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Registered User
Joined: 4/4/2005
Posts: 31
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How are the price % changes calculated? I'm looking at some stocks and it shows the "Price Growth Rate 1 year" as greater than 100%. Isn't that impossible?
For example, SONE shows as -173.26%.
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Price growth rate is not the same as price percent change....
That being said, a stock can easily have a price percent change of over 100%. Here is a theoretical:
Close 1-year ago $10
Close today $45
Formula for price percent change 1-year:
(Close today-Close 1-year ago)/Close 1-year ago *100
replacing the values
(45-10)/10*100
35/10*100
3.5*100
result:350%
Here is the definition of Price GROWTH rate 1-yr:
Price Growth Rate 1-Yr
This is the compound annual growth rate of price over the last year, derived using the least squares method.
Here is the PCF if you want to calculate the 1-yr Percent Change:
(C-C250)/C250*100
- Craig
Here to Help!
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Registered User
Joined: 4/4/2005
Posts: 31
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Yes, I realize a price can easily grow by over 100%. What I didn't realize is that a stock can decline by more than 100%...I hope I don't have too many of those in my portfolio.
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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A stock cannot have a price percent change of more lower than -100% but it can have a growth rate of lower than that (see the definition).
- Craig
Here to Help!
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (Craig_S) A stock cannot have a price percent change of more lower than -100% but it can have a growth rate of lower than that (see the definition).
Craig,
I see the the definition of Price Growth Rate 1-Yr:
"This is the compound annual growth rate of price over the last year, derived using the least squares method."
I have investigated various possible interpretations of this "defination" and as yet have been unable to come up with one which will admit a Price Growth Rate 1-Yr of less than -100%.
You seem comfortable with Price Growth Rates less than -100%, so will you please give us your interpretation of the definition? I am currently of the opinion that the program obtaining the Growth Rate is flawed.
Thanks,
Jim Murphy
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Can we please find out how Price Growth Rate 1-Yr is calculated? I have been unable as yet to discover an interpretation of the "definition" which will admit a Price Growth Rate of less than -100%.
All interpretations I have used so far agree approximately with the published data on the FX curves.
I have so far least-mean-square curve fit:
1) the coumpounded daily curve to closing prices
2) a straight line to the logarithm of closing prices
3) a horizontal line to Ck/C(k+1)
all to no avail.
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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We are looking over the code now and will post back here in a few.
- Craig
Here to Help!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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We calculate Price Growth Rate by creating a Linear Regression of the natural log of price over the specified timeframe. The slope of the Linear Regression is then compounded over a year and converted to a percentage.
The compounding of negative price growth was being done as if it were positive price growth and has been changed.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 4/4/2005
Posts: 31
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Just curious...why do you guys use the least squares method rather than just percentage change? Don't most people just want to know how much a stock went up or down when they are looking for 1-year price growth?
Take the following
Price 4/29/05 4/28/06 % change price-grth 1yr
BBI 9.90 4.70 -52.53% -68.58%
SNDA 32.16 12.36 -61.57% -72.57%
NABI 10.91 6.36 -41.80% -79.86%
Those results are surprisingly different.
Is there a way to add 1-year and 3-year price percent change into the view columns in the table to the left of the chart pane?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Snake69,
TeleChart has both Price Percent Change and Price Growth Rates available as built in System Criteria. They are different. Somebody that wants a Price Growth Rate does not want the value of a simple Price Percent Change returned instead.
A Linear Regression is used in the Price Growth Rate calculations to take into account all of the prices during the period and avoid the distortion that could be caused by an unusually high or low price at the beginning or end of the period. The natural log is used to correct for the distortion that occurs as a result of normal compounding over time. The result is then re-compounded over a one year period so you are comparing apples to apples when looking at growth rates with different periods.
You may wish to create the following Personal Criteria Formulas for Price Percent Change for use in your Watchlist Columns:
Price Percent Change 1-Year:
100 * C / C252 - 100
Price Percent Change 3-Years:
100 * C / C756 - 100
You may be interested in the following:
How to create a Personal Criteria Forumula (PCF)
Customize the Information Displayed in the WatchList
Definitions of all built in scanning and sorting criteria
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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