Sunday, March 09, 2014

Select stocks

While Stock Trends reports are designed to highlight stocks that have triggered some aspect of traditional charting, the new inference model introduced in recent editorials is fundamentally a more data driven approach to the Stock Trends indicators. It is an apparatus that looks at statistically measured responses to a market condition defined by price trend and momentum. If a stock has certain market conditions, is there a statistical probability of future returns?
Now that we’ve been introduced to the elements of the model (see recent editorials), let’s look at what the current Stock Trends indicators say. Below are a series of heatmap images that show various rankings of the probable returns in the upcoming 13-week period. Those at the top of the heatmap have the highest probability of exceeding the base period random returns.
The colour coding indicates the relative returns above the base period returns (4-week: 0%, 13-week: 2.19%, 40-week: 6.45%). As the statistical mean of the returns generated by the Stock Trends indicator combinations out-perform the base returns the green colour is progressively darker. As the statistical mean of the returns generated by the Stock Trends indicator combinations under-perform the base returns the red colour is progressively darker. Returns centered around the period base returns are colour-coded yellow. The included Color Key illustrates the coding.
First we will look at the top 30 ranked ‘Select’ North American stocks. Select stocks must have Stock Trends indicator combinations that have a lower limit of its mean return confidence interval above the base period mean return for all three periods – 4-week, 13-week, and 40-week. These select stocks are then ranked by descending order of their probability of outperforming the base period mean random return. The assumed probability distribution is a normal curve.
In short, these stocks exhibit the Stock Trends indicator combinations with the highest probability of beating the mean return of randomly selected stocks. Future editorials will elaborate on the portfolio management implications of this ranking system. For now, let’s look at some analysis results:

Stock Trends inference model

Select Stocks - Top 30

 

Current Trend Listings of Select Top 30 stocks

Trend

Issue

Price($)

% chg

Vol(00s)

 

Hawaiian Holdings (HA)
14.20
17.9
154139
Gold Resource (GORO)
5.52
7.2
23076
Depomed Inc. (DEPO)
13.70
13.7
159944
Gol Linhas Aereas Intelig. SA (GOL)
4.42
-9.2
48506
Fair Isaac Corporation (FICO)
53.65
-0.2
10056
Emcore Corp. (EMKR)
5.16
5.7
10057
Mkt Vectors Biotech ETF (BBH)
99.88
-2.4
10260
Bellatrix Exploration (BXE)
8.95
5.9
69745
Zix Corporation (D) (ZIXI)
4.61
2.0
13777
Quantum Fuel Systems Tech. (QTWW)
10.25
18.8
87660
Cummins (CMI)
145.62
-0.2
62808
Seadrill Partners LLC (SDLP)
31.78
1.2
5573
NASDAQ Pr Income and Growth (QQQX)
18.50
1.1
2387
Media General (MEG)
17.91
-5.6
10951
Sinovac Biotech (SVA)
6.52
-0.8
23489
Jacobs Engineering Group (JEC)
63.09
4.0
49521
Endo International plc (ENDP)
73.76
-7.6
220337
Charter Communications (CHTR)
127.00
0.2
87261
Xilinx Inc. (XLNX)
53.03
1.6
186707
AMN Healthcare Services Inc. (AHS)
14.47
3.9
16981
Air Products & Chemicals (APD)
121.67
0.3
47689
Cimarex Energy (XEC)
114.21
-1.3
60310
CUI Global (CUI)
8.73
0.0
4092
Heico Corp. (HEI)
63.35
1.9
12675
Ctrip.com International (CTRP)
52.59
-2.6
146452
Rush Enterprises (RUSHA)
29.30
2.5
5680
TRW Automotive Holdings (TRW)
82.62
0.4
44648
Anworth Mortgage Asset Co (ANH)
5.09
-1.7
77612
IGM Financial (IGM)
54.65
1.2
9237
McKesson Corp. (MCK)
182.40
3.0
67988
 Subscribers to Stock Trends Weekly Reporter will find a new report listed under the header 'ST-IM Select stocks of the week' in the ST Filter Listings section.
 Below are the distributions of returns generated by the Stock Trends indicator combination now sported by Hawaiian Holdings (HA-Q), the top ranked Select stock.
Note: the sample density distribution is outlined in green. The assumed population distribution - a normal distribution - is outlined in blue. The vertical yellow line indicates the estimated population mean return. The vertical red line indicates the base return of a randomly selected stock.  
For  4-week CLOSE returns distribution estimation, with  95 % confidence, the  4-week CLOSE  mean return of the population of stocks
 with a similar Stock Trends indicator combination to  HA will be inside [ 1.978 %, 11.294 %]
[1] "With probability of  2.5% we will have a mean return below 1.978%"
 Estimated population mean return  6.64% and standard deviation of 19.85
 Normal Distribution
 For 4wk CLOSE P(R> 0)=63.09% probability of a return greater than the 4-week mean return of a randomly selected stock.
62.75% of sample returns are >0%
Note: the sample density distribution is outlined in green. The assumed population distribution - a normal distribution - is outlined in blue. The vertical yellow line indicates the estimated population mean return. The vertical red line indicates the base return of a randomly selected stock.  
For  13-week CLOSE  returns distribution estimation, with  95 % confidence, the  13-week CLOSE  mean return of the population of stocks
 with a similar Stock Trends indicator combination to  HA will be inside [ 10.276 %, 33.502 %]
[1] "With probability of  2.5 % we will have a mean return below 10.276%"
 Estimated population mean return  21.89% and standard deviation of 46.9
 Normal Distribution
 For 13wk CLOSE P(R> 2.19)=66.28% probability of a return greater than the 13-week mean return of a randomly selected stock.
63.04% of sample returns are >2.19%
Note: the sample density distribution is outlined in green. The assumed population distribution - a normal distribution - is outlined in blue. The vertical yellow line indicates the estimated population mean return. The vertical red line indicates the base return of a randomly selected stock.  
For  40-week CLOSE  returns distribution estimation, with  95 % confidence, the  40-week CLOSE  mean return of the population of stocks
 with a similar Stock Trends indicator combination to  HA will be inside [ 9.773 %, 37.583 %]
[1] "With probability of  2.5 % we will have a mean return below 9.773%"
 Estimated mean return  23.68% and standard deviation of 54.21
 Normal Distribution
 For 40wk CLOSE P(R> 6.45)=62.47% probability of a return greater than the 40-week mean return of a randomly selected stock.
55.81% of sample returns are >6.45%
Next we'll survey the mean return expectations of the current Picks of the Week, S&P 100 stocks, and S&P/TSX stocks. Here the stocks are ranked by their mean average returns across all three periods (4-week, 13-week, and 40-week). 

Picks of the Week

 

Current NYSE Picks

It should be noted that not all current Picks of the Week, or index components listed below have statistical inference ratings. Some Stock Trends indicator combinations do not provide a large enough sample size to make inferences about their population. The heatmap images displayed here are great for viewing relative performance expectations, but not the best to provide links to the Stock Trends Reports on the individual stocks. Below is a ranked table that provides the current trend listing of these Picks of the Week, with links to their Stock Trends Report pages.
Current Trend Listings of NYSE Picks of the week stocks

Trend

Issue

Price($)

% chg

Vol(00s)

 

Anglogold Ashanti Ltd. (AU)
18.62
5.9
160670
Global X Gold Explorers E.T.F. (GLDX)
16.19
5.7
5652
PetroQuest Energy (PQ)
5.17
9.3
53759
Dana Holding (DAN)
22.15
2.2
83552
Stage Stores (SSI)
24.36
23.0
54502
Weatherford (WFT)
17.07
2.4
539518
EMC Corp. (EMC)
27.04
2.5
970645
Cooper Cos. (COO)
136.48
6.5
39638
Carters Inc. (CRI)
77.48
2.9
33910
Appld Industrial Technologies (AIT)
51.66
1.2
7604
Western Gas Partners LP (WES)
64.39
1.7
10911
Service Corp. International (SCI)
19.63
5.0
111258
Berkshire Hathaway (BRK.B)
122.67
6.0
225745
Sovran Self Storage (SSS)
75.00
1.4
15939
Taiwan Semiconductor (TSM)
18.77
3.9
689911
Regency Energy Partners LP (RGP)
27.38
4.3
21744
Enbridge Inc. (ENB)
43.83
3.6
44262
Cablevision Systems (CVC)
18.15
3.1
137589
RealD Inc. (RLD)
11.50
4.1
15497
ELEMENTS Intl Commodity Agric. (RJA)
8.86
4.4
9428
Barnes & Noble (BKS)
21.20
10.7
92892
Materion Corp. (MTRN)
33.07
11.8
8897
Sprott Phys. Platinum & Palla. (SPPP)
9.82
7.0
17007
HDFC Bank (HDB)
37.33
11.1
75285
Apartment Invt & Mgmt Co. (AIV)
30.64
2.5
86576
STMicroelectronics (STM)
9.35
3.5
66572
E-TRACS UBS Long Platinum (PTM)
16.66
3.1
3118
Piedmont Natural Gas (PNY)
34.25
1.3
17919
Potash Corp. of Saskatchewan (POT)
34.69
4.2
344924
ELEMENTS Intl Commodity (RJI)
8.62
1.4
40932
Flaherty&Crumrine Pref. Secur. (FFC)
18.75
1.4
11653
Hecla Mining (HL)
3.46
2.4
237539
Ruckus Wireless, Inc. (RKUS)
15.19
8.5
103125
Westpac Banking (WBK)
30.76
2.0
6111
Wells Fargo Adv. Glb Div. Opp. (EOD)
7.80
1.2
13421
Healthcare Trust of America (HTA)
11.46
2.1
111653
Mrk Vectr Jr Gold Miner E.T.F. (GDXJ)
42.50
2.8
138210

Current Nasdaq Picks

 

Current TSX Picks

 

S & P 100 index stocks

S & P/TSX 60 index stocks

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