb3b8a25] Price Price Price Price Total R^2
Company Sym. (1/9) (1/23) (2/6) (2/20) Change Regr

Wilshire State Bank Ca WSBK 17.25 19.07 22.27 24.37 41.28% 0.89
National Medical Health NMHC 20.00 22.83 25.10 26.84 34.20% 0.82
Mobile Telesystems Adr MBT 87.99 98.70 99.00 105.05 19.39% 0.93
Fremont General Corp FMT 16.37 20.06 18.86 19.50 19.12% 0.86
Bio Reference Labs Inc BRLI 15.65 21.60 17.86 18.49 18.14% 0.85
Nara Bancorp Inc NARA 27.49 30.31 29.50 31.99 16.37% 0.93
W Holding Company Inc WHI 18.32 19.85 20.51 20.10 9.72% 0.66
Coach Inc COH 36.61 35.74 37.87 39.36 7.51% 0.94
Central European Dist Cp CEDC 33.20 34.16 35.00 35.60 7.23% 0.77
Middleby Corp MIDD 39.79 42.93 40.05 41.79 5.03% 0.86
Accredited Home Lenders LEND 31.72 38.27 34.65 33.19 4.63% 0.89
Harman Intl Industries HAR 73.22 77.40 72.35 75.50 3.11% 0.95
Petrokazakhstan Inc Cl A PKZ 24.47 24.95 23.19 24.61 0.57% 0.89
World Acceptance Corp WRLD 21.94 23.20 22.35 22.00 0.27% 0.89
American Pharmaceutical APPX 34.24 36.62 35.37 34.20 -0.12% 0.79
Patina Oil & Gas Corp POG 48.22 47.15 44.45 47.84 -0.79% 0.91
Coventry Health Care Inc CVH 41.79 42.89 42.25 41.45 -0.81% 0.94
Hot Topic Inc HOTT 29.75 31.27 29.50 28.82 -3.13% 0.94
Hovnanian Enterprises A HOV 77.80 78.67 75.38 74.99 -3.61% 0.82
Cognizant Tech Sol Cl A CTSH 51.00 56.66 53.00 48.67 -4.57% 0.91
Icici Bank Ltd Adr IBN 16.08 16.65 16.70 15.17 -5.66% 0.91
S A P Ag Adr SAP 44.36 42.06 42.46 41.81 -5.75% 0.93
Engineered Support Sys EASI 53.23 51.99 48.22 50.05 -5.97% 0.87
Shuffle Master Inc SHFL 37.88 36.35 34.54 35.34 -6.71% 0.86
K Swiss Inc KSWS 25.95 27.39 24.60 23.71 -8.63% 0.92
Daktronics Inc DAKT 26.69 25.78 24.92 24.17 -9.44% 0.54
U S A N A Health Science USNA 30.87 30.92 31.34 27.89 -9.65% 0.86
Merit Medical Systems MMSI 22.69 24.22 21.54 19.97 -11.99% 0.91
Multimedia Games Inc MGAM 47.01 44.30 42.45 40.93 -12.93% 0.87
Infosys Technologies Ads INFY 98.14 93.85 89.13 83.13 -15.29% 0.69
Wipro Ltd Adr WIT 52.55 57.12 47.62 42.00 -20.08% 0.66
Sigmatron International SGMA 26.3 29.41 22.75 20.42 -22.36% 0.85
Satyam Computer Svcs Adr SAY 29.23 27.46 23.44 21.00 -28.16% 0.79
Starcraft Corp STCR 32.92 22.95 17.50 13.62 -58.63% 0.42
Aggregate: -2.88%[/code:1:65bb3b8a25]

I am huge! Send in the dancing virgins. I desire to be amused.