Thursday, August 9, 2007

Ureka! A method to rank stock signal performance

I've been puzzled by the stock performance based on technical analysis. Some stocks do well, and some don't, so why bother? Wait, what if there were a way to rank stocks that performed well in relation to the technical analysis signals? Well, sure enough, there is! I decided to compute an efficiency ratio based on the price movements between buy and sell signals. The ratio is simply the ratio of absolute values of (price day signal - price day signal previous) / (sum of daily close price differences between the two dates. When multiple signals occur, I multiple each instance by the number of days between signals and divide the summation of each by the total number of days. I'm limiting the number of days to 60 and only taking stocks with an efficiency rating of 0.3 or better.

The results for today are:

ADGO.OB, ADAMS GOLF INC (Google Yahoo Earnings Chart)
AIN, ALBANY INTL CP CL (Google Yahoo Earnings Chart)
AIXD, ACCESS INTEGR TEC (Google Yahoo Earnings Chart)
ARRS, ARRIS GRP INC (Google Yahoo Earnings Chart)
BLKB, BLACKBAUD (Google Yahoo Earnings Chart)
BSET, BASSETT FURNITURE (Google Yahoo Earnings Chart)
CACC, CREDIT ACCEPTANCE (Google Yahoo Earnings Chart)
CCRN, CROSS CTRY HLTHCR (Google Yahoo Earnings Chart)
CERS, CERUS CORP (Google Yahoo Earnings Chart)
CGPI, COLLAGENEX PHARM (Google Yahoo Earnings Chart)
CRWN, CROWN MEDIA HLDGS (Google Yahoo Earnings Chart)
EMIS, EMISPHERE TECH (Google Yahoo Earnings Chart)
FBC, FLAGSTAR BANCORP (Google Yahoo Earnings Chart)
FCEL, FUELCELL ENERGY I (Google Yahoo Earnings Chart)
FTEK, FUEL TECH INC (Google Yahoo Earnings Chart)
GLBC, GLOBAL CROSSING L (Google Yahoo Earnings Chart)
HTC, HUNGARIAN TELEPHO (Google Yahoo Earnings Chart)
HZO, MARINEMAX INC (Google Yahoo Earnings Chart)
ICFI, ICF INTERNATIONAL (Google Yahoo Earnings Chart)
IDT, IDT CORP CL B (Google Yahoo Earnings Chart)
IGTE, IGATE CORP (Google Yahoo Earnings Chart)
INPC, INPHONIC (Google Yahoo Earnings Chart)
IPG, INTERPUBLIC GROUP (Google Yahoo Earnings Chart)
JADE, LJ INTL INC (Google Yahoo Earnings Chart)
JBSS, JOHN B SANFILIPPO (Google Yahoo Earnings Chart)
KNOT, THE KNOT INC (Google Yahoo Earnings Chart)
LCUT, LIFETIME BRANDS I (Google Yahoo Earnings Chart)
MBLX, METABOLIX INC. (Google Yahoo Earnings Chart)
MEK, METRETEK TECH (Google Yahoo Earnings Chart)
NGAS, NGAS RESOURCES IN (Google Yahoo Earnings Chart)
NOVC, NOVACEA (Google Yahoo Earnings Chart)
NXTM, NXSTAGE MEDICAL (Google Yahoo Earnings Chart)
OHB, ORLEANS HOMEBUILD (Google Yahoo Earnings Chart)
OME, OMEGA PROTEIN CP (Google Yahoo Earnings Chart)
ORCC, ONLINE RESOURCES (Google Yahoo Earnings Chart)
OSIR, OSIRIS THERAPEUTI (Google Yahoo Earnings Chart)
PGIC, PROGRESSIVE GAMIN (Google Yahoo Earnings Chart)
RTSX, RADIATION THERAPY (Google Yahoo Earnings Chart)
SHFL, SHUFFLE MASTER IN (Google Yahoo Earnings Chart)
SKX, SKECHERS USA INC (Google Yahoo Earnings Chart)
SKYW, SKYWEST INC (Google Yahoo Earnings Chart)
STEC, SIMPLETECH INC (Google Yahoo Earnings Chart)
STRL, STERLING CONSTRUC (Google Yahoo Earnings Chart)
TRBN, TRUBION PHARMACEU (Google Yahoo Earnings Chart)
TRCA, TERCICA INC (Google Yahoo Earnings Chart)
TWTC, TIME WARNER TELEC (Google Yahoo Earnings Chart)
UCTT, ULTRA CLEAN HOLDI (Google Yahoo Earnings Chart)
VNUS, VNUS MEDICAL TECH (Google Yahoo Earnings Chart)
VTIV, INVENTIV HEALTH (Google Yahoo Earnings Chart)
WXS, WRIGHT EXPRESS CO (Google Yahoo Earnings Chart)

So, let's see how these do.

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