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Trading on the Edge
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Trading On The Edge - CD-ROM Toolkit (Wayzata Technology)(2031)(1994).bin
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t015
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Text File
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1993-03-29
|
5KB
|
93 lines
.LsnName Quarterly Equity Returns
.LsnDesc A set of 98 rules were generated for this
Information Harvesting application.
The interface illustrates how the rules can be used to
predict Quarterly Equity Returns.
.LsnScts Evaluation, Estimation, Statistics
.LsnPrms Estimation ih glosgs
.Evaluation
~c~o0 2~m 20 0 8 8
^!H` RESOLUTION !@!g R`
^!H` IMPORTANCE !@!g I`
^!H` DISTRIBUTION !@!g 0`
^!H` DECISIVE BINS !@!g 1`
^!H` VAR RANGES !@!g 2`
^!H` BROWSE RULES !@!b0`
~b~o220 -12~m 0 0 2 0
^!H` !@!m2 0` EFR3
^!H` !@!m3 0` quality
^!H` !@!m1 10` ^!H` !@!m2 10` DIV ^!H` !@!m1 22` ^!H` !@!m2 22` FGNS
^!H` !@!m1 11` ^!H` !@!m2 11` EP ^!H` !@!m1 31` ^!H` !@!m2 31` EP*PRC
^!H` !@!m1 2` ^!H` !@!m2 2` HISTORY ^!H` !@!m1 8` ^!H` !@!m2 8` PRCEdt
^!H` !@!m1 6` ^!H` !@!m2 6` MARKET ^!H` !@!m1 24` ^!H` !@!m2 24` HR3
^!H` !@!m1 4` ^!H` !@!m2 4` ELECT ^!H` !@!m1 7` ^!H` !@!m2 7` PRCE
^!H` !@!m1 5` ^!H` !@!m2 5` QTR ^!H` !@!m1 19` ^!H` !@!m2 19` CP
^!H` !@!m1 13` ^!H` !@!m2 13` IBES ^!H` !@!m1 18` ^!H` !@!m2 18` CODE
^!H` !@!m1 33` ^!H` !@!m2 33` EP/DIV ^!H` !@!m1 21` ^!H` !@!m2 21` CAP
^!H` !@!m1 25` ^!H` !@!m2 25` EHR3 ^!H` !@!m1 27` ^!H` !@!m2 27` EHR6
^!H` !@!m1 32` ^!H` !@!m2 32` EP/PRC ^!H` !@!m1 12` ^!H` !@!m2 12` PB
^!H` !@!m1 16` ^!H` !@!m2 16` ESTS ^!H` !@!m1 20` ^!H` !@!m2 20` CBA
.Estimation
~cEstimated Excess 3 Month Future Return: ~N 0 f`
^!H` Rule Used !@!r1` ^!H` Random Entry !@!R` ^!H` Blank Entry !@!X`
~b~m 40 40 2 0
~C00HISTORY ^!H`~C00-!@!D-`^!H` !@!c 1`^!H`~C00+!@!D+` ~C00CODE ^!H`~C00-!@!D-`^!H` !@!c 17`^!H`~C00+!@!D+`
~C00ELECT ^!H`~C00-!@!D-`^!H` !@!c 3`^!H`~C00+!@!D+` ~C00CP ^!H`~C00-!@!D-`^!H` !@!c 18`^!H`~C00+!@!D+`
~C00QTR ^!H`~C00-!@!D-`^!H` !@!c 4`^!H`~C00+!@!D+` ~C00CBA ^!H`~C00-!@!D-`^!H` !@!c 19`^!H`~C00+!@!D+`
~C00MARKET ^!H`~C00-!@!D-`^!H` !@!c 5`^!H`~C00+!@!D+` ~C00CAP ^!H`~C00-!@!D-`^!H` !@!c 20`^!H`~C00+!@!D+`
~C00PRCE ^!H`~C00-!@!D-`^!H` !@!c 6`^!H`~C00+!@!D+` ~C00FGNS ^!H`~C00-!@!D-`^!H` !@!c 21`^!H`~C00+!@!D+`
~C00PRCEdt ^!H`~C00-!@!D-`^!H` !@!c 7`^!H`~C00+!@!D+` ~C00HR3 ^!H`~C00-!@!D-`^!H` !@!c 23`^!H`~C00+!@!D+`
~C00DIV ^!H`~C00-!@!D-`^!H` !@!c 9`^!H`~C00+!@!D+` ~C00EHR3 ^!H`~C00-!@!D-`^!H` !@!c 24`^!H`~C00+!@!D+`
~C00EP ^!H`~C00-!@!D-`^!H` !@!c 10`^!H`~C00+!@!D+` ~C00EHR6 ^!H`~C00-!@!D-`^!H` !@!c 26`^!H`~C00+!@!D+`
~C00PB ^!H`~C00-!@!D-`^!H` !@!c 11`^!H`~C00+!@!D+` ~C00EP*PRC ^!H`~C00-!@!D-`^!H` !@!c 30`^!H`~C00+!@!D+`
~C00IBES ^!H`~C00-!@!D-`^!H` !@!c 12`^!H`~C00+!@!D+` ~C00EP/PRC ^!H`~C00-!@!D-`^!H` !@!c 31`^!H`~C00+!@!D+`
~C00ESTS ^!H`~C00-!@!D-`^!H` !@!c 15`^!H`~C00+!@!D+` ~C00EP/DIV ^!H`~C00-!@!D-`^!H` !@!c 32`^!H`~C00+!@!D+`
~C00Variable Importance: ~C03HIGH ~C07MED ~C08MED ~C10LOW
.Statistics
~c
0 Kbytes in design data files
31202 Records in design data files
33 Variables defined in ih1cntl
18 Numerical variables included in rule design
4 Categorical variables included in rule design
135 Bins defined for variables
13 Rule groups found
98 Rules found
0.062 0.194 0.228 0.266 0.392
Min, quartile bounds, and max row qualities
Names of variables
HISTORY Historical Performance
ELECT Four Year Cycle
QTR Quarter
MARKET Quarterly Average HR3
PRCE Price
PRCEdt Price Detrend
DIV Dividend Yield
EP Earnings/Price
PB Price/Book
IBES IBES L.T. Growth
ESTS # Ests
CODE S&P Industrial Code
CP Ear. Chg./Price
CBA Ear. Chg. bef annc
CAP Capitalization
FGNS % Foreign Sales
HR3 3 Month Historical Return
EHR3 Excess 3 Month Historical
EHR6 Excess 6 Month Historical
EFR3 Excess 3 Month Future Return
EP*PRC EP * PRCE
EP/PRC EP / PRCE
EP/DIV EP / DIV