Rabu, 16 September 2015

[smf_addin] Digest Number 3513

4 Messages

Digest #3513
1a
Re: Piotroski Scores by "Kermit W. Prather" kermitpra
1b
Re: Piotroski Scores by "Randy Harmelink" rharmelink
1c
Re: Piotroski Scores by "Kermit W. Prather" kermitpra
1d
Re: Piotroski Scores by "Randy Harmelink" rharmelink

Messages

Tue Sep 15, 2015 1:36 pm (PDT) . Posted by:

"Kermit W. Prather" kermitpra

Randy when I was looking at creating a Piotroski F-score spreadsheet I search the old conversations and found this one from July 02, 2015 where you said
When I get some time, I'll try comparing the data and calculations from the three sources.
I was wondering if you ever found the time to do that and if so want were your results.
I am trying to build a spreadsheet to calculate the total F-score.. Searching the element file I found the elements 15001 thru 15014 which really makes it simple, THANKS
What I notice is that all symbols got an error on Rule #1 MOS Price using element 15012. Can you check this out?
I started with a screening from AAII.com, I have a life time membership there. Unfortunately, AAII only runs the screening once a month. Usually the last day of the month.

SymbolS arecopied from column B Row 2 thru Row 33
Piotroski 1 (Positive Net Income)
Piotroski 2 (Positive Operating Cash Flow)
Piotroski 3 (Increasing Net Income)
Piotroski 4 (Operating Cash flow exceeds Net Income)
Piotroski 5 (Decreasing ratio of long-term debt to assets )
Piotroski 6 (Increasing Current Ratio)
Piotroski 7 (No increase in outstanding shares)
Piotroski 8 (Increasing Gross Margins)
Piotroski 9 (Increasing Asset Turnover)
Piotroski F-Score
Altman Z-Score
Rule #1 MOS Price
Magic Formula Investing -- Earnings Yield
Magic Formula Investing -- Return on Capital

Element numbers are in Row 41 column C thru M
15001
15002
15003
15004
15005
15006
15007
15008
15009
15010
15011
15012
15013
15014

BHE
1.00
1.00
0.00
1.00
0.00
1.00
1.00
1.00
0.00
6.00
4.83
Error
0.22
0.26

Value of 1 in column C thru K indicates the symbol passed the criteria described in row 40
SPAR
1.00
1.00
1.00
1.00
1.00
0.00
0.00
1.00
1.00
7.00
4.32
Error
0.09
0.17

BAMM
1.00
1.00
0.00
1.00
0.00
0.00
1.00
0.00
0.00
4.00
2.26
Error
0.20
0.20

CHK
0.00
1.00
0.00
1.00
0.00
0.00
0.00
0.00
1.00
3.00
-0.59
Error
0.32
0.20

CENX
1.00
1.00
1.00
1.00
0.00
1.00
1.00
1.00
1.00
8.00
1.10
Error
0.51
0.21

UWN
1.00
1.00
1.00
1.00
0.00
0.00
1.00
0.00
0.00
5.00
3.77
Error
0.19
0.44

TRQ
1.00
1.00
1.00
1.00
0.00
1.00
1.00
1.00
1.00
8.00
-28.77
Error
0.14
0.09

PEIX
1.00
1.00
0.00
1.00
1.00
0.00
0.00
0.00
0.00
4.00
4.19
Error
0.14
0.19

NOG
0.00
1.00
0.00
1.00
0.00
1.00
0.00
1.00
1.00
5.00
-0.63
Error
0.39
0.40

EPE
1.00
1.00
1.00
1.00
0.00
0.00
0.00
1.00
0.00
5.00
0.90
Error
0.40
0.28

ibm
1.00
1.00
0.00
1.00
1.00
1.00
1.00
1.00
0.00
7.00
4.06
Error
0.13
1.15

Each Table cell has the following formula =RCHGetElementNumber($B2,C$41) appropriately adjust for column and cell.
From: smf_addin@yahoogroups.com [mailto:smf_addin@yahoogroups.com]
Sent: Thursday, July 02, 2015 12:32 PM
To: smf_addin@yahoogroups.com
Subject: Re: [smf_addin] Piotroski Scores


Without a detailed look at what goes into the calculations, it would be hard to judge one better than the other.
When I look at the Piotroski computation on Portfolio123, I find a score of 7 for both OSIS and IIVI.
When I get some time, I'll try comparing the data and calculations from the three sources.
But if you are backtesting, have you considered Portfolio123? It's not cheap, but it does have point-in-time data for backtesting. As you noticed, when AdvFN put up the revised quarterly data, things changed. In real life, you don't have the ability to use revised data. You have to use what was available at the given point-in-time.

On Thu, Jul 2, 2015 at 8:48 AM, defelradar@yahoo.com [smf_addin] <smf_addin@yahoogroups.com> wrote:
which would you say is more accurate the P-Scores you calculate or what GuruFocus comes up with?
The reason I ask is two stocks I have recently bought (OSIS and IIVI) showed P-Scores of 9 while GuruFocus has them at 7.
I think you remarked in your earlier post how it was odd that gurufocus had a different score. I do prefer the quarterly based calculation that it looks like you do for the P-Score



Tue Sep 15, 2015 3:00 pm (PDT) . Posted by:

"Randy Harmelink" rharmelink

Never did get back to looking at Piotroski. After working on GuruFocus
functions and data, I've been using the GuruFocus values. I think I
mentioned somewhere that one of the differences was year-to-date
calculations by SMF instead of TTM (trailing twelve months) done by
GuruFocus? It's an area that's really up to interpretation because I
believe the original Piotroski study was based only on the annual
financials? Also, it was only based on a specific subset of companies, so
applying it to the population in general may not necessarily be a good
thing to do.

I may just change over the element definitions to use GuruFocus, since
we've had issues with AdvFN in the past. And I'm still not convinced of the
reliability of their data right now. I especially like GuruFocus because I
can get the historical values of Piotroski to check if it's erratic,
trending, or stable. Or, I may just have the elements return a message on
which formula to use instead, so people are weaned off of my calculations.
Then everyone has a place to look to see what the values are instead of
having a "black box" doing the calculation. OTOH, I guess that would mean
GuruFocus becomes the "black box". :)

Several years ago, I had started working on a function that would be able
to compute Piotroski historical values AND allow the use of different data
sources for the computations. It was not a simple task. So GuruFocus solves
those issues.

PS: I signed up as a subscriber of GuruFocus at the start of this year.

------------------------------

As far as the Rule #1 MOS Price -- the calculation was based on
now-obsolete MSN data elements, which is the reason for the "Error"
results.

I just changed the calculation to use Reuter's (5-year low and high P/E)
and Yahoo (current EPS and projected 5-year growth rate) data elements, so
the add-in should be calculating something on future versions. As a
work-around, the calculation I'm using is:

=PV(0.15, 10, 0,
-FV(RCHGetElementNumber($B4,621),10,0,-RCHGetElementNumber($B4,962)) *
(MIN(50,RCHGetElementNumber($B4,13630)) +RCHGetElementNumber($B4,13634)) /
2) / 2

I created the formula based on a spreadsheet calculation from what a "Rule
1" group I was associated with was using. But, again, certain assumptions
are made that would prevent using it to compare all type of companies.
Since it is highly dependent on growth, it wouldn't be a good thing to
compare emerging high growth companies with stable modicum growth companies
or companies with erratic earnings. All it's doing is:

1. "Guessing" what the value of EPS will be 10 years from now, based on
current EPS and analysts' projected 5-year growth rate
2. Converting that into a price based on the 5-year history of high and low
P/E values
3. Finding the present value of that price, assuming a 15% return on
investment is desired
4. Cutting that price in half, to get the 50% "margin of safety"

A lot of "what ifs" and assumptions going on there.

On Tue, Sep 15, 2015 at 1:29 PM, 'Kermit W. Prather' kermitp@tampabay.rr.com
[smf_addin] <smf_addin@yahoogroups.com> wrote:

>
> Randy when I was looking at creating a Piotroski F-score spreadsheet I
> search the old conversations and found this one from July 02, 2015 where
> you said
>
> When I get some time, I'll try comparing the data and calculations from
> the three sources.
>
> I was wondering if you ever found the time to do that and if so want were
> your results.
>
> I am trying to build a spreadsheet to calculate the total F-score..
> Searching the element file I found the elements 15001 thru 15014 which
> really makes it simple, THANKS
>
> What I notice is that all symbols got an error on Rule #1 MOS Price using
> element 15012. Can you check this out?
>
> I started with a screening from AAII.com, I have a life time membership
> there. Unfortunately, AAII only runs the screening once a month. Usually
> the last day of the month.
>
> SymbolS arecopied from column B Row 2 thru Row 33
>
> Piotroski 1 (Positive Net Income)
>
> Piotroski 2 (Positive Operating Cash Flow)
>
> Piotroski 3 (Increasing Net Income)
>
> Piotroski 4 (Operating Cash flow exceeds Net Income)
>
> Piotroski 5 (Decreasing ratio of long-term debt to assets )
>
> Piotroski 6 (Increasing Current Ratio)
>
> Piotroski 7 (No increase in outstanding shares)
>
> Piotroski 8 (Increasing Gross Margins)
>
> Piotroski 9 (Increasing Asset Turnover)
>
> Piotroski F-Score
>
> Altman Z-Score
>
> Rule #1 MOS Price
>
> Magic Formula Investing -- Earnings Yield
>
> Magic Formula Investing -- Return on Capital
>
> Element numbers are in Row 41 column C thru M
>
>
> *15001*
>
> *15002*
>
> *15003*
>
> *15004*
>
> *15005*
>
> *15006*
>
> *15007*
>
> *15008*
>
> *15009*
>
> *15010*
>
> *15011*
>
> *15012*
>
> 15013
>
> *15014*
>
> BHE
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 6.00
>
> 4.83
>
> Error
>
> 0.22
>
> 0.26
>
> Value of 1 in column C thru K indicates the symbol passed the criteria
> described in row 40
>
> SPAR
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 7.00
>
> 4.32
>
> Error
>
> 0.09
>
> 0.17
>
> BAMM
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 4.00
>
> 2.26
>
> Error
>
> 0.20
>
> 0.20
>
> CHK
>
> 0.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 0.00
>
> 0.00
>
> 1.00
>
> 3.00
>
> -0.59
>
> Error
>
> 0.32
>
> 0.20
>
> CENX
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 8.00
>
> 1.10
>
> Error
>
> 0.51
>
> 0.21
>
> UWN
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 5.00
>
> 3.77
>
> Error
>
> 0.19
>
> 0.44
>
> TRQ
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 8.00
>
> -28.77
>
> Error
>
> 0.14
>
> 0.09
>
> PEIX
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 0.00
>
> 0.00
>
> 4.00
>
> 4.19
>
> Error
>
> 0.14
>
> 0.19
>
> NOG
>
> 0.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 5.00
>
> -0.63
>
> Error
>
> 0.39
>
> 0.40
>
> EPE
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 0.00
>
> 0.00
>
> 1.00
>
> 0.00
>
> 5.00
>
> 0.90
>
> Error
>
> 0.40
>
> 0.28
>
> ibm
>
> 1.00
>
> 1.00
>
> 0.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 1.00
>
> 0.00
>
> 7.00
>
> 4.06
>
> Error
>
> 0.13
>
> 1.15
>
>
>
> Each Table cell has the following formula =RCHGetElementNumber($B2,C$41)
> appropriately adjust for column and cell.
>
> *From:* smf_addin@yahoogroups.com [mailto:smf_addin@yahoogroups.com]
> *Sent:* Thursday, July 02, 2015 12:32 PM
> *To:* smf_addin@yahoogroups.com
> *Subject:* Re: [smf_addin] Piotroski Scores
>
>
>
>
>
>
> Without a detailed look at what goes into the calculations, it would be
> hard to judge one better than the other.
>
> When I look at the Piotroski computation on Portfolio123, I find a score
> of 7 for both OSIS and IIVI.
>
> When I get some time, I'll try comparing the data and calculations from
> the three sources.
>
> But if you are backtesting, have you considered Portfolio123? It's not
> cheap, but it does have point-in-time data for backtesting. As you noticed,
> when AdvFN put up the revised quarterly data, things changed. In real life,
> you don't have the ability to use revised data. You have to use what was
> available at the given point-in-time.
>
>
>
> On Thu, Jul 2, 2015 at 8:48 AM, defelradar@yahoo.com [smf_addin] <
> smf_addin@yahoogroups.com> wrote:
>
> which would you say is more accurate the P-Scores you calculate or what
> GuruFocus comes up with?
>
> The reason I ask is two stocks I have recently bought (OSIS and IIVI)
> showed P-Scores of 9 while GuruFocus has them at 7.
>
> I think you remarked in your earlier post how it was odd that gurufocus
> had a different score. I do prefer the quarterly based calculation that it
> looks like you do for the P-Score
>
>
>
>
>
>
>
>
>
>
>
>

Tue Sep 15, 2015 4:46 pm (PDT) . Posted by:

"Kermit W. Prather" kermitpra

Thanks for the quick and very complete reply.

If you go to Gurufocus will it require a premium account?

I like the sound of your plan. I'm in no hurry for any results. Personally, I don't use any of this info to make my trading decisions as I trade mostly short term opportunities. You are correct the Piotroski F-score is not for all stocks.
AAII states this: - Those companies that trade on the over-the-counter (OTC) market are not included in their screening

I'm trying to create this workbook for my 7 adults children who are more longer term investors. I will be using the output from this spreadsheet as input another one that looks for crossovers of Aroon up and Aroon Down, along with the PSAR indicator to establish buy and sell alerts.

I use Worden Brothers TC2000 version 12.5 as it has over 400 indicators including the Aroon and PSAR. I should mention I am a reseller of Worden's products. But lately, I just refer folks to their website as I don't need the commissions.

I have used the PSAR for a long time to identify buy/sell possibilities and it works well in my short term trading. Then when combined with the Aroon 25 up & down crossovers it identifies potential long term trades.

I'll be watching the postings for when you have completed task.

Thanks again,
Kermit

From: smf_addin@yahoogroups.com [mailto:smf_addin@yahoogroups.com]
Sent: Tuesday, September 15, 2015 6:00 PM
To: smf_addin@yahoogroups.com
Subject: Re: [smf_addin] Piotroski Scores


Never did get back to looking at Piotroski. After working on GuruFocus functions and data, I've been using the GuruFocus values. I think I mentioned somewhere that one of the differences was year-to-date calculations by SMF instead of TTM (trailing twelve months) done by GuruFocus? It's an area that's really up to interpretation because I believe the original Piotroski study was based only on the annual financials? Also, it was only based on a specific subset of companies, so applying it to the population in general may not necessarily be a good thing to do.
I may just change over the element definitions to use GuruFocus, since we've had issues with AdvFN in the past. And I'm still not convinced of the reliability of their data right now. I especially like GuruFocus because I can get the historical values of Piotroski to check if it's erratic, trending, or stable. Or, I may just have the elements return a message on which formula to use instead, so people are weaned off of my calculations. Then everyone has a place to look to see what the values are instead of having a "black box" doing the calculation. OTOH, I guess that would mean GuruFocus becomes the "black box". :)
Several years ago, I had started working on a function that would be able to compute Piotroski historical values AND allow the use of different data sources for the computations. It was not a simple task. So GuruFocus solves those issues.
PS: I signed up as a subscriber of GuruFocus at the start of this year.

_____

As far as the Rule #1 MOS Price -- the calculation was based on now-obsolete MSN data elements, which is the reason for the "Error" results.

I just changed the calculation to use Reuter's (5-year low and high P/E) and Yahoo (current EPS and projected 5-year growth rate) data elements, so the add-in should be calculating something on future versions. As a work-around, the calculation I'm using is:

=PV(0.15, 10, 0, -FV(RCHGetElementNumber($B4,621),10,0,-RCHGetElementNumber($B4,962)) * (MIN(50,RCHGetElementNumber($B4,13630)) +RCHGetElementNumber($B4,13634)) / 2) / 2
I created the formula based on a spreadsheet calculation from what a "Rule 1" group I was associated with was using. But, again, certain assumptions are made that would prevent using it to compare all type of companies. Since it is highly dependent on growth, it wouldn't be a good thing to compare emerging high growth companies with stable modicum growth companies or companies with erratic earnings. All it's doing is:

1. "Guessing" what the value of EPS will be 10 years from now, based on current EPS and analysts' projected 5-year growth rate
2. Converting that into a price based on the 5-year history of high and low P/E values
3. Finding the present value of that price, assuming a 15% return on investment is desired
4. Cutting that price in half, to get the 50% "margin of safety"
A lot of "what ifs" and assumptions going on there.

On Tue, Sep 15, 2015 at 1:29 PM, 'Kermit W. Prather' kermitp@tampabay.rr.com [smf_addin] <smf_addin@yahoogroups.com> wrote:

Randy when I was looking at creating a Piotroski F-score spreadsheet I search the old conversations and found this one from July 02, 2015 where you said
When I get some time, I'll try comparing the data and calculations from the three sources.
I was wondering if you ever found the time to do that and if so want were your results.
I am trying to build a spreadsheet to calculate the total F-score.. Searching the element file I found the elements 15001 thru 15014 which really makes it simple, THANKS
What I notice is that all symbols got an error on Rule #1 MOS Price using element 15012. Can you check this out?
I started with a screening from AAII.com, I have a life time membership there. Unfortunately, AAII only runs the screening once a month. Usually the last day of the month.

SymbolS arecopied from column B Row 2 thru Row 33
Piotroski 1 (Positive Net Income)
Piotroski 2 (Positive Operating Cash Flow)
Piotroski 3 (Increasing Net Income)
Piotroski 4 (Operating Cash flow exceeds Net Income)
Piotroski 5 (Decreasing ratio of long-term debt to assets )
Piotroski 6 (Increasing Current Ratio)
Piotroski 7 (No increase in outstanding shares)
Piotroski 8 (Increasing Gross Margins)
Piotroski 9 (Increasing Asset Turnover)
Piotroski F-Score
Altman Z-Score
Rule #1 MOS Price
Magic Formula Investing -- Earnings Yield
Magic Formula Investing -- Return on Capital

Element numbers are in Row 41 column C thru M
15001
15002
15003
15004
15005
15006
15007
15008
15009
15010
15011
15012
15013
15014

BHE
1.00
1.00
0.00
1.00
0.00
1.00
1.00
1.00
0.00
6.00
4.83
Error
0.22
0.26

Value of 1 in column C thru K indicates the symbol passed the criteria described in row 40
SPAR
1.00
1.00
1.00
1.00
1.00
0.00
0.00
1.00
1.00
7.00
4.32
Error
0.09
0.17

BAMM
1.00
1.00
0.00
1.00
0.00
0.00
1.00
0.00
0.00
4.00
2.26
Error
0.20
0.20

CHK
0.00
1.00
0.00
1.00
0.00
0.00
0.00
0.00
1.00
3.00
-0.59
Error
0.32
0.20

CENX
1.00
1.00
1.00
1.00
0.00
1.00
1.00
1.00
1.00
8.00
1.10
Error
0.51
0.21

UWN
1.00
1.00
1.00
1.00
0.00
0.00
1.00
0.00
0.00
5.00
3.77
Error
0.19
0.44

TRQ
1.00
1.00
1.00
1.00
0.00
1.00
1.00
1.00
1.00
8.00
-28.77
Error
0.14
0.09

PEIX
1.00
1.00
0.00
1.00
1.00
0.00
0.00
0.00
0.00
4.00
4.19
Error
0.14
0.19

NOG
0.00
1.00
0.00
1.00
0.00
1.00
0.00
1.00
1.00
5.00
-0.63
Error
0.39
0.40

EPE
1.00
1.00
1.00
1.00
0.00
0.00
0.00
1.00
0.00
5.00
0.90
Error
0.40
0.28

ibm
1.00
1.00
0.00
1.00
1.00
1.00
1.00
1.00
0.00
7.00
4.06
Error
0.13
1.15

Each Table cell has the following formula =RCHGetElementNumber($B2,C$41) appropriately adjust for column and cell.
From: smf_addin@yahoogroups.com [mailto:smf_addin@yahoogroups.com]
Sent: Thursday, July 02, 2015 12:32 PM
To: smf_addin@yahoogroups.com
Subject: Re: [smf_addin] Piotroski Scores


Without a detailed look at what goes into the calculations, it would be hard to judge one better than the other.
When I look at the Piotroski computation on Portfolio123, I find a score of 7 for both OSIS and IIVI.
When I get some time, I'll try comparing the data and calculations from the three sources.
But if you are backtesting, have you considered Portfolio123? It's not cheap, but it does have point-in-time data for backtesting. As you noticed, when AdvFN put up the revised quarterly data, things changed. In real life, you don't have the ability to use revised data. You have to use what was available at the given point-in-time.

On Thu, Jul 2, 2015 at 8:48 AM, defelradar@yahoo.com [smf_addin] <smf_addin@yahoogroups.com> wrote:
which would you say is more accurate the P-Scores you calculate or what GuruFocus comes up with?
The reason I ask is two stocks I have recently bought (OSIS and IIVI) showed P-Scores of 9 while GuruFocus has them at 7.
I think you remarked in your earlier post how it was odd that gurufocus had a different score. I do prefer the quarterly based calculation that it looks like you do for the P-Score



Tue Sep 15, 2015 4:56 pm (PDT) . Posted by:

"Randy Harmelink" rharmelink

The current Piotroski values I retrieve with the new function do require a
premium account.

However, you could set up your own SMF functions to grab data from this
page, which is available to non-subscribers:

http://www.gurufocus.com/term/fscore/NYSE:MMM/Piotroski%2BF-Score/3M+Co

A lot of detail on the Piotroski calculations there, including the various
component values.

On Tue, Sep 15, 2015 at 4:39 PM, 'Kermit W. Prather' kermitp@... wrote:

>
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> If you go to Gurufocus will it require a premium account?
>
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For the Add-in, Documentation, Templates, Tips and FAQs, visit http://ogres-crypt.com/SMF

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