IPO, EMIS, BVC, BDEV and AMER

AMER up again today, along with others to watch, IPO, EMIS, BVC and BDEV on the LSE

NYSE and NASDAQ calculating

OPTS, AMER, AGOL and BMR

After days compiling the trace combination results, we have our first set of companies for the LSE_trace, and have been tweeted under LSE_trace - OPTS, AMER, AGOL and BMR. I will be following these with particular care over the next 5 days.

To confirm the process to pick these companies: the trace reporting process chooses those companies that have been triggered with a combination of elements (single trigger criteria) that have triggered more than 3 times over the past 1.5 years, with an individual triggering percentage increase over the subsequent 5 days of more than 11.5%, and each trigger is 90% (rather than 85% previously) of the maximum percentage increase over the same 5 days, that is, the triggering momentum is large.

This process is running at the moment for the NYSE and NASDAQ.

tell us, what do all these traces give me ?

I am getting some solid information on the relevant triggers for each separate company that have given 11.5% increases over 5 days.

oasis can now take the formulae giving more than an 85% average increase relative to the maximum percentage, and greater than 11.5% on every individual date, for a specific company and if triggered again today, twitter the results under the banner 'exchange_trace', that is for the London LSE it will be 'LSE_trace', NYSE will be 'NYSE_trace', and 'NASDAQ_trace' for the... NASDAQ.

Also the auto tweet system only tweets the top 5 most relevant companies each 'auto-tweet' - if you are interested in the full listing per day then email me.

twitter feed is:

https://twitter.com/#!/spacecadet99999

I am in the process of adding FX exchange, and also continuing work on Candlestick patterns, and RNS analysis (I have now 167 days worth of RNS company reporting data)

white soldiers

oasis analysis of candlestick White Soldiers yields some interesting results, at least we can compare.

A White Soldier is described as the de-facto 'in your face' indication of a price increase.

The results are interesting because they appear, at least on first glance, to be a little random.

To the right/above is a screen shot of a random selection of companies and the dates that White Soldiers were triggered, along with close price, next day open price and then percentage increases over 5, 10, 15 and 30 days. 

The parameters for White Soldiers stipulates a downward trend needs to have been established, but does not say how and so I have used the psar on close to denote a change of trend. I will be experimenting with other trend setters.

OPTS

Below is an interesting extract from a report from the current companies that have been traced.

The columns are, company, average percentage increase, max percentage increase and number of times this has occurred over the last 1.5 years:

....
AMER     11.7     12.2     4
AMER     12.5     13.3     4
PFD         14        17        4
DOM       15.6     17.4     4
PFD         17.3     21.3     4
TCM        17.5     21.8    4
PFD         17.7     21.3    4
DOM       18.1     21.4    4
OPTS       18.7    20.9     4
PFD         18.8     21.3    4
OPTS      19.9     20.9    4
PFD        18.4     21.3    5
OPTS     18.5      20.9    5
OPTS     18.8     20.9     5
OPTS     17.8     20.9     6
....

As you can see the last line for OPTS, the formulae have been triggered 6 times with a consistent 85% average percentage increase of the maximum percentage increase and consistently over 11.5%.
The element combinations for this one line are:


dfnotv     OPTS          17.8                   20.9                   6
dfnrtv      OPTS          17.8                   20.9                   6
dfnstv     OPTS          17.8                   20.9                   6
dfntv      OPTS           17.8                   20.9                   6
dfortv     OPTS          17.8                   20.9                   6
dfrstv      OPTS         17.8                   20.9                   6
dfrtv        OPTS         17.8                   20.9                   6

All of these formulae trigger at the same points, so essentially we have an extra dimension to the specific betas for each company. Not only can we analyse when individual betas trigger but also we can analyse relationships between more than one beta triggering as well.

The upshot of this is that for OPTS we have 7 formulae that when triggered give a good probability of an increase of at least 11.5% over the next 5 days.

Lets have a look at the dates for one of the triggers - dfntv
(for information, d is related to the stochastic on the macd, f is related to the psar on the adx, n is related to the psar on the vi, t is related to the psar of the psar of the close, v is related to the stochastic of the rsi of the opening price):

OPTS 22-MAR-12        215.6         208.5          17.1           34.1          34.1           34.1
OPTS 23-MAR-12        220             216            21.6            29.4           29.4            29.4
OPTS 26-MAR-12         221           216              22.8           29.4            29.4             29.4
OPTS 27-MAR-12        221.5          221             20               26.5         26.5              26.5
OPTS 28-MAR-12          222.777       221           23.6              26.5          26.5          26.5
OPTS 29-MAR-12            243.25        221.25       26.3             26.3         26.3           26.3

The columns above are company, trigger date, close price, next days opening price, and then percentage increase over the next 5, 10, 15 and 30 days.


And what we see here is again backed up by the previous post, triggering of a formula within certain periods indicates quite an increase probability of a price increase. Here the period is 1 day.

candlesticks

The way oasis is set up makes it very easy to search for candlestick patterns, so while the company traces are running (2 hours per company, but running in parallel and so my throughput is currently 10 companies per hour, still going to take days to complete though), I am coding the candlestick pattern recognition engine and entering the world of Doji, Spinning tops, Marubozu, White Soldiers, Black Crows and other assorted candlestick patterns and their meanings.

I like the fact that candlestick pattern analysis is another way to layer formulae on top of, and included in, new beta formulae, as well as a method to substantiate current betas

ACHL analysis

Some initial results for the people from ACHL

Below is the listing of the trace elements, company, average percentage increase and max percentage increase for ACHL for the last 1.5 years, a period that is relevant for these calculations but not too distant as to mar the results.

I have designated my trace elements as alphabetic characters, so for the first line, for the first column, each of the letters a, f, m and o designate different elements to a formula - the individual elements being concatenated to produce the full trigger.


Just as a note and to back up the previous post, the formula for 'a' is 'trigger on psar on open and psar on close together' - below you will see the figures for just element 'a' in the second section.
(and just for info, 'f' is related to the adx, 'm' is related to the macd, and 'o' is related to the vi)

The last 2 columns are the average percentage increase using this trigger over the subsequent 5 days and the  maximum percentage increase over the same period. The percentages are calculated on the next day's opening price, the approximate price at which we would buy.

....

afmo               ACHL                                               113.3                  113.3  

afn           ACHL                                               113.3                  113.3 

afno         ACHL                                               113.3                  113.3

afo         ACHL                                               113.3                  113.3

ag       ACHL                                               113.3                  113.3

agl         ACHL                                               113.3                  113.3

aglm           ACHL                                               113.3                  113.3

aglmn        ACHL                                               113.3                  113.3

aglmo           ACHL                                               113.3                  113.3

agln       ACHL                                               113.3                  113.3

aglno          ACHL                                               113.3                  113.3

aglo          ACHL                                               113.3                  113.3

agm          ACHL                                               113.3                  113.3

....

(this is only part of the report)

We have quite a few formulae that indicate not only that the trigger to each of these formula gives one answer and that answer is that the stock will rise but also that these are quite separate and different formula, even though all have the element 'a' in them.

If I scroll further down the report to get away from the 'a's I get:

....

a                ACHL                                               65.3                   113.3

bgo             ACHL                                               45.3                   128.2

bdgo             ACHL                                               45.3                   128.2

bcgo            ACHL                                               41.1                   122.8

bcdgo          ACHL                                               41.1                   122.8

bcego            ACHL                                               36.3                   108.6

bfglo             ACHL                                               36.3                   108.6

bfgo                ACHL                                               36.3                   108.6

bdego            ACHL                                               36.3                   108.6

beglo                ACHL                                               36.3                   108.6

bdfgo                ACHL                                               36.3                   108.6

....

(this is another part of the same report)

What we can see here is that taking 'a' out of the equation reduces our average percentage increase, but increases our max percentage, but only temporarily... it may appear that the above report is ordered by the first column (which is a random select of elements designated a lower case character) but in fact the list is ordered by the third column, average percentage increase; the interesting aspect is that the same elements appear repeatedly in the high probability, high percentage formulae.

Lets focus on the top listing as this lists formulae that if triggered yield the highest probability of a rise. I was not expecting to see so many different formulae giving the same result, this is quite interesting, I was expecting only 1 or 2 triggers, and I will be investigating further. I need to think a little more about this - but what I can do is post here when the formulae in the top section get triggered in the near future for ACHL.

Another aspect that is interesting and also beneficial to the processing time is that the highest yielding formula have between 3 and 6 elements only. This is also a surprise. Percentages fall off rapidly after 7 elements, and there is little use in calculating these - most 7 and 8 element triggers return no results and so there is no point in adding even more elements, and 1 and 2 element triggers mostly yield inadequate percentages. What this means is that for 26 elements, instead of calculating 67,108,862 iterations, the trace will only need to process 313,560 combinations.