Loren Cobb's Mechanical Investing Page

Volatility

Arezi's Ratio

Read my take on how it works here.
Download the data: AreziRatios.txt
Arezi's method for market timing: AreziMethod.xls

Theory of Screening

First cut at a theory: Regression vs. Screening.

Growth Projections - Exponential Model

Download the article (PDF format): Exponential.pdf (revised 23 June 2000).
Here is a third draft (with additions): XG & RRS_Screens.pdf (revised 11 April 2001). It's still in progress.
Download a simple XG calculator: Calculations.xls (revised 23 April 2000 — thanks to Howard Duncan).
Download the latest backtest results: Backtest.xls (summary and 1998-2000), 1999.xls, and 1998.xls. The backtest spreadsheet has been corrected, improved, and extended. Thanks to all who contributed!
Note: I personally no longer use the XG screens as defined above and as reported weekly by Jeff Kaellner. Instead, I use a variation on that idea that pleases my aesthetic sense somewhat more. I use daily data on all 100 VLT1 stocks, and calculate daily volatilities for all 100 stocks. This allows me to adjust the exponential growth rates with a somewhat more reliable and trustworthy measure of volatility. BarryDTO's spreadsheet is perfect for this. Usually I use the RRS method to calculate the growth rates, but when the market turns downward I use the alpha statistic instead, on the theory that high-alpha stocks are rising autonomously. It seems to work, but I have done no backtesting on this variant of the XG screens.

Send email feedback to Loren Cobb.

My schedule is filled with international trips and hairy deadlines. Therefore this page may seriously lag behind. Please be patient while indulge my need for incessant travel. If you wonder what on earth it is all about, come visit my main page.

This page last revised 30 October 2003.