Showing posts with label prediction accuracy appreciation price. Show all posts
Showing posts with label prediction accuracy appreciation price. Show all posts

Thursday, May 19, 2011

Splits

Noticed the following

5/6/2011 11:44:37 PM hlf 0.6459572 14152.50 104.84 14159.80 53.29 0.05 -49.17 -49.22

and realized that it is due to Herbalife doing a 2 for 1 split on May 18th 2011. Paranumeral fetches just the price deltas (as in just yesterday's) so as to minimize traffic but it seems we have a problem with splits. So I'll either do the adjustment (complex) or fetch all historical prices to ensure they're adjusted for splits. In the meantime this affects total performance very directly and significantly - splits are huge changes in price! Furthermore this issue plagues model building by adding lots of noise. So I have my work cut out.

Thursday, April 7, 2011

Ah the little ones

After my brag post on 3/11, I started noticing a virtual nose dive in paranumeral’s CAPS score (along with accuracy and rating). After quite some soul (and source) searching I think I have found the villain. We’ll hang him and everyone else lives happily ever after ;-) The short of it is that the new code (which now takes into account the company and market price appreciation/depreciation since the last statement date) replaced the old prediction code which was loosely coupled with the SQL code expecting the latest statement to be last. Well the new code predicted using the FIRST record fetched and did not care about stmt date order as it was coded when we fetched statements dated in the last 3 months – there would be just one set of (balance sheet, income and cash flow) stmts. Then around mid March a lot of tickers started coming back with “Invalid tickers or lacking latest statements” so then I changed the code to look for statements dated in the last 6 months (always returning at least one set and often two) BUT failed to change the sort order to chronologically DESCending so the first record would be the most recent set of stmts. So the summary is that all the predictions in the last two weeks of March were coin flips or worse. Amazing how the littlest of things can have the biggest of impacts. And speaking of little things my 6 week old daughter and 20 month old son get the prize for the most impact these days.

Saturday, December 4, 2010

Is it any good?

I added the Vs Market link to the Yahoo Finance chart so one can get a feel for how the model performs. The symbol entered and predicted is charted against the three main market indexes. Compare against the appropriate index (e.g. tech stocks are best compared with Nasdaq). The chart is for the latest 3 months. The model currently does not use any data (especially prices) past statement (quarter end) dates. Therefore one can see in those charts whether the company trailed or beat the market (on average over all days since and not necessarily the end date = today) since its most recent quarter end.