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Strategies & Market Trends : TA-Quotes Plus

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To: gonzongo who wrote (8982)	3/14/1999 3:27:00 AM
From: Nine_USA	Read Replies (3) of 11149

Andy, Shown below is a one year backtest of my approach as of March 9, 1998. An interesting aspect of this run is a summary {not here shown) of the approximately 4000 stocks involved, summarized to 100 groups of about 40 and shown in declining average 'Value' per group. This report shows 1 year average %returns per group and cumulatively. Also shown are MarketCap weighted 1 year %returns per group and cumulatively. We are having company here tomorrow, but hope to get it out sometime during the day. Run 03/14/99 2:43:28 AM Data as of close 03/09/98 Sale as of Close 03/12/99 1 Yr holding period For the Detail Report (the first shown below) --------------------------------------------- The first 20 stocks shown are the highest 20 based on 56 weighted variables, and in declining 'Value' sequence (see column titled Val) 'Values' for these 20 stocks range from 151 for DELL down to 115 for U The next 20 stocks shown are the lowest 20 based on the same variables 'Values' for these 20 stocks range from 12 for MLS down to 7 for LABH The key columns are: Tik ... ticker Sic ... standard industry code Close ... price as of valuation date Val ... the computed weighted 'Value' based on 56 variables 12m ... the 1 year forward %return for this stock Desc ... the company name (last output variable to the right) ignore other columns Stocks like HBOC which show dashes (---) in lieu of %returns were merged or dropped from QP2 during the year and are not included in summaries For the Cumulative, or Summary Report, which follows: ----------------------------------------------------- The 19 long stocks which were present 1 year later show a 112.1% average return The 17 short stocks had a favorable return to the investor of 23.6% These 36 stocks show a 50-50 fully hedged 1 year return of 67.8% This hedged return is more than 3 times the SP500 return of 20.4% ------------------------------------------------------------------------------------------------------------------------ Tik SIC close FutPr %dif Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %Mgn r50 r200 Q Qa P/E %Fl Mcap Val Long stocks: DELL 3571 63.12 42.19 -33.2 151 167.9 104.1 54.1 23.9 2.9 -13.0 5.3 -8.9 90 13.9 120 146 98 98 24.0 39 41209 1 AOL 7370 123.38 96.12 -22.1 141 518.9 341.9 301.0 106.8 16.4 27.4 8.1 1.5 100 0.8 121 156 96 86 99.0 73 12968 1 MSFT 7372 79.59 160.19 101.3 135 95.6 87.8 59.0 19.9 8.6 -0.3 6.7 -3.8 93 27.3 108 116 77 85 54.1 64 193787 1 PSFT 7372 47.38 17.94 -62.1 132 -64.3 -58.6 -43.8 -7.9 -21.6 -2.7 -5.0 0.8 100 11.9 123 148 93 87 99.0 32 10422 1 COST 5331 54.38 88.56 62.9 128 64.4 47.9 71.6 32.6 22.2 15.3 10.3 3.3 100 1.7 119 138 91 83 31.1 87 11578 1 LU 3661 107.88 103.25 -4.3 128 79.2 41.2 36.0 3.9 -8.6 6.2 1.7 0.0 99 1.7 119 131 93 86 99.0 99 70190 1 WMT 5331 51.31 96.38 87.8 126 87.8 63.4 64.9 25.6 18.1 19.1 11.9 2.2 100 2.9 121 136 89 78 32.9 60 115237 1 CSCO 3576 61.22 103.25 68.7 125 142.3 95.9 75.1 27.9 -1.4 4.8 5.6 -4.9 92 17.6 100 114 78 69 48.2 98 61980 1 ESRX 6411 82.75 77.75 -6.0 122 91.1 111.0 107.3 44.5 11.1 13.3 20.4 1.5 100 1.5 129 151 96 75 41.0 58 762 1 HBOC 7373 55.25 0.00 0 122 - - - - - - - -4.0 96 14.8 109 131 87 82 65.0 80 11041 1 LEH 6211 66.75 58.62 -12.2 122 -15.4 -27.0 51.8 27.1 7.4 22.1 10.6 0.0 100 3.3 119 136 91 86 14.2 88 7881 1 YHOO 7375 87.81 176.00 100.4 121 758.5 510.9 340.7 77.9 -15.3 23.6 14.7 9.0 100 na 133 186 99 92 na 15 3767 1 PGR 6331 118.38 138.00 16.6 118 16.5 -2.4 37.1 -3.5 -19.2 13.9 7.4 -0.7 98 8.8 103 114 82 82 23.0 53 8553 1 DG 5331 49.12 33.50 -31.8 117 8.5 4.0 36.7 30.1 29.8 31.6 11.9 1.5 100 5.3 125 141 92 87 47.2 59 6557 1 HD 5211 66.38 65.25 -1.7 117 87.8 59.3 65.4 19.5 15.5 17.4 9.3 0.6 97 4.7 108 124 83 76 42.6 87 48560 1 BEN 6282 51.12 32.06 -37.3 116 -39.2 -35.0 19.6 -19.6 -10.3 -1.9 0.8 -0.7 97 19.9 112 119 72 85 27.5 53 12922 1 DIS 7812 105.81 36.06 -65.9 115 2.1 -6.9 33.3 7.4 2.3 5.9 2.5 0.2 92 8.7 101 120 71 69 36.7 98 71730 1 EMC 3572 35.25 112.25 218.4 115 203.4 161.0 119.6 36.4 18.3 14.5 9.6 -3.7 91 17.5 110 128 89 91 33.9 82 17393 1 MTG 6351 69.94 35.75 -48.9 115 -46.7 -40.5 -10.2 -14.5 -18.9 1.0 5.0 -0.4 95 35.4 103 121 83 81 26.9 81 7985 1 U 4512 72.38 52.50 -27.5 115 -29.1 -30.7 11.7 0.7 -11.9 15.7 10.8 1.9 100 12.0 115 152 96 89 6.5 66 6607 1 Short stocks: MLS 6798 25.44 17.88 -29.7 12 -29.7 -25.3 -15.6 -16.6 -10.1 -2.7 -1.7 -2.9 88 13.3 99 97 25 48 26.2 32 582 PVH 2320 12.38 6.50 -47.5 12 -45.0 -50.9 -32.4 -10.3 -11.9 5.0 7.3 -1.4 78 na 97 89 17 37 na 69 336 TPR 3714 7.50 5.00 -33.3 12 -35.5 -40.3 -11.0 -10.1 -7.1 -12.1 -9.1 -1.6 64 2.7 92 82 20 41 6.3 67 49 WTU 6792 14.81 9.81 -33.8 12 -34.1 -29.9 -19.9 6.1 -0.7 1.2 3.9 -0.9 74 97.0 96 85 16 22 7.3 63 144 BCU 2821 7.69 6.31 -17.9 11 -16.5 8.6 106.2 55.4 20.2 29.3 26.2 -1.5 66 0.7 94 81 12 26 51.3 99 283 CAX 6798 6.62 5.50 -16.9 11 -18.5 -14.6 -3.3 -7.4 -6.5 -6.5 -4.3 0.0 86 134.9 97 95 23 38 5.0 70 68 RED 7011 23.75 0.00 0 11 - - - - - - - -2.1 85 8.5 94 95 24 35 29.0 87 98 SAFM 2015 10.88 15.12 39.0 11 37.5 23.4 16.3 -4.8 -7.7 -2.5 2.5 -2.2 60 na 86 76 10 34 na 28 156 TCT 6798 16.50 15.12 -8.4 11 -10.1 -7.0 7.5 -0.5 -1.2 -2.1 1.2 -1.5 87 7.3 96 96 34 47 38.4 64 260 BG 3140 14.44 14.31 -0.9 10 0.8 -21.6 -7.3 -20.8 -15.2 -6.2 -8.4 0.4 72 na 100 89 28 30 na 71 260 EY 2860 8.31 4.44 -46.6 10 -46.6 -35.5 0.0 -26.7 -29.6 -22.0 -9.0 1.5 84 5.6 108 95 25 26 11.4 64 694 GMP 4911 18.00 10.44 -42.0 10 -43.2 -34.8 -13.0 -10.7 -2.9 -1.7 -1.1 -0.7 69 4.5 95 87 16 23 11.5 93 93 HACH 3826 10.00 10.88 8.8 10 7.5 10.9 6.1 3.6 -8.4 -2.2 0.0 0.6 40 4.1 91 64 9 27 15.9 78 82 JH 2780 16.25 13.44 -17.3 10 -19.1 -22.1 0.0 -14.7 -11.5 0.4 0.0 1.6 53 4.7 95 79 5 19 19.1 77 504 MCT 6798 9.19 0.00 0 10 - - - - - - - 0.8 78 na 103 100 24 26 na 60 79 SLS 3567 9.75 5.50 -43.6 10 -42.1 -37.1 -16.9 -31.3 -30.2 -15.4 -7.4 -1.3 74 4.1 93 87 22 43 11.9 77 54 PRT 6798 14.00 8.19 -41.5 9 -43.3 -38.4 -15.5 -19.1 -13.8 -7.8 2.4 -1.3 86 na 95 98 35 51 na 79 382 BMG 1040 5.94 3.44 -42.1 8 -40.2 -32.0 -29.5 -15.3 -30.4 -3.4 1.8 0.0 79 na 106 104 44 29 na 71 1365 HRE 6798 18.25 0.00 0 8 - - - - - - - -1.4 89 34.8 96 99 36 49 10.9 64 94 LABH 8071 21.75 17.50 -19.5 7 -23.5 -16.7 9.4 1.4 2.9 9.4 10.2 0.0 61 na 94 83 14 17 na 71 141 Cumulative Returns filter ____VALK Stocks All Eval on RALL0309 Bought at next day close Sell on 0312____ long # 19 112.1 75.1 75.3 23.1 2.4 11.3 7.8 short# 17 23.6 21.4 1.1 7.2 9.7 2.3 -0.9 net # 36 67.8 48.2 38.2 15.1 6.0 6.8 3.5 SPY 20.4 18.3 31.4 9.1 2.3 5.8 4.7

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