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UBC Theses and Dissertations

Computerization and testing of the on-balance volume method Clarke, George Gordon 1971

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COMPUTERIZATION AND TESTING OF THE ON-BALANCE VOLUME METHOD by GEORGE GORDON CLARKE .A.Sc., U n i v e r s i t y o f B r i t i s h Columbia, 1963 A THESIS SUBMITTED IN PARTIAL FULFILMENT OF THE REQUIREMENTS FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION i n the Department of COMMERCE AND BUSINESS ADMINISTRATION We ac c e p t t h i s t h e s i s as conforming t o the r e q u i r e d s t a n d a r d THE UNIVERSITY OF BRITISH COLUMBIA A p r i l , 1971 In presenting th is thesis in par t ia l fu l f i lment of the requirements for an advanced degree at the University of B r i t i s h Columbia, I agree that the Library shal l make i t f reely avai lable for reference and study. I further agree that permission for extensive copying of th is thesis for scholar ly purposes may be granted by the Head of my Department or by his representatives. It is understood that copying or publ icat ion of th is thesis for f inancia l gain shal l not be allowed without my written permission. G. Gordon Clarke Department of Commerce and Business Administration The University of B r i t i s h Columbia Vancouver 8, Canada D a t e A p r i l 15, 1971 The 'On-Balance Volume' (OBV) method of tec h n i c a l analysis for stock market decision making i s the creation of Joseph Granville and was f i r s t described i n his 1963 book, "New Key to Stock Market P r o f i t s " . The method uses d a i l y stock prices and volumes to generate further information which i s then analysed for buying and s e l l i n g opportunities. Granville proposes eighteen signals for the analyst to determine these opportunities. The purpose of t h i s study i s to develop a computer model of the OBV method and to t e s t t h i s model on a seri e s of stocks: to determine i f the method i s f e a s i b l e for use by t e c h n i c a l analysts. Furthermore the study attempts to determine those segments of the method which have the best success for further study. This study abstracts the basic OBV method and develops a computer model for t e s t i n g the v a l i d i t y of the method. A de t a i l e d d e s c r i p t i o n of the model and the assumptions used i s provided. A seri e s _of f i v e Canadian companies were tested on the'OBV model. Analysis of the r e s u l t s indicated that on an o v e r a l l basis the method does not generate a high return on investment. Although two of the f i v e stocks showed p r o f i t s when tested, the v a r i a b i l i t y of returns was too large to accept the method as p r o f i t a b l e . On an i n d i v i d u a l s i g n a l basis however, c e r t a i n of the signals were found to provide the majority of the p r o f i t a b l e trades. Further work int o the development of models using these signals i s recommended. CHAPTER PAGE I. INTRODUCTION ...... „....<, 1 Importance of Study 2 Methodology • 3 Organization of Chapters » 3 I I . THE ON-BALANCE VOLUME METHOD 6 Method Description o. 9 UP - DOWN Designation 10 Peaks and Troughs - Fi e l d s 11 F i e l d Analysis .<>..<,. . . 0 . . o . . < , . . . < > 11 Support and Resistance Levels .......... 13 BUY and SELL Signals ...» <,....».... 13 I I I . COMPUTERIZATION 19 General . o o o o o . . o o . o o o o . . o Q o e . . . « • • • • « . . • • 19 OBV Program .„<> <>. 20 OBV# TMP, PMP ...o o o . . . o 20 UP or DOWN Designations 20 Peaks and Troughs • 22 F i e l d Analysis o a 22 Support and Resistance Levels 23 BUY and SELL Signals 24 Accounting 30 Output 31 Plot Programs ...<> 33 Operation of Programs 33 IV. TEST OF MODEL o 36 Performance Measures 0 . . . . 0 . . . . . . . . . . 36 Return on Investment . . 0 . . 0 . 0 0 0 . . 0 . . . 0 . . 36 Buy and Hold P o l i c y .•<,••<.•oo.o <...<> 38 P r o f i t Detection A b i l i t y 0 0 39 Signal Correctness Ratio . . . . . o . . . 0 o . * ° * 41 Stocks Tested .« 42 Bow Val l e y Industries .'. 42 Canadian I n d u s t r i a l O i l and Gas 43 Chemcell 44 Great West Saddlery 45 P a c i f i c Petroleums 45 Intermediate Results 51 Test Results 58 General ....» • 58 Bow Valley Industries Results . 0 . 0 61 Return on Investment . . 0 . . 0 . 0 0 0 . 0 . . . . . . . 63 Buy and Hold Policy . . s o 0 0 . . . 63 P r o f i t Detection A b i l i t y • • < > < , • » . o « « « » o « « 66 Signal Correctness Ratio 0 . . . . 0 . . o . 66 CHAPTER PAGE i V. SUMMARY AND CONCLUSIONS . . . . . o . . . . 71 Opportunities for Further Study 0 . . 0 0 77 BIBLIOGRAPHY o 78 GLOSSARY o 79 APPENDIX I - LISTING OF OBV PROGRAM „ 84 APPENDIX II - PLOT PROGRAMS ...<> 97 APPENDIX III - PRINTOUT OF RESULTS 100 LIST OF TABLES TABLE PAGE I. LIST OF OBV BUYING AND SELLING SIGNALS 14 I I . TORONTO STOCK EXCHANGE COMMISSION RATES AND ONTARIO STOCK TRANSFER TAX SCHEDULES USED IN ACOUNT SUBROUTINE 3 2 I I I . RETURN ON INVESTMENT FOR STOCKS TESTED UPON MODIFIED RETURN EQUATION 64 IV. COMPARISON OF NET PROFIT REALIZED BY OBV METHOD RELATIVE TO NET PROFIT REALIZED FROM A BUY AND HOLD POLICY 65 V. PROFIT DETECTION ABILITY OF OBV METHOD ON A BEFORE COMMISSION COST BASIS 67 VI. MATRIX RELATING THE TOTAL NUMBER OF BUY-SELL SIGNAL COMBINATIONS TO THE NUMBER WHICH RESULTED IN PROFITABLE TRADES FOR SINGLE BUY STRATEGY..... 69 VII. MATRIX RELATING THE TOTAL NUMBER OF BUY-SELL SIGNAL COMBINATIONS TO THE NUMBER WHICH RESULTED IN PROFITABLE TRADES FOR MULTIPLE BUY STRATEGY 70 FIGURE PAGE I. PLOT OF PRICE VERSUS TIME FOR BOW VALLEY INDUSTRIES, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 46 I I . PLOT OF PRICE VERSUS TIME FOR CANADIAN INDUSTRIAL OIL AND GAS, PERIOD: APRIL 1969 TO MARCH 1970 47 I I I . PLOT OF PRICE VERSUS TIME FOR CHEMCELL, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 48 IV. PLOT OF PRICE VERSUS TIME FOR GREAT WEST SADDLERY, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 49 V. PLOT OF PRICE VERSUS TIME FOR ., PACIFIC PETROLEUMS, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 50 VI. PLOT OF OBV VERSUS TIME FOR BOW VALLEY INDUSTRIES, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 52 VII. PLOT OF OBV VERSUS TIME FOR CANADIAN INDUSTRIAL OIL AND GAS, PERIOD: APRIL 1969 TO MARCH 1970 53 VIII. PLOT OF OBV VERSUS TIME FOR CHEMCELL, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 54 IX. PLOT OF OBV VERSUS TIME FOR GREAT WEST SADDLERY, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 55 X. PLOT OF OBV VERSUS TIME FOR PACIFIC PETROLEUMS, PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 56 ACKNOWLEDGEMENT The writer would l i k e to thank a l l those who assisted him in completing t h i s work. In p a r t i c u l a r the e f f o r t s of Professor R. J . Brooks-Hill should be emphasized for i t was he who provided the basic i n s p i r a t i o n and guidance for the study. His support and assistance were highly valued and the author i s deeply g r a t e f u l to him for so generously sharing his hours. The author would also l i k e to thank Dr. W. Wood for access to his personnal records form which most of the data was abstracted, and for reviewing the work p r i o r to issuance. In addition, the author would l i k e to thank the Faculty of Commerce and Business Administration for the generous a l l o c a t i o n of computer time. INTRODUCTION The 'On-Balance Volume' (OBV) method technical analysis for stock market trading i s the creation of Joseph G r a n v i l l e . ^ The method consists of a series of d a i l y c a l c u l a t i o n s and comparisons based upon c l o s i n g stock pr i c e s and the volume of stock traded. In common with a l l technical analysis methods, the basic assumption of the OBV method i s that h i s t o r i c a l patterns of price behavior w i l l be repeated i n the future. Although Gr a n v i l l e i s a well known stock market technician, theoretician, and writer, the book did not stimulate serious academic research into the v a l i d i t y of the method. One of the p r i n c i p a l reasons for t h i s lack of i n t e r e s t i s that the book i s written as a clever sales promotion for the layman. As such, i t abounds with pract-i c a l examples of the effectiveness of the method, glosses over d i f f i c u l t i e s , and does not e x p l i c i t l y state the theory and method of a p p l i c a t i o n . A second reason i s that many serious students of the stock market accept the random walk hypothesis as having d e f i n i t e l y disproved the possible 1 Joseph G r a n v i l l e , New Key to Stock Market P r o f i t s (Englewood-Cliffs, N.J., Prentice-Hall Inc., 1963) existance of any form of technical a n a l y s i s . The writer while not wishing to become involved i n t h i s controversy f e e l s that the use of a nul hypothesis which does not suggest any model other than a random pattern, i s not s u f f i c i e n t evidence that either c e r t a i n small patterns may e x i s t or that a new unconceived series of patterns may eventually be discovered. I t was i n t h i s vein of thought that t h i s study was conceived and hopefully t h i s work w i l l contribute i n some small way to r e s o l v i n g t h i s c o n f l i c t . I . IMPORTANCE OF THE STUDY Technical analysis as a t o o l to a s s i s t the investor i n d e c i s i o n making i s used widely by many stock market p r a c t i t i o n e r s . Concepts such as support and resistance l e v e l s , 200 day moving average and others are commonly used without serious thought as to the frequency with which they lead to correct i n t e r p r e t a t i o n . I t i s hoped that t h i s study w i l l c l a r i f y the a b i l i t y of one technical method, the OBV method, to p r e d i c t stock market performance. I t i s also hoped that i n d i v i d u a l parts of the OBV method which appear to give better than average success can be i s o l a t e d for future study as to the reason for t h e i r success or as inputs for new models which may be s i g n i f i -cantly more accurate than the OBV method. The OBV method as proposed by Granville has been quantified and computerized by the author. Numerous si m p l i f y i n g assumptions have been required to e f f e c t computerization and these are explained i n either Chapter II or at the appropriate point i n text. A l l stages of the OBV method were able to be computerized, although the writer prefers to use v i s u a l analysis for one stage. This i s not a serious omission as this step was found not to be c r i t i c a l for the analysis of the performance of the stocks tested. Data was c o l l e c t e d from the Toronto Stock Exchange records and when t h i s source was incomplete, from the Toronto Globe and Mail Business Report. Measures of performance were developed or abstracted from the general l i t e r a t u r e where relevant for this type of an a l y s i s . I I I . ORGANIZATION OF CHAPTERS This study has been organized to trace the develop-mental stages that computerization and t e s t i n g of such a method would require. Following this chapter, there are four chapters which include the body of the thesis, the summary,, and the conclusions. Chapter II f i r s t discusses the basic assumptions which have been adopted i n order to l i m i t the study to the relevant portions of Granville's theory and to compensate for ommissions i n his a n a l y s i s . The actual OBV method as abstracted and studied i s then discussed i n conceptual terms with mathematical representation wherever p o s s i b l e . The i n d i v i d u a l signals for buying and s e l l i n g of the stock are discussed i n d e t a i l r e l a t i n g these to Granville's concepts. The computer programs developed are outlined i n Chapter I I I . D i f f i c u l t areas to program and the assumptions required to resolve these problems are discussed i n d e t a i l . Appendixes I and II contain l i s t i n g s of the programs. The measures by which the performance of the OBV method i s calculated are developed i n Chapter IV. These are not the standard p o r t f o l i o measures because the OBV method does not provide p o r t f o l i o guidance to the investor but provides him with c e r t a i n signals as to when to buy and s e l l the stock being analysed. The middle section of t h i s chapter reviews the i n d i v i d u a l stocks selected for t e s t i n g i n t h i s thesis and notes the prevalent character-i s t i c s of the companies which may a f f e c t stock market performance. The l a t t e r part of t h i s chapter records the r e s u l t s from the stocks tested according to the measures of performance previously developed. Appendix III contains both a complete printout of the r e s u l t s for one stock and summary r e s u l t s for the other four stocks tested. Chapter V i s the concluding chapter. In addition to a summary of the major aspects of the thesis, i t includes conclusions of the study and makes recommendations for further study. THE ON-BALANCE VOLUME METHOD The 'On-Balance Volume' (OBV) method which Granville describes, uses d a i l y stock prices and volumes to determine a ser i e s of signals upon which the analyst should make decisions to trade i n that stock. The text examines each stock i n the entire Dow-Jones I n d u s t r i a l Index over varying periods of time to i l l u s t r a t e the use of the OBV method. Although the text i s well written from an enter-tainment viewpoint, the actual theory i s not p r e c i s e l y stated or summarized completely. I t includes not only the OBV method but also other technical indicators which have been widely accepted and even occasionally brings i n information which must be considered as more fundamental then t e c h n i c a l . A further, and more serious problem, i s that transaction costs are completely ignored. The basic purpose of t h i s study i s to abstract the basic OBV method, to computerize t h i s method, and to te s t the method upon a series of stocks. In order to achieve t h i s purpose a series of s i m p l i f y i n g assumptions had to be made. These assumptions w i l l be discussed i n the text where appropriate. Several assumptions, however, are too major and must be c l a r i f i e d before d e t a i l e d discussion of the OBV method commences. F i r s t , the basic OBV method i s assumed to include only the c a l c u l a t i o n of OBV l e v e l , up and down designations, f i e l d designation, f i e l d analysis, and trading based upon the proposed buy and s e l l s i g n a l s . Other items l i k e the 200 day moving average, the climax indicator, overhead supply, average OBV per point are excluded because they are either general methods used by numerous other techniques and are not c l o s e l y integrated into t h i s method or are only vaguely described arid u t i l i z e d by G r a n v i l l e . As such, t h e i r exclusion i s not a serious omission. A second assumption i s that short s e l l i n g w i l l not be considered. P r i n c i p a l l y short s e l l i n g i s not included i n the t e s t because i t i s not a predominant trading a c t i o n . Furthermore i t i s d i f f i c u l t to believe that any short trader would judge his analysis s o l e l y upon a technical method unless the method had been proven to be successful i n normal trading., Also, short s e l l i n g i s not required to complete the analysis and G r a n v i l l e does not base any of his conclusions upon short s e l l i n g . The t h i r d assumption i s that the investor has e s s e n t i a l l y unlimited funds available which can be invested or deinvested i n recommendations without consideration of factors external to the OBV method. This means that considerations such as opportunity costs of alternate uses, transaction costs of acquiring or disposing of funds, and taxation w i l l not be included, although they are a l l factors which a r a t i o n a l investor would consider. However, as they vary widely between investors and are not a part of the OBV c a l c u l a t i o n s , they w i l l not be considered. This assumption also excludes factors that may be relevant to good p o r t f o l i o management such as the spreading of r i s k , l i q u i d i t y preference, etc. Each stock i s measured on i t s own merit i n the true sense of t e c h n i c a l a n a l y s i s . A further assumption with regard to buying i s required i n order to calculate transaction costs. For the purpose of analysis, i t i s assumed that stock i s purchased i n blocks of 100 shares at the c l o s i n g p r i c e on the trading day on which the s i g n a l i s received. G r a n v i l l e ' s assumption that the stock i s purchased or sol d on the next day at the c l o s i n g price i s not accepted on the basis that the t e c h n i c a l analyst would have more information, both technical and fundamental, available 2 on the next day and would adjust his actions accordingly. In actual operation, the investor would l i k e l y put i n an order for the purchase or sale at the p r i c e on which the s i g n a l i s generated, not at market. The writer's assumption i s therefore more r e a l i s t i c i f the bid i s accepted and the only difference i s the day of record. The method used has the s i m p l i f y i n g feature of keeping a l l information i n records on the day of s i g n a l generation. i b i d . , p. 97 Granville also neglects to discuss the value of more than one buy s i g n a l occurring p r i o r to a s e l l s i g n a l . I f each s i g n a l i s i n d i c a t i v e of stock strength i n some respect, then the investor may choose to invest each time a buy s i g n a l i s received. This study w i l l examine both the case where the investor purchases shares upon the f i r s t buy s i g n a l and s e l l s upon the f i r s t s e l l s i g n a l , and the multiple buy s i t u a t i o n , where he buys shares each time a buy s i g n a l i s received and s e l l s his entire holding at the f i r s t s e l l s i g n a l . I. METHOD DESCRIPTION This section w i l l describe the OBV method i n general terms and mathematical terms where relevant. The f i r s t step i n the analysis i s to calculate the OBV. Granville describes i t as: the r e s u l t reached a f t e r subracting a l l the volume on the downside from the volume on the upside. Readings can be either p o s i t i v e or negative." 3 By downside or upside volume, Granville i s r e f e r r i n g to the volume traded during the current day based upon whether the c l o s i n g market price i s lower or higher than the previous days clo s i n g p r i c e . I f the c l o s i n g p r i c e i s unchanged, the OBV does not change. i b i d . , p . 332 Thus : m mo OBVm = ( £ VOL t | PR t> PRt__ ) - ( J. VOL t \ PR t< PRt__ ) where: m i s the current day t i s a general day OBV i s the on-balance volume, expressed i n shares i VOL t i s the volume of stock traded on day t PR t i s the cl o s i n g price of the stock on a given day UP - DOWN Designations After the OBV has been calculated, i t i s examined sequentially to determine i f the current day should be designated as UP or DOWN. Days receive an UP designation i f , a.) the current OBV l e v e l i s higher than the previous days OBV l e v e l , and b) the current OBV l e v e l i s higher than the l a s t preceding maximum OBV l e v e l . This maximum referred to above requires by d e f i n i t i o n of a maximum, that the d a i l y OBV l e v e l has decreased between the maximum day and the current day. As a s i m p l i f i c a t i o n , i t should be noted that i f the current OBV l e v e l i s higher than the previous day and that day has an UP designation, the current day should receive an UP als o . DOWN designations are accorded i n analogous manner except comparison i s with the l a s t minimum OBV l e v e l . G r a n v i l l e does not use the terminology 'peak and trough', but use of these terms has been found by the writer to c l a r i f y G r anville's f i e l d a n a l y s i s . F i e l d s are a series of UP's or DOWN'S and may include undesignated days within the s e r i e s . 4 F i e l d s are therefore of two types; UP f i e l d s and DOWN fi e l d s o F i e l d analysis, which i s the next stage of analysis, compares maximum OBV le v e l s of UP f i e l d s and minimum l e v e l s of DOWN f i e l d s . I t i s to describe these maximums and minimums that the author has introduced the terms 'peak and trough'. F i e l d Analysis The purpose of f i e l d analysis i s to determine the trend of the f i e l d s . In f i e l d analysis, the OBV's of a peak and trough p a i r or a trough and peak p a i r , are compared with that of the preceding p a i r to determine a general pattern,, If both are higher, then the f i e l d i s r i s i n g . I f both are lower, the f i e l d i s f a l l i n g . Otherwise, the f i e l d i s doubtful. F i e l d analysis therefore, deter-mines i f the OBV le v e l s are generally r i s i n g or f a l l i n g 0 The t e s t described above i s c a l l e d by Granville a simple z i g - z a g 0 Although i t i s a strong s i g n a l , he fee l s that a compound zig-zag which requires the confirmation 4 ib ido, p„ 81 5 i b i d . , p. 88 of a three peak-trough or trough-peak combinations to be a much stronger pattern and says that anything i n excess of a compound zig-zag constitutes a trend. Although he states that more than three pairs are required to confirm a trend, Granville uses two pairs to calculate trends and thus bases signals on only two p a i r s . ^ The appropriate equations are: i ) Rising trend; (Peak) n >(Peak) n__ and (Trough) n > ( T r o u g h ) n - 1 i i ) F a l l i n g trend: (Peak) n < (Peak) n__ and (Trough) n <. (Trough) n__ i i i ) Doubtful trend: e i t h e r : (Peak) n > (Peak) n__ and (Trough) n < (Trough) n__ or: (Peak) n < (Peak) n_ 1 and (Trough) n > (Trough) n__ Where n refer s to the l a t e s t p a i r i n g of a peak and trough i n e i t h e r order. The reader can confirm t h i s by examining, for example, the analysis of Chrysler, i b i d . , p. 137. P a r t i c u l a r notice should be given to signals of Sept. 5, 1961 and Jan. 24, March 26 and 28, 1962 Granville describes support i n the following manner: "Any b a r r i e r to decline i s c a l l e d support. Once a resistance l e v e l i s s u c c e s s f u l l y penetrated by a stock advance, the r e t r e a t from that l e v e l i s expected to meet support at the old resistance l e v e l . " ? Resistance i s described m an analogous manner.0 These vague d e f i n i t i o n s pose one of the most serious obstacles to developing a computerized model of the OBV method. In addition to t h i s problem, Granville frequently r e f e r s to the strength of a support or resistance l e v e l which must be presumed to be some function of how many times the l e v e l was tested and how long the l e v e l has e x i s t e d . The writer's basic assumption w i l l be that a minimum of two confirmations are required to define a support or resistance l e v e l . Such confirmation may come from a peak or a trough. BUY and SELL Signals The data has now been c l a r i f i e d and c o d i f i e d to the extent that the analyst may now attempt to locate BUY and SELL s i g n a l s . Table I l i s t s the nine BUY and the nine SELL signals which Granville has formulated. 7 i b i d . , p. 335 ® i b i d . , p. 333 9 Nine OBV Buying Signals for the Pay-to-Day Trader 1. Buy into DOWN designations when the f i e l d trend i s risi n g . " 2. Buy when pr i c e of stock sharply outpaces OBV on the downside* 3. Buy when OBV records unusual day-to-day d e c l i n e . 4. Buy on the f i r s t UP i n a r i s i n g f i e l d trend. 5. Buy into the f i r s t DOWN designation following three intermittent c l u s t e r s of DOWN designations. (A cl u s t e r i s defined as three or more consecutive s i m i l a r designations) 6. Buy when UP designation immediately follows a DOWN designation ( only when f i e l d trend i s favorable). 7. Buy when UP designation follows an UP designation with several undesignated sessions i n between. 8. Buy aft e r several days of DOWN'S i f the OBV i s s t i l l above an important support l e v e l . 9. Buy when OBV breaks through long-term resistance l e v e l providing there have only been one or two UP's. Nine OBV S e l l i n g Signals for the Day-to-Day T r a d e r 1 0 10. S e l l into UP designations when the f i e l d trend i s f a l l i n g , 11. S e l l when p r i c e of stocks sharply outpaces OBV on the upside. 12. S e l l when OBV records unusual day-to-day advance. 13. S e l l on the f i r s t DOWN i n a f a l l i n g f i e l d trend. 14. S e l l into the f i r s t UP designation following three intermittent c l u s t e r s of UP designations. (A cl u s t e r i s defined as three or more consecutive s i m i l a r designations)• 15. S e l l when DOWN designation immediately follows an UP designation (only when f i e l d trend i s unfavorable). 16. S e l l when DOWN designation follows a DOWN designation with several undesignated sessions i n between. 17. S e l l a f t e r several days of UP's i f the OBV i s s t i l l below an important resistance l e v e l . 18. S e l l when OBV breaks under a long-term support l e v e l providing there have been only one or two DOWN'S. i b i d . , p. 95 These signals were numbered by Granville as 1-9 to show that they are the inverse of the BUY signals 1-9. They are renumbered 10-18 to avoid confusion with the SELL signals i n the text. I t should be noted that the SELL signals are s i m i l a r to the BUY signals with only the concept which activates them being reversed. Therefore, discussion of only the BUY signals w i l l be included i n t h i s s e c t i on. The discussion w i l l b a s i c a l l y review what Granville's concept i s i n having formulated each s i g n a l . ^ SIGNAL 1 - Buy into DOWN designations when the f i e l d trend i s r i s i n g . G r a n v i l l e frequently stresses that experienced traders 12 must go against the market or mass psychology. In thi s case the DOWN had indicated the mass movement but the trader has the a d d i t i o n a l information of knowing that the o v e r a l l trend i s r i s i n g . SIGNAL 2 - Buy when price of stock sharply outpaces OBV on the downside. The i n t e r p r e t a t i o n of t h i s s i g n a l requires under-standing of "gaps". Gaps are large changes i n p r i c e , or OBV. G r a n v i l l e compares gaps to vacuums and c i t e s the f a m i l i a r physical law, that there are no vacuums i n nature, He suggests the gap i s analogous to a vacuum and w i l l be f i l l e d . I t therefore presents a trading opportunity. In th i s s i g n a l , a gap has been created and w i l l be f i l l e d . 13 11 12 13 Granville l i s t s the rules on pp. 95-96 but does not describe the reasons behind t h e i r formulation. The int e r p r e t a t i o n therefore, i s the authors and w i l l be footnoted wherever possible to reveal Granville's l o g i c . see for example, i b i d . , p. 84. For a complete review of Granville's p h y s i c a l analogies, see, i b i d . , pp. 52-53. Note that he does not suggest that the stock should be sold when the gap i s f i l l e d . Therefore gaps must be in d i c a t i v e of further r i s e s . SIGNAL 3 - Buy when OBV records unusual day-to-day decline. This i s a further i l l u s t r a t i o n of Granville's use of gaps as a trading opportunity. SIGNAL 4 - Buy on the f i r s t UP i n a r i s i n g f i e l d trend. This s i g n a l too, i s re l a t e d to Granville's analogy to p h y s i c a l laws. In thi s case he fee l s that a body i n motion tends to stay i n motion. Therefore, a stock which i s r i s i n g w i l l continue to r i s e and th i s presents a trading opportunity. SIGNAL 5 - Buy into the f i r s t DOWN designation following three intermittent c l u s t e r s of DOWN designations. (A c l u s t e r i s defined as three or more consecutive s i m i l a r designations). This s i g n a l i s believed to be an extension of the body i n motion law, but i t i s not developed i n the text. SIGNAL 6 - Buy when UP designation immediately follows a DOWN designation (only when f i e l d trend i s favorable). G r a n v i l l e frequently refers to the "energy" of a stock and would f e e l that such a strong gain i s i n d i c a t i v e of a high accumulation of energy. Conversely, on the SELL s i g n a l , he would f e e l that the stock has a low l e v e l of energy and i s l i k e l y to continue f a l l i n g . SIGNAL 7 - Buy when an UP designation follows an UP designation with several undesignated sessions i n between. This s i g n a l would indicate that the stock f i r s t had some energy but l o s t i t (undesignated sessions) and then regained i t , (current UP). The stock should continue to r i s e . Conversely, on the SELL r u l e , the stock l o s t energy i n the f i r s t DOWN, regained i t (undesignated sessions) before l o s i n g i t again (last DOWN). SIGNAL 8 - Buy aft e r several days of DOWN'S i f the OBV i s s t i l l above an important support l e v e l . This s i g n a l i s based upon the f a c t that the support l e v e l must be quite strong as even approaching i t has taken a long time. The stock therefore, has a higher l e v e l of energy than the DOWN designation would i n d i c a t e . Therefore, i t i s not l i k e l y to break the support and presents a trading opportunity. Conversely, on the SELL s i g n a l , the stock does not have s u f f i c i e n t energy to break the resistance l e v e l and can be expected to f a l l i n p r i c e . SIGNAL 9 - Buy when OBV breaks through long-term resistance l e v e l providing there have only been one or two UP's. Granv i l l e f e e l s that a body i n motion w i l l continue i n motion unless the energy which causes that motion i s l o s t . The f i r s t part of the sig n a l i s the motion section and the l a t t e r i s prov i s i o n to determine i f the energy has been consumed or l o s t . On the SELL s i g n a l the l a t t e r part would determine how much energy the stock has acquired. In conclusion, these signals have been l i s t e d i n t h i s order by Gr a n v i l l e i n the order of t h e i r degree of e f f e c t i v e n e s s . 1 4 BUY and SELL signals 1 and 10 are therefore believed to be s i g n i f i c a n t l y more useful than BUY and SELL signals 9 and 18. i b i d . , p. 95 COMPUTERIZATION 1. GENERAL The programs described below were written to run on the U.B.C, IBM model 360/67 computer, u t i l i z i n g the Fortran IV compiler. The basic OBV program uses only one l i b r a r y program, SSORT, to s o r t and arrange i n ascending l e v e l s the support and resistance l e v e l s . The OBV program also uses one subroutine e s p e c i a l l y developed for th i s program, e n t i t l e d ACOUNT, which calculates transaction costs. A l i s t i n g of the OBV program and ACOUNT are included i n Appendix I. Separate programs were written to produce graphs of OBV and p r i c e , versus time. These programs u t i l i z e the f i r s t s e c t i o n of the main program which calculates OBV and then uses l i b r a r y programs to do the actual p l o t t i n g . Library programs u t i l i z e d are ALPLOT, PLOTS, PLOT, PLOTND, PLOTQ. A l i s t i n g of these programs i s also included i n Appendix I I . The following discusses the main sections of 15 the OBV program. OBV, TMP. PMP The OBV i s calculated for days two to M by determining the following: PC(J) = PR(J) - PR (J-l) i f PC(J) i s positive, UVOL = UVOL.+ VOL(J) i f PC(J) i s negative, DVOL = DVOL + VOL(J) i f PC (J) i s 0, continue then OBV(J) = UVOL - DVOL At t h i s stage the t h e o r e t i c a l maximum p r o f i t (TMP) and po s i t i v e maximum p r o f i t (PMP) are calculated according to: TMP = TMP + absolute value (PC(J)) PMP = PMP + PC(J) i f PC(J) i s p o s i t i v e UP or DOWN Designations This section requires c a l c u l a t i o n of several intermediate characters, which are: i ) OBVN(J) = OBV(J) - OBV (J-l) i i ) SIPN = OBV on day when the OBV changed from increasing to decreasing A glossary of computer notations preceeds the Appendices i i i ) SINP = OBV on day when the OBV changed from decreasing to increasing iv) Y = OBVN(J) - SINP or OBV(J) - SIPN Using these concepts, designations can now be lc u l a t e d . i ) i f OBVN(J) > 0, check for UP designation. .- i f OBV(J) > SIPN, designation DES (J) = 1, where 1 i s equivalent to an UP. DES(J) = 0 otherwise, - check also to see i f OBVN(J-l) ^ 0, i f so SINP = OBV(J-l). - i f OBVN(J-l) = 0, repeat for J-2, J-3, etc., u n t i l OBVN(J-n) i s greater than or less than 0 - i f OBVN(J-l) = 0, continue. i i ) i f OBVN(J) < 0, check for DOWN designation. - i f OBV(J) < SINP, designation DES (J) =-1, where -1 i s equivalent to a DOWN. DES(J) = 0 otherwise, - check also to see i f OBVN(J-l) > 0, i f so SIPN = OBV(J-l). - i f OBVN(J-l) = 0, repeat for J-2, J-3, etc., u n t i l OBVN(J-n) i s greater than or less than - i f OBVN(J-l) = 0, continue. i i i ) i f OBVN(J) = 0, DES (J) = DES(J-l). As part of the l a s t c a l c u l a t i o n , i f an UP or a DOWN designation i s placed on day J , the program checks back to fi n d the l a s t non-zero designation. I f i t i s the same as the current, the c a l c u l a t i o n proceeds to the next day. I f i t i s d i f f e r e n t , then the day with the l a s t designation i s a peak i f the current day i s a DOWN, or a trough i f the current day i s an UP. The symbolism used i s 100.00 for a peak, and 200.00 for a trough. F i e l d Analysis F i e l d s are calculated by comparing two peak-trough or trough-peak pairs to determine i f the differences between the peaks and the troughs are of the same sign. I f both differences are p o s i t i v e , the l a t e s t peak or trough represents a r i s i n g f i e l d . I f both differences are negative, the f i e l d i s f a l l i n g . I f the differences are not consistent, then the f i e l d i s doubtful. In order to do the actual c a l c u l a t i o n , an a r t i f i c i a l numbering system POS(l) i s used. Each POS(l) i s given the day number J of a jieak or trough. Access to peaks and troughs then i s achieved by sequentially recovering the value of POS(I) and using t h i s to fin d the peak or trough OBV l e v e l . The program gives a TREND value of 1 for r i s i n g days, 0 for doubtful days and -1 for f a l l i n g days. Special routines are included to f i n d , a) the f i r s t r i s i n g or f a l l i n g day, b) for f i l l i n g i n a l l the days between peaks and troughs, and c) to locate the l a s t r i s i n g or f a l l i n g day. These routines also depend upon whether the l a t e s t value i s for a peak or trough. Support and Resistance Levels Granville determines support and resistance l e v e l s by v i s u a l i n t e r p r e t a t i o n of graphs of OBV versus time. A s p e c i a l program u t i l i z i n g the f i r s t s ection of the main program which calculates OBV was written to produce Calcomp pl o t s for v i s u a l a n a l y s i s . The plots are then analysed by sequentially exposing each day. Support and resistance l e v e l s are therefore determined based upon only h i s t o r i c a l data. Data fed back to the OBV program includes not only the l e v e l of the support or resistance, but also the day on which i t became apparent. Acceptance of the above method for determination of the support and resistance l e v e l s was b a s i c a l l y proposed because of the d i f f i c u l t y of defining these concepts i n mathematical terms. One a l t e r n a t i v e method considered was to use each peak and trough as a support or resistance l e v e l . 6 This method was tested and found to y i e l d quite s i m i l a r r e s u l t s . Based upon these tests and further Tests using peaks and troughs can be run on the OBV program by sp e c i f y i n g NPLAT as zero on the M card. reasons which are discussed i n the analysis of r e s u l t s , no further t e s t i n g of methods to locate a superior method was attempted. Further work i n thi s area should attempt to resolve these d e f i n i t i o n s and e s t a b l i s h mathematical r e l a t i o n s h i p s . BUY and SELL Signals The rules generally posed no s i g n i f i c a n t problems to computerization but did require that many assumptions be made as Granville did not quantify his d e f i n i t i o n s . The programming, although not arranged to t e s t each day for each s i g n a l sequentially, does use only h i s t o r i c a l data for t e s t i n g with one minor exception. The exception i s that an average volume i s used as a standard and rather than use a moving average, the t o t a l shares traded over the period were averaged. However, a shorter average or a moving average could be used. The tes t s , therefore, are suitable for use on a d a i l y basis with each new days 17 data being added as i t i s a v a i l a b l e . The program i s arranged so that the following groupings of signals are tested together; a) 2,3,11,12, b) 6,7,10,14, c) 1,5,15,16, d) 8,9,17,18, and e) 4,13. The order of t e s t i n g of these groups i s not p a r t i c u l a r l y c r i t i c a l , however, t e s t i n g i n these groups s i m p l i f i e s programming because of the s i m i l a r patterns of UP's and DOWN'S required to tes t members of a group. When using the program on a d a i l y basis, the average i s that of the entire period and on the l a t e s t day, the average i s a moving average. The number of the actual s i g n a l which generated the buy or s e l l action i s retained by giving BUY or SELL a value equal to the number of the s i g n a l . In order to allow for the p o s s i b i l i t y of two or more BUY or SELL signals on one day, a l l e x i s t i n g BUY signals are mu l t i p l i e d by ten before the l a t e s t s i g n a l number i s added. SELL signals are handled i n a s i m i l a r manner except they are mu l t i p l i e d by 100. SIGNAL 1 - Buy into DOWN designations when the f i e l d trend i s r i s i n g . For t h i s s i g n a l each day i s tested to determine i f the designation i s DOWN, and i f the trend i s r i s i n g . I f both agree, a BUY si g n a l i s generated. Signal 1 i s tested as part of the 1,5,15,16 group which i s examined i f the current day has a DOWN designation. Long chains of BUY signals are avoided by generating t h i s s i g n a l on only the f i r s t DOWN s i g n a l of a sequence of DOWN'S. Signal 1 yi e l d s to s i g n a l 5 because of thi s p r o t e c t i o n . SIGNAL 2 - Buy when pri c e of stock sharply outpaces OBV on the downside. This s i g n a l i s tested as part of the 2,3,11,12 group and the following assumptions r e l a t e therefore i n some degree to a l l members of that group. Two assumptions are made to te s t t h i s s i g n a l . F i r s t , a schedule of a r b i t r a r y prices was assumed to give a standard to which to determine i f the price change i s adequate to suggest that an outpacing could occur. The schedule of minimum price changes, PM, i s : The second assumption re l a t e s to a volume base for use i n determining i f the pr i c e has "sharply" outpaced OBV. The base chosen was two times the average d a i l y trading volume, AVOL. Thus/ i f the price change i s greater than the miminum p r i c e change and the trading volume i s less than two times AVOL, a BUY s i g n a l i s generated. SIGNAL 3 - Buy when OBV records unusual day-to-day d e c l i n e . Signal 3 i s part of the 2,3,11,12 group whose basic assumptions are outlined above. This s i g n a l also u t i l i z e s the d a i l y average trading volume AVOL. I f the volume traded was greater than 2.5 times AVOL and the pxice declined, a BUY s i g n a l i s generated. SIGNAL 4 - Buy on the f i r s t UP i n a r i s i n g f i e l d trend. The trend on each day i s checked to determine i f i t has changed from the previous day. I f i t has and the current trend i s r i s i n g , the days ahead are checked to locate the f i r s t UP designation. The day with the UP designation i s given a BUY designation. Signal 4 and 13 are tested together. Price Range PM $ 1 and $10 $10 and $20 $20 and $50 above $50 $1.00 $1.50 $2.00 $2.50 SIGNAL 5 - Buy into the f i r s t DOWN designation following three intermittent c l u s t e r s of DOWN designations. (A c l u s t e r i s defined as three or more consecutive s i m i l a r designations). This s i g n a l i s tested by checking days p r i o r to a DOWN designation for at l e a s t three c l u s t e r s with one or more undesignated days between c l u s t e r s . This section of the program can handle any number of consecutive DOWN or undesignated days within the t o t a l capacity of the program. The te s t occurs as part of the 1,5,15,16 group. SIGNAL 6 - Buy when UP designation immediately follows a DOWN designation (only when f i e l d trend i s favorable). This s i g n a l i s tested as part of the group involving 6,7,10,and 14. I f an UP - DOWN combination i s located reviewing the data p r i o r to the current day, the trend i s checked. I f r i s i n g , a BUY s i g n a l i s generated. SIGNAL 7 - Buy when UP designation follows an UP designation with several undesignated sessions i n between. Signal 7 i s also tested as part of the 6,7,10,14 sequence which examines the days preceding an UP s i g n a l . In t h i s case an UP followed by two or more undesignated sessions must preceed the current UP si g n a l i n order to generate a BUY s i g n a l . SIGNAL 8 - Buy after several days of DOWN'S i f the OBV is s t i l l above an important support l e v e l . This s i g n a l i s the f i r s t of the signals to be tested i n the 8,9,17,18 group. Each day a holding f i l e of plateaus, PLAT, which contains support and r e s i s t a n t l e v e l s i s checked for new support or resistance l e v e l s which have become apparent. If new ones are located, they are added to the active l i s t , SR, which i s then sorted into ascending order. The current OBV i s then compared with the SR l i s t to determine the adjacent support, SUP, and resistance, RES, l e v e l s . I f SUP i s unchanged from the previous day and at lease two DOWN'S have occurred without change i n the SUP l e v e l , a BUY s i g n a l i s generated. SIGNAL 9 - Buy when the OBV l e v e l breaks through a long term resistance l e v e l providing there have only been one or two UP's. This rule f a l l s within the group t e s t for 8,9,17,18 and proceeds for the f i r s t part as with s i g n a l 8. A counter, IB, i s used to keep track with the numbers of UP's. I f there has been a change i n the adjacent resistance l e v e l and only one or two UP's, a BUY si g n a l i s generated. SIGNAL 10 - S e l l i n t o UP designations when the f i e l d trend i s f a l l i n g . Signal 10 i s tested as part of the 6,7,10,14 group which i s activated by an UP designation. This s i g n a l i s protected against r e p e t i t i o n by the same procedure outlined for s i g n a l 1. Signal 10 y i e l d s p r i o r i t y to si g n a l 14 because of t h i s p r o t e c t i o n . SIGNAL 11 - S e l l when the pr i c e of stocks sharply outpaces OBV on the upside. Signal 11 i s generated by the same conditions as si g n a l 2, except that i t requires a r i s i n g p r i c e . SIGNAL 12 - S e l l when OBV records unusual day-to-day advance. Signal 12 i s tested as part of the 2,3,11,12 group. Its premise for generation i s the same as sig n a l 3, except that whereas s i g n a l 3 i s generated by a volume decline, s i g n a l 12 i s generated by a volume advance. SIGNAL 13 - S e l l on the f i r s t DOWN i n a f a l l i n g f i e l d trend. This s i g n a l i s tested as part of the 4,13 group. The s i g n a l i s generated on the f i r s t down i n a f a l l i n g f i e l d trend. Signal 13 i s comparable to s i g n a l 4. SIGNAL 14 - S e l l into f i r s t UP designation following three or more intermittent c l u s t e r s of UP designations. (A c l u s t e r i s defined as three or more consecutive s i m i l a r s i g n a l s ) . Signal 14 i s analogous to si g n a l 5, except the previous t e s t was for a series of DOWN'S whereas the current t e s t i s for a series of UP's. This s i g n a l i s part of the 6,7,10,14 group. SIGNAL 15 - S e l l when a DOWN designation immediately follows an UP designation (only when f i e l d trend i s unfavorable). This s i g n a l i s tested as part of the 1,5,15,16 group i n an analogous manner to sig n a l 6. SIGNAL 16 - S e l l when DOWN designations follow a DOWN designation with several undersignated sessions i n between. Comments relevant to si g n a l 7 apply i n t h i s case, except that the s i g n a l i s tested for DOWN designations SIGNAL 17 - S e l l a f t e r several days of UP's i f OBV i s s t i l l below an important resistance l e v e l . The assumptions and comments relevant to s i g n a l 8 can be used i n an analogous manner i n th i s case. The si g n a l i s tested as part of the 8,9,17,18 group. SIGNAL 18 - S e l l when OBV breaks under a long-term support l e v e l providing there have only been one or two DOWN'S. The assumptions and comments for si g n a l 9 are applicable i n an analogous manner for s i g n a l 18, except the d i r e c t i o n of movement i s reversed. The t e s t i s part of the 8,9,17,18 group. Accounting The program i s designed to handle both the single and multiple buy cases. E s s e n t i a l l y the program reviews BUY and SELL records u n t i l non-zero values are located and there i s not a c o n f l i c t caused by both a BUY and SELL s i g n a l on the same day. The program then calculates stock revenues, costs and p r o f i t s , using the current days price Toronto Stock exchange Commission rates and Ontario Stock 18 transfer fees were applicable. The rates used are reproduced i n Table I I . 18 Commission rates and Ontario Stock transfer tax were abstracted from Cochran, Murray, and Hay, "Commission R a t e s and Commission Tables? Toronto Stock Exchange" (Sept. 1967), pp.1-2, although these are available from numerous sources 0 of the stock at the cl o s i n g p r i c e of the day on which the 19 s i g n a l i s generated. The actual costs and revenues are calculated i n a subroutine, ACOUNT. Minimum commission costs where these would have been applicable are ignored as they would reduce the generality of the tes t , since i t i s assumed that most purchasers of stock would avoid them by buying a larger volume of stocks. This section i s completed by keeping a cummulative p r o f i t record. The program also keeps a record of; a) the cummulative number of days that the stock was owned, b) the product of the stock cost times the f r a c t i o n of a year that the stock was owned, and c) the cummulative p r o f i t before commission cost. These records are kept for both the single and multiple buy cases. Output Two options are available for output. The entire p r i n t o u t of p r i c e , volume, OBV, designation, peaks and troughs, BUY s i g n a l s , SELL si g n a l s , single and multiple buy accounting i s given i f ISUMM i s z e r o . ^ A summary of trades and activated signals i s given i f ISUMM i s given a value of 1 or more. See text p. 8 for discussion of t h i s assumption. I f ISUMM i s not s p e c i f i e d , i t defaults to zero. TORONTO STOCK EXCHANGE COMMISSION RATES AND ONTARIO STOCK TRANSFER TAX SCHEDULES USED IN ACOUNT SUBROUTINE 2 1 COMMISSION RATES Price Range Commission on 100 Shares $ 1.00 - $ 7.99 2.75 % less $ 1.00 8.00 - 10.99 2.00 plus 5.00 11.00 - 14.99 1.00 plus 16.00 15.00 - 29.99 .50 plus 23.50 30.00 - 64.99 .25 plus 31.00 above 65.00 .16667 plus 36.42 ONTARIO STOCK TRANSFER TAX Price Range Per Share Tax $ 1.00 - $ 5.00 $ .0025 5.01 - 25.00 .001 25.01 - 50.00 .002 50.01 - 75.00 .003 75.01 - 150.00 .004 over 150.00 .004 plus .001 (Price - $150 21 Abstracted from Cochran, Murray, and Hay, "Commission  Rates and Commission Tables; Toronto Stock Exchange" (Sept. 1967), pp. 1-2. Tax i s paid only on purchases of stock. A copy of Granville's BUY and SELL signals w i l l be generated i f IRULE i s greater than one. Multiple copies of output are generated i f ICOPY i s given a value greater than 1. ! I I I . PLOT PROGRAMS The p l o t programs use the main program section which calculates OBV and in s t r u c t s the computer as to the siz e and s t y l e of p l o t required. The user can spe c i f y the scale desired, either the large or small p r i n t e r , and the type of paper, either l i n e d or blank. Separate programs are available for p l o t t i n g d a i l y prices and OBV. A l i s t i n g of the programs i s included i n Appendix I I . IV. OPERATION OF PROGRAMS In addition to normal Fortran IV command cards and the programs, the following data format i s required for a l l programs 0 A l l programs require the use of a t i t l e card, an M card and pri c e and volume data cards. In addition, the main program may require data cards containing support and resistance l e v e l s . The t i t l e card may be l e f t blank or a t i t l e of up to seventy-two character s t a r t i n g i n column two may be s p e c i f i e d . This t i t l e i s printed out as part of the output of the main program but i s not u t i l i z e d i n the p l o t program. The M card, so c a l l e d because the f i r s t piece of data i s the number of days, M, of data for processing, i s the second card. In addition to M, i t also contains data fo r ; a) the output format, f u l l or summarized (ISUMM), b) the number of support and resistance l e v e l data cards, (NPLAT), c) whether the Granville signals are to be l i s t e d , IRULE), and d) the number of copies of output desired, (ICOPY). In general, the rules regarding the use of these commands are s p e c i f i e d on comment cards i n the program, however, the following points are also relevant; a) M i s l i m i t e d to 500 by the DIMENSION CARDS and b) i f NPLAT i s l e f t as zero, peaks and troughs w i l l be used as support and resistance l e v e l s . The price and volume data cards follow the M card. Each card should contain f i v e days data. Prices are recorded i n columns 1-6, 16-21, 31-36, 46-51, and 61-66, with an F6.2 format (xxx.xx). Volumes are recorded i n columns 8-14, 23-29, 38-44, 53-59, and 68-74, with an F7.0 format (xxxxxxx). Volumes must be r i g h t j u s t i f i e d or followed by a decimal. Columns 75-80 are l e f t blank for company coding and sequence ordering, although t h i s i s not required. This completes the data required for the p l o t t i n g programs. The support and resistance data cards contain i n columns 1-6, 16 format, the day on which the support or F10.0 format, the OBV of the support or resistance (PLAT) 22 either r i g h t j u s t i f i e d or followed by a decimal. I f NPLAT was 0 on the M card, these data cards w i l l not be read as peaks and troughs w i l l be used i n place of t h i s data. As a resistance changes to a support i f penetrated, and vice versa, i t i s not necessary to d i f f e r e n t i a t e whether the l e v e l i s that of a support or a resistance. TEST OF MODEL I. PERFORMANCE MEASURES This chapter w i l l f i r s t review the measures of performance on which the OBV method w i l l be appraised. The basic features of the stocks i n the sample w i l l then be reviewed. The f i n a l section of the chapter w i l l report and discuss the re s u l t s of the t e s t s . Printouts of the re s u l t s may be found i n Appendix I I I . Return on Investment Normally the return on investment from stock or bond performance i s based upon the t o t a l y i e l d of that stock over the period of a n a l y s i s . Thus: Return on = Net Present Value (Dividends + Capital Gains) Investment Invested C a p i t a l (1) I f the time period i s s u f f i c i e n t l y short, the present Return on = Total Dividends + Cap i t a l Gain Investment Invested C a p i t a l (2) Although the OBV method i s tested for only a short time, equation (2) i s not suitable as a measure of per-formance of the OBV method, for two reasons. F i r s t , the OBV method does not base i t s analysis upon dividends nor i s i t designed to include them. Secondly, and far more important, equations (1) and (2) are designed as measures of performance of a p o r t f o l i o s i t u a t i o n i n which the investor i s judged as to how well he has handled his funds. Thus, i t i s a s a t i s f a c t o r y measurement for comparing a p o r t f o l i o of bonds versus a p o r t f o l i o of equities or some mixtures of these. Presumably i f the purpose of the investor i s to maximize his net present value, then some optimum p o r t f o l i o which maximizes net present value can be selected. The OBV method on the other hand i s not a method suita b l e for p o r t f o l i o s e l e c t i o n except i n the extreme where the investor analyses a large p o r t f o l i o of stocks. The OBV method would then be used to determine when to buy and s e l l single s e c u r i t i e s i n that p o r t f o l i o . No ranking or preference ordering would be available to the analyst on which to base the blend of securites to hold at any given time. As a measure to re l a t e the OBV technique to investor expectations however, a modified return on investment neglecting present value i s reported for both i n d i v i d u a l stocks and an o v e r a l l average for a l l stocks. The equation used i s : Return on = (Total Gain) (365 Days) Investment (Average Ca p i t a l (Days Stock Invested) Owned) (3) The time base of t h i s return i s s i m i l a r to that which would be used i f the stock were purchased on margin and i n t e r e s t had to be paid for the time funds were committed. Buy and Hold P o l i c y A further measure which i s frequently used to assess investing management i s to compare actual p r o f i t s with the p r o f i t s that would have resulted from a buy and hold p o l i c y . Buy and hold returns w i l l be reported i n t h i s study although the measure i s not considered to be a s a t i s f a c t o r y measure for several reasons. F i r s t , the time period i s quite short and although e s s e n t i a l l y randomly chosen, the actual days chosen for the s t a r t and end of the period can d r a s t i c a l l y a l t e r the buy and hold p r o f i t . Secondly, the buy and hold p o l i c y requires the use of a second method, usually based on fundamental p r i n c i p l e s , which chooses the stocks for investment. In th i s study, the stocks were not chpsen by a fundamental method for a buy and hold p o l i c y , but by choosing stocks that would te s t the OBV method* The OBV method i s thus not being compared with a buy and hold method although the implication from reporting the Two time periods were chosen for the buy and hold c a l c u l a t i o n . F i r s t , the t o t a l period over which data was c o l l e c t e d . Secondly, because the OBV method requires a ce r t a i n amount of data to develop a h i s t o r y upon which to base recommendation, the s t a r t i n g date for the second buy and hold c a l c u l a t i o n was advanced to the f i r s t day on which the OBV method generated a SELL s i g n a l . P r o f i t Detection A b i l i t y The proper measures of performance upon which to analyse the success of the OBV method are measures which measure the performance r e s u l t i n g from the use of the method r e l a t i v e to t h e o r e t i c a l maximums. The p r i n c i p a l problem with the use of these i s that no standards are available for comparison to determine i f the OBV method i s more or less successful than other methods. However, as previously discussed, the OBV method i s d i s s i m i l a r i n i t s concepts and the use to which i t may be put. I t should therefore not be too d i f f i c u l t to accept that the method cannot be s t r i c t l y compared to others. The f i r s t t h e o r e t i c a l maximum chosen rel a t e s to p r o f i t and w i l l be c a l l e d the p r o f i t detection a b i l i t y . I t i s the r a t i o of a l l p r o f i t s achieved expressed i n points r e l a t i v e to the maximum possible points which could a) Percent of Maximum Possible Return; 2L Points P r o f i t y (Absolute value of ^- Day-to-Day changes) x 100% (4) b) Percent of Positive Possible Return; ^~ Points P r o f i t >^ (Price gains from (Day-to-Day) x 100% (5) Both bases were chosen because each has some relevancy. F i r s t , the t o t a l sum using the absolute value of p r i c e changes i l l u s t r a t e s the t o t a l possible p r o f i t which could be r e a l i z e d excluding transaction costs i f regular buying and short s e l l i n g were allowed. Although short s e l l i n g i s not allowed i n thi s program (see page 7 of t e x t ) , the investor who s e l l s at peaks and buys at lows, gains i n his cummulative holdings from f a l l s as well as from gains. The second measure r e l a t e s the gain to only the p o s i t i v e gains on the market. The denominator i n t h i s case represents only the possible p o s i t i v e gains. These percentages are calculated for both the single and multiple buy s i t u a t i o n . The second t h e o r e t i c a l maximum measure i s the r e l a t i o n -t o t a l number of signals r e l a t i n g to trades. This r a t i o , the s i g n a l correctness r a t i o , i s a measure of the accuracy of the trading s i g n a l s . As such i t i s l i k e l y a measure of the confidence that an investor would have i n the method. The analysis i s conplicated by the f a c t that i t takes both a BUY and SELL s i g n a l to r e s u l t i n a trade. This d i f f i c u l t y i s resolved by use of a matrix i n which each component i s represented by an element: where: i - i s the number of the BUY s i g n a l j - i s the number of the SELL s i g n a l a - i s the number of p r o f i t a b l e trades inv o l v i n g i and j b - i s the t o t a l number of trades involving i and j The matrix elements, a/b are not reduced into f r a c t i o n s so that a measure of the average success of each trading r u l e working with a l l the possible other signals can be obtained by summing the elements h o r i z o n t a l l y or v e r t i c a l l y . The data reported i s for both the single buy and the ship of signals which lead to a p r o f i t r e l a t i v e to the multiple buy p o l i c y . Also i n the case where multiple BUY or multiple SELL signals are received, the s t a t i s t i c i s reported for a l l combinations. Thus, a 1-3 BUY s i g n a l combined with a 10-4 SELL s i g n a l i s reported i n the following form: (1-10); (3-10); (1-14); (3-14) I I . STOCKS TESTED The stocks chosen were selected b a s i c a l l y to t e s t the model i n a r e l a t i v e l y speculative market i n which p r i c e changes and volumes traded would l i k e l y activate and t e s t the signals to BUY and SELL. Four of the stocks chosen f i t into t h i s c l a s s i f i c a t i o n . The f i f t h was chosen to t e s t the model upon a more stable i n d u s t r i a l stock. The following i s a l i s t i n g of the stocks with a b r i e f d e s c r i p t i o n of the firm and summary f i n a n c i a l f i g u r e s . BOW VALLEY INDUSTRIES (BVI) Bow Valley Industries i s a small i n d u s t r i a l company which has d i v e r s i f i e d into many i n d u s t r i a l areas i n the l a s t f i v e years. During the period tested, May 1968 to August 1969, they acquired; a) the Wonderly and Kershaw The following data was abstracted from numerous sources i n c l u d i n g : F i n a n c i a l Post I n d u s t r i a l Survey of  I n d u s t r i a l s , (1970), F i n a n c i a l Post Survey of O i l s , (197 Toronto Globe and Mail Business Report, and i n d i v i d u a l company annual reports. group of companies which s p e c i a l i z e i n i n d u s t r i a l contract maintenance, b) G r i f f i t h Brothers, an o i l well d r i l l i n g contractor, c) Elsworthy and Company, a sawmill machinery and controls manufacturer, and d) Mainland Foundry and Engineering. Total a f t e r tax earnings and earnings per share were reported as follows: Net Income Earnings per share average shares year end shares 1967 $1,211,000 $ .51 $ .51 1968 1,265,000 .39 .47 1969 1,804,000 .59 .55 The p r i c e of t h i s stock over the period may 1968 to August 1969 i s p l o t t e d i n Figure I. CANADIAN INDUSTRIAL GAS AND OIL (CIGOL) Canadian I n d u s t r i a l Gas and O i l i s a medium sized independent o i l and gas production and exploration company which has been formed mainly by amalgamations. The f i r m i s about seventy-eight per cent owned by Northern and Central Gas Co. Ltd., an eastern Canadian gas p i p e l i n e and d i s t r i b u t e r , but i s a c t i v e l y traded as a r e l a t i v e l y speculative o i l and gas stock because of i t ' s p o l i c y to engage i n wildcat explorations. CIGOL was tested over the period of A p r i l 1969 to March 1970. CIGOL's net income and earnings per share record over the period of concern was: Net Income (from operations) Earnings per share 1967 $5,826,000 1968 6,422,000 1969 7,642,000 1970 2,710,000 (3 months) $ .37 .38 .41 .14 (3 months) The p r i c e behavior of the stock i s plo t t e d i n Figure I I . CHEMCELL (CC) Chemcell i s a large Canadian based i n d u s t r i a l company whose main areas of a c t i v i t i e s are i n f i b r e s manufacturing and processing, and chemical production. In the late 1960*s Chemcell, l i k e other companies i n the f i b r e s industry was severely affected by penetration of the North American market by Japanese and other foreign imports. During the period under consideration, May 1968 to August 1969, some recovery of p r o f i t s was being made as the firm integrated more int o f i b r e s processing and expanded chemcial operations into the production of ac r y l a t e s . Long term prospects for large gains i n earnings were generally f e l t to be rather poor. Chemcell i s cont r o l l e d by Celanese Corporation, a large U.S. f i b r e s and chemical corporation which holds about s i x t y per cent of the shares of Chemcell. Income and earnings per share performance was: Net Income Earnings per share 1967 1968 1969 $6,862,000 8,875,000 9,940,000 $ .46 .61 .69 The p r i c e behavior i s plo t t e d i n Figure III Great West Saddlery, now c a l l e d Great West International E q u i t i e s , i s a growth orientated holding company controlled by the Edper Investments of Montreal. Edper holds about f o r t y per cent of GWS's common shares. A high degree of speculative i n t e r e s t was associated with GWS during the 1968-9 period. The stock was d e l i s t e d from the Toronto Stock Exchange for about one and one-half months during 24 negotiations to acquire a large insurance company i n 1968. No trading occurred during t h i s period. The stock was tested over the period May 1968 to August 1969. GWS's net income and earnings per share performance was: Price performance i s plot t e d i n Figure IV. PACIFIC PETROLEUMS (PP) P a c i f i c Petroleums i s an integrated o i l and gas exploration, production and marketing firm with wide holdings i n the p i p e l i n e , p l a s t i c s and mining i n d u s t r i e s . Due to i t s holdings i n the exploration industries (mining and Net Income (plus surplus) Earnings per share 1967 1968 1969 $ 541,000 881,000 1,276,000 $ .09 .15 .20 The program does not generate BUY and SELL signals i f there i s no share p r i c e quoted. PLOT OF PRICE VERSUS TIME FOR BOW VALLEY INDUSTRIES PERIOD: May 5, 1968 TO AUGUST .15, 1969 PLOT OF PRICE VERSUS TIME FOR CANADIAN INDUSTRIAL GAS & OIL PERIOD: APRIL 1969 TO MARCH 1970 TIME FIGURE I I I FIGURE V. PLOT OF PRICE VERSUS TIME FOR PACIFIC PETROLEUMS PERIOD: MAYJ 5, 1968 TO AUGUST 15, 1969 -50.0 n o . o 190.0 TIME 270.0 350 petroleum), a high technology industry (chemicals), and growth industries (pipelining and gasoline marketing), P a c i f i c Petroleums has been considered i n a r e l a t i v e l y speculative manner by the investment community. P a c i f i c Petroleums i s fort y - e i g h t per cent owned by P h i l l i p s Petroleum, a large U.S. petroleum firm. P a c i f i c Petroleums was tested over the period May 1968 to August 1969. Net earnings and earnings per share for P a c i f i c Petroleum were: Net Earnings Earnings per share 1967 $ 6,626,000 $ .33 1968 11,010,000 .53 1969 14,130,000 .67 Price performance i s pl o t t e d i n Figure V. I I I . INTERMEDIATE RESULTS The f i r s t stage of the analysis was to use the p l o t program to pri n t o u t p l o t s of OBV versus time. Figures VI to X i l l u s t r a t e the OBV performance for the fi v e stocks tested. These figures were used to determine support and resistance l e v e l s for use i n the OBV program. There are several methods of determining support and resistance l e v e l s from these p l o t s . F i r s t , the le v e l s were established only i f at l e a s t two peaks or troughs indicated a b a r r i e r . This method i s c a l l e d the confirmation method as the l a t e s t i n d i c a t i o n confirms the f i r s t . The day of the second b a r r i e r was used as the i n i t i a l date of that PLOT OF OBV VERSUS TIME FOR BOW VALLEY INDUSTRIES PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 PLOT OF OBV VERSUS TIME FOR CANADIAN INDUSTRIAL OIL AND GAS PERIOD: APRIL 1969 TO MARCH 1970 - 1 — .-.l-.l..H i t - 1 ...(_-i - ... - - - - - - - - - -... n i -...L I ._ - - ... . . . " i i — j . . . — - — -- - - ----]••. | - - -— - - - _.. i • , _ -TF ... - - 1 H - ... - - _. — .... -- - - — .... -! ... - - ... -... — - - -1 - f " - t — — . . . i 1 i - - .... T i ~ < • - - ... j 1 __i_L . . . - ... - - - - - - -| — . . . --— -c - ..... - - . . . - -— 1 - - .... w -- _ . ! _ ] . _ . l l ...... | 4 -• i i .... -- -1 — J j _ _ — 1 - - . . . - - - -i ! ! 1 1 - - - -1 1 I 1 .1..L -— - -... -I 1 j — -... . . . • -V i 1 ! j - ... .... — >*i _ i 1 .c Q - - i -vr . 1 - - -1 - i . . . . . . -... 1 1 ... -1 ! i I -X z i 1 --r 4— - 1 .... - - — " l i - 1 if o L.. i i—j— -— -. . . i -1- - - — - ... — - - -— --i— T : l 1 ... 1 - --- - - -i JL r -l _ H - i - - ... -- J / siz:; _{... ' 1 - -- . _ - — - -n i V ± - h -: t : 11 - — ~ ... - - - ~ . . . - — - • 4 — - • -o - ... - - - -t | -i i n : - - •j-- — — ... -• - -— - ... - . . . -T~ i - — I tt • X - --c i r -... — 4 1-__L. -- - . . . — - — — — - t if - - -—1-1 — r ~ - -j - ... .... - -_ h - --— -- v rt - -... — --j _ ! . - jr 1 - - - - ... - ... •- - - - J . _ -- -a. ..._,>_ .I--4-ft!" - ---i _. --- ' - -T" ---.... . _ ------\ 1 — - — — -... -I - --c 3 0 - - ... 4 11 - " r — i io Id - - ... - i 5 lit i; !! 4-T 3 - - — -. . . 2 5 V £F --- - i t f - . . . - -1 ! f FIGURE VIII. PLOT OF OBV VERSUS TIME FOR CHEMCELL PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 PLOT OF OBV VERSUS TIME FOR GREAT WEST SADDLERY PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 PLOT OF OBV VERSUS TIME FOR PACIFIC PETROLEUMS PERIOD: MAY 5, 1968 TO AUGUST 15, 1969 •H -t l~l—t-i i T ; ... — — ... - ... i i - . . . . — - - - - ... — Cft! OJl. O) ! j — i T~ - i -~|._ - — I •- . . . . — ... ... - - - -- - i j [ ... i • 1 i -— — V \ I I - i — • i : I 1 1 1 -f M i i j ... -... i i f -1 ... --i- ---— -4-i "I " ~ T — ) — . . . . ... "I r ! . J - i i .... ... -1 n -•— - -r 1 - ... i - i C e »T l l _ -- — ... i -- - - - - -i —!. 'I1 - J - ... -1— 1 r i o J : i - 4 - -— I t I -- - - . . . . 7 -1 -1 - - -r j ! ---- -i i --- - - -... --- -° 1 --r r j _ •-M l --- -_ - j -- — . . . . - — ----- -i I _ - -- z Sc.- — I i -- I •9 3-. a I i Jf h i - -I- i — ; •----- I n _._ -- --O - i — - - ... - -IL-... [ -- ... - -1 i - --— ... . . . . - - . . . - ---- - - -- . _ . - --- . . _ - - ---C E o - - - --- - - - --1 - --. . . . — -- __ - -i •- :.: ! - --... — - -- - -- -. - — ] ... OQ_i_ IJJL .... - - - - - - --- - — - — - -— i - --- - . . . . . . . . - --i - --- : 11.. ... - - — - L - -- -I. J _ l _ l _ - - -•4 --j ... * i i - -- -- --c i .... - -I -i _.. •- — - -— ... -J . .f_ .±_. ... --- - _ . ! . . . - I.. .... 1 -^ I — -r i " T --... ... ... J - i - - - ... j . . . . . . j . . . i - -- - i ...j.. - ... -- — - ... --plateau. Secondly, each time a peak or trough occurred and was followed by a clear turn away from that l e v e l , a support or resistance l e v e l was established. This i s c a l l e d the f i r s t i n d i c a t i o n method. A t h i r d method was tested which used each peak and trough as a p l a t e a u . ^ Each of these values was used as data for a te s t of CIGOL„to deter-mine the s e n s i t i v i t y of the model to support and resistance l e v e l s . The r e s u l t s from these tests were as follows for CIGOL: Me thod Confirmation Method F i r s t Indication Method Peaks and Troughs Number of Single Buy Trades P r o f i t 26 26 27 $ (921.04) $ (921.04) $ (930*42) Multiple Buy P r o f i t $ (1869.68) $ (1869.68) $ (1879.06) In view of the r e l a t i v e l y minor differences between these methods and the fa c t that the OBV curves are somewhat s i m i l a r ( i e : r i s i n g with time), i t was f e l t that any of the methods would be r e l a t i v e l y s a t i s f a c t o r y for th i s a n a l y s i s . However, i t i s f e l t that t h i s step represents both the weakest l i n k i n the OBV method and i n th i s model. Theoretical studies of support and resistance l e v e l s should be used to e s t a b l i s h new d e f i n i t i o n s and models p r i o r to further t e s t i n g of the OBV model. The current model w i l l default to the peak-trough method i f NPLAT i s zero. General The t e s t r e s u l t s for the f i v e stocks tested are reported i n Appendix I I I . Complete r e s u l t s are included for Bow Valley Industries and summary re s u l t s for the remainder of the stocks. The f i r s t section of the r e s u l t s both i n the complete and summarized versions contains the following information: i ) T i t l e of stock, i i ) Number of days for which the multiple buy p o l i c y and the single buy p o l i c y held stocks, i i i ) The cummulative t o t a l of the product of the do l l a r s invested times the f r a c t i o n of the year for which t h i s sum was invested. This i s reported Tor both the multiple and single buy p o l i c i e s , iv) The single buy and multiple buy p r o f i t s on a before commission cost basis for the purchase and sale of one share of stock, v) The TMP and PMP. 2 6 v i ) The average d a i l y volume of stock traded over the analysis period, AVOL. v i i ) The cummulative p r o f i t from the single and multiple buy p o l i c y cases. Review t e s t on p o20 , for these d e f i n i t i o n s . In addition, the f u l l printout includes the following information: i ) The day j . i i ) The input data, price PR, and volume traded VOL on day j . i i i ) The OBV on day j . iv) The designation, UP, DOWN, or undesignated. This information i s coded as 1, -1, or 0 re s p e c t i v e l y , v) The peaks and troughs are located i n the PETR column. Peaks are given a value of 100, and troughs a value of 200. vi ) The trend of f i e l d s i s reported under the TREND column as r i s i n g , f a l l i n g or doubtful, coded as 1, -1, or 0 re s p e c t i v e l y , v i i ) BUY signals are reported i n the column e n t i t l e d BUY. The number refers to the number of the sig n a l which has been generated. A, 0, (Zero) indicates that no s i g n a l has been generated. A s i g n a l higher than nine indicates that two signals have been received. For example, i n the CIGOL trade summary, an 18 i s reported. This means both a s i g n a l 1 and a s i g n a l 8. v i i i ) SELL signals are reported i n an analogous manner to BUY signals under the SELL column, ix) Single Buy Accounting has three columns, the net revenue received upon sale of the stock, the net cost of purchasing the stock and the p r o f i t received from the s a l e . The data i s a l l reported on the actual day of purchase although the sale does not occur u n t i l l a t e r . The day upon which the stocks were a c t u a l l y sold can be determined i n two ways. F i r s t , the SELL column can be scanned for the next day upon which a SELL s i g n a l i s received without also receiving a non-zero BUY s i g n a l . Secondly, the revenue column of the Multiple Buy Accounting can be scanned for an entry without a corresponding cost or p r o f i t entry. Either method w i l l locate the sale day. x) Multiple Buy Accounting i s recorded i n an analogous manner to Single Buy Accounting. The summary reports include only the day information i n a summarized form. In addition to the items l i s t e d above i n the f i r s t section, i t also includes: i ) The day j on which a BUY s i g n a l generated a purchase. i i ) The BUY s i g n a l , i i i ) The SELL s i g n a l which ultimately sold the stock purchased. iv) Single and Multiple Buy Accounting including net revenue from the sale of the stocks, the net purchase cost and the net revenue. The f u l l printout for BVI i s included i n Appendix III The stock sold for approximately $10.00 at the beginning of the te s t , rose gradually to around $13.00 over the f i r s t f i f t y days before r a p i d l y r i s i n g to $28.00 by day 102. After a short decline to below $24,00, the stock rose to $29o00 by day 175. A major decline over the next f i f t y days dropped the pr i c e of the stock to $23.00. A run drove the pri c e up to $37.00 on day 280, followed by a rapid decline to $19.00 just before the te s t concluded. Figure I i s a p l o t of th i s performance. The OBV over t h i s period appears to have gone through three stages. From the s t a r t to approximately day f i f t y -f i v e , the OBV gained quite slowly. However, i n the secod stage, the OBV rose r a p i d l y from less than 80,000 to about 520,000 i n f i f t y days of trading. The t h i r d stage, from about day 110 to the end of the period, was quite s i m i l a r to the f i r s t stage with the OBV fl u c t u a t i n g around a slow r i s e l i n e . The designations of UP's and DOWN'S, peaks and trough and trends requires no comment as i t follows d i r e c t l y from the mathematical r e l a t i o n s h i p s . I t should be re-emphasized that the program requires four peaks and troughs to determine the trend using the simple zig-zag t e s t * This means that i t i s possible i n thi s early period, before ther are s u f f i c i e n t peaks and troughs, that good buying opportu-n i t i e s may be missed because of a lack of a trend. For example, a BUY 6 s i g n a l would have been received on day 6 i f the trend had been r i s i n g . However, i t was not u n t i l day 38 that a trend was established and by that time, a pr i c e gain of $2.00 had taken place. Once a trend was established however, numerous BUY signals were received including signals 1 and 4 which also require a r i s i n g trend. A t o t a l of thirty-one BUY signals and t h i r t y - t h r e e SELL signals were received over the 325 day t e s t . The l a s t SELL s i g n a l was the only double SELL s i g n a l received i n the t e s t s . Three of these cancelled out due to both a BUY and SELL s i g n a l occurring on the same day. In the BVI case, as i n most of the cases, SELL s i g n a l 12 was the predominant SELL s i g n a l . For Bow Valley Industries, sixteen such signals occurred of which twelve entered into a trading s i t u a t i o n , a l l of which were p r o f i t a b l e . This subject w i l l be covered i n more d e t a i l i n the discussion of the s i g n a l correctness r a t i o . A t o t a l of fourteen single buy and twenty-five multiple buy trades were generated for BVI. The net p r o f i t s (loss) were $(103.23) and $263.59 r e s p e c t i v e l y . Of the fourteen s i n g l e buy trades, eight were p r o f i t a b l e and s i x were unprofitable. For the multiple buy p o l i c y , fourteen were p r o f i t a b l e and eleven were unprofitable. Signal 12 i n combination with various BUY signals accounted for twelve of the p r o f i t a b l e trades. The return on investment r e s u l t s for the f i v e stocks tested on the OBV model are reported i n Table I I I . The c a l c u l a t i o n follows equation (3), discussed p r e v i o u s l y 0 The r e s u l t s are for both a single buy p o l i c y i n which stock i s only bought i f there i s no inventory of stocks and for the multiple buy p o l i c y i n which stock i s purchased on a l l BUY signals unless a SELL s i g n a l also a r i s e s . In a single buy case, a cummulative loss of $973.97 or a negative return on investment of 27*1 per cent, per annum was recorded. These figures were a loss of $2510.54, or a negative return on investment of 35.3 per cent, per annum for the multiple buy case. The r e s u l t s tend to indicate that the single buy p o l i c y i s superior to the multiple buy p o l i c y . In four of the f i v e t e s t r e s u l t s , a s i n g l e buy p o l i c y was superior i n generating a higher l e v e l of p r o f i t s or protecting against losses. Also, on an o v e r a l l b a s i s , the s i n g l e buy p o l i c y was superior. Buy and Hold P o l i c y Table IV reports the p r o f i t s r e a l i z e d from the model tests r e l a t i v e to those which would be r e a l i z e d from either a. buy and hold p o l i c y over the f u l l period or a p a r t i a l term buy and hold p o l i c y . These r e s u l t s reveal that the buy and hold was superior i n a l l instances to the OBV model RETURN ON INVESTMENT FOR STOCKS TESTED BASED UPON MODIFIED RETURN EQUATION 2 7 STOCK 2 8 SINGLE BUY POLICY MULTIPLE BUY POLICY Net P r o f i t (Loss) Days Invested Percentage Return Net P r o f i t (Loss) Days Invested Percentage Return BVI $ (103.23) 145 ( 10.3)% $ 263.59 226 16.6 % CIGOL (921.04) 149 (196.5) (1869.68) 303 (197.0) CC ( 90.10) 192 ( 16.5) ( 626.14) 643 ( 34.0) GWS 614.42 107 172.0 353.66 226 41.6 PP (474.02) 150 ( 39.3) ( 631.97) 242 ( 33.1) TOTAL $(973.97) 743 $ (2510.54) 1639 AVERAGE (we ighed) ( 27.1)% 27 Equation used i s : Return on Investment = ( 35.3)% ( Net P r o f i t ) x ( 365 )  (C a p i t a l Invested)* ( T o t a l Days Funds Invested ) F u l l names of stocks tested were: Bow Valley Industries, Canadian I n d u s t r i a l Gas and O i l , Chemcell, Great West SAddlery, and P a c i f i c Petroleums. COMPARISON OF NET PROFIT REALIZED BY OBV METHOD RELATIVE TO NET PROFIT REALIZED FROM A BUY AND HOLD POLICY STOCK OBV PROFIT BUY AND HOLD PROFIT Single Buy Multiple Buy F u l l Term P a r i t a l Term' Po l i c y P o l i c y  BVI $ (103.23) $( 263.39) $1103.06 $ 1456.37 CIGOL (921.04) (1869.68) 34.37 173.00 CC ( 90.10) ( 626.14) 113.74 422.17 GWS 614.42 353.66 649.94 602.13 PP (474.02) ( 631.97) 1265.09 950.81 TOTAL $ (973.97) $ (2510.54) $3166.20 $ 3258.48 F u l l names of stocks tested were: Bow Valley Industries, Canadian I n d u s t r i a l Gas and O i l , Chemcell, Great West Saddlery, and P a c i f i c Petroleums. Review the text on page 38, before basing conclusions on t h i s data. Figures assume sale of stock at the end of period. P a r t i a l term i s the term over which the OBV method was ac t i v e . That i s the f i r s t BUY day for OBV i s the BUY day for buy and hold and the l a s t SELL day for OBV i s the SELL day for buy and hold. r e s u l t s . In only the case of Great West Saddlery did the OBV method generate p r o f i t s s i m i l a r to those from the buy and hold p o l i c y . P r o f i t Detection A b i l i t y The p r o f i t detection a b i l i t y i s presented i n Table V on a before transaction costs b a s i s . Although no standards are available for comparison of th i s method to other methods, i t i s i n t e r e s t i n g to note that the OBV method did i n a l l but two out of ten possible cases make p r o f i t a b l e decisions. I t i s a d d i t i o n a l l y i n t e r e s t i n g to note that the multiple buy p o l i c y i s more than twice as p r o f i t a b l e as the single buy p o l i c y on a before transaction costs b a s i s . The p r o f i t on an a f t e r transaction costs basis was, as previously reported i n Tables III and IV, the opposite; that i s , the single buy p o l i c y was generally superior to the multiple buy p o l i c y . Signal Correctness Ratio Tables VI and VII report the s i g n a l correctness r a t i o for the singl e and multiple buy cases. These tables indicate that on an o v e r a l l basis, less than one-half of the trades were p r o f i t a b l e . However, i n d i v i d u a l combinations such as those associated with SELL s i g n a l 12 and BUY signals 1, and 3 to 7, did show a s i g n i f i c a n t degree of accuracy r e l a t i v e to the other s i g n a l combinations. For the single PROFIT DETECTION ABILITY OF OBV METHOD ON A BEFORE COMMISSION COST BASIS STOC K? 2 THEORETICAL POSITIVE MAXIMUM, MAXIMUM^ PROFI IT PROFIT BVI $195.09 $103.36 CIGOL 65.16 33.02 CC 63.47 32.55 GWS 126.42 64.40 PP 170.86 92.12 TOTAL $621.00 $325.45 SINGLE BUY Actual % of % Of P r o f i t TMP PM? MULTIPLE BUY Actual % of P r o f i t TMP $ 9.12 4.7 % 8.8 % (4.12) ( 6.3) (12.4) 2.98 4.7 9.2 13.15 10.4 20.4 5.39 3.2 5.9 $26.52 $ 58.72 % of PMP $ 20.87 10.7 % 20.3 % ( 7.12) (10.9) (21.5) 8.20 12.7 25.2 15.86 12.6 24.8 13.79 8.0 14.9 AVERAGE 4.3 % 8.1 % 9.5 % 18.1 % 32 33 F u l l names of stocks tested were: Bow Valley Industries, Canadian I n d u s t r i a l Gas and O i l , Chemcell, Great West Saddlery and P a c i f i c Petroleums. Theoretical Maximum P r o f i t (TMP) i s the sum of a l l p r i c e changes. m TMP = • ]T Absolute Value pf (PR(J) - PR (J-l)) ?l, t=l Positive ^ Maximum P r o f i t (PMP) i s the sum of a l l price gains. PMP = i 51 ( pR( J) - PR (J-l)) where PR(J) > PR (J-l) buy p o l i c y , s i g n a l 12 was p r o f i t a b l e in. 21 out of 26 trades tested and 37 out of 45 for the multiple buy p o l i c y . These represent i n excess of seventy per cent of a l l p r o f i t a b l e trades. Most of the rule combinations were not tested i n these tests of the model. Although each of the 18 s i g n a l s , with the exceptions of s i g n a l 2, generated at l e a s t once, 35 many signals combinations did not occur. > ( The reason for sig n a l 2 not being activated was that c a l l e d for a large downward change i n the p r i c e without a corresponding change i n the OBVo As the stocks gen-e r a l l y moved i n an upward d i r e c t i o n for both p r i c e and OBV, t h i s s i g n a l would be expected to occur infrequently. Also, large price changes were combined with large volume changes. Number Of BUY Signal Number of SELL Signal 37 10 11 12 13 14 15 16 17 18 TOTAL 2 3 4 5 6 7 8 9 0 0 0 0 0 0 0 1 0 0 0 0 0 2 0 0 0 0 0 0 0 0 0 0 1 1 0 0 1 1 0 2 0 1 0 0 1 1 0 0 9 11 2 4 1 1 1 2 7 7 0 0 0 0 0 3 0 0 £ 0 0 1 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 1 3 1 1 0 2 1 5 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 1 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 1 5 0 0 9__ 19 4_ 11 2 2 2 5 9 21 1 2 0 0 TOTAL 0 3 2 5 21 26 0 5 1 1 0 1 3_ 19 1 3 0 2 28 65 36 Each Matrix element represents ( a ) 13 where: i i s the number of the BUY s i g n a l j i s the number of the SELL s i g n a l a i s the number of p r o f i t a b l e trades involving i and j b i s the t o t a l number of trades involving i and j The o r i g i n a l SELL signals were l i s t e d i n G r a n v i l l e , i b i d . , p. 95, as 1 - 9. These were renumbered as 10 - 18 to avoid confusion with the BUY s i g n a l . MATRIX RELATING THE TOTAL NUMBER OF BUY - SELL SIGNAL COMBINATIONS TO THE NUMBER WHICH RESULTED IN PROFITABLE TRADES FOR MULTIPLE BUY STRATEGY 3 8 Number of BUY Number of SELL S i g n a l 3 Signal ; 10 11 12 13 14 15 16 17 18 TOTAL 1 0 0 4 0 0 0 1 0 0 5 3 1 5 3 0 1 15 2 0 30 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 3 1 1 12 0 0 0 0 1 0 15 1 1 14 0 0 0 9 1 0 26 4 0 1 4 0 0 0 2 0 0 7 3 1 6 1 0 0 6 1 1 19 5 0 0 1 0 0 0 2 0 0 3 1 0 2 0 0 0 2 0 0 5 6 0 1 3 0 0 0 1 0 0 5 1 1 4 0 0 0 5 0 0 11 7 0 0 13 0 1 0 3 0 0 17 3 2 14 2 1 0 16 3 2 43 8 0 0 0 0 0 0 0 1 0 1 0 1 0 0 0 0 0 2 0 3 9 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 1 TOTAL 1 3 37 0 1 0 9 2 0 53 12 7 45 6 1 1 54 9 3 138 3 8 Each Matrix element represents ( a ) i i where; b i i s the number of the BUY si g n a l j i s the number of the SELL s i g n a l a i s the number of p r o f i t a b l e trades involving i and j b i s the t o t a l number of trades involving i and j The o r i g i n a l SELL signals were l i s t e d i n G r a n v i l l e , i b i d . , p. 95, as 1 - 9. These were renumbered as 10 - 18 to avoid confusion with the BUY s i g n a l . SUMMARY AND CONCLUSIONS The purpose of t h i s study has been to examine the OBV t e c h n i c a l analysis method and to c l a r i f y whether t h i s method has the a b i l i t y to p r e d i c t stock market performance,, I t was also hoped that i n d i v i d u a l parts of the method which gave superior r e s u l t s could be i s o l a t e d for further study. The main text of the thesis begain i n Chapter I I , which examined the OBV method. I t was f i r s t necessary to l i m i t the scope of the study by defining that p o r t i o n of the system described by Granville which a c t u a l l y comprised the OBV method. Other technical methods l i k e the 200 day moving average or methods which he described but did not integrate into his analysis were excluded. Short s e l l i n g and problems regarding p o r t f o l i o preferences and management problems were also excluded from the study. The discussion then presented the OBV method describing these i n mathmatical terms wherever p o s s i b l e . The BUY and SELL signals were descibed and r e l a t e d to Granville's analogies with ph y s i c a l laws. Comments regarding the appropriateness of these analogies were not included, p r i n c i p a l l y because the method does not depend upon these as assumptions. Furthermore the book was written to appeal to laymen rather than as a t h e o r e t i c a l work and there i s no evidence to indicate that G r a n v i l l e was using the analogies for any other purpose. The model of the OBV program and the computer programs developed were described i n Chapter I I I . The majority of the OBV method was suitable for programming and t h i s was described i n d e t a i l . However, due to inadequate d e f i n i t i o n s of support and resistance, several alternate methods were tested to determine the s e n s i t i v i t y of the model to d i f f e r e n t assumptions. A separate program was developed to produce plots of OBV and p r i c e against time for use i n v i s u a l determinations of support and resistance l e v e l s . . The programming of the BUY and SELL signals required the acceptance of several assumptions as to Granville's concept of terms such as "outpacing" or "sharply''. The techniques and values u t i l i z e d to handle these s i t u a t i o n s are f e l t to r e a l i s t i c a l l y represent either G r a n v i l l e ' s methods and intentions or a suitable assumption where his w r i t i n g was not c l e a r . However, a d i f f e r e n t student of the technique could accept d i f f e r e n t techniques and values without bias because much of Granville's work i s vague or changes to include information not generated as part of OBV method. The accounting section of the program used actual share purchase and commission costs based on trading of stock on the Toronto Stock Exchange. Two d i f f e r e n t purchase p o l i c i e s were tested. F i r s t , the p r o f i t s that would be yielded i f the investor bought stock only when he had no stock inventory and sold t h i s stock when a SELL s i g n a l was received. This was c a l l e d , 'the single buy p o l i c y ' . Secondly, the program calculates the p r o f i t s that would occur i f the investor purchased stock each time a BUY s i g n a l was recieved and sold a l l the stock upon a SELL s i g n a l . This was c a l l e d , 'the multiple buy p o l i c y ' . Chapter IV described the tests c a r r i e d out on the model and assessed the method according to a series of performance measures. The measures adopted were discussed f i r s t and included the following. F i r s t , a return on investment based on actual days of investment was calc u l a t e d . This form, based on actual days, was preferred to one based on the t o t a l analysis period because the OBV method signals the analyst when to purchase or s e l l the stock being analysed rather than giv i n g him t o t a l p o r t f o l i o advice. The second measure was a comparison with a buy and hold p o l i c y . This measure, i t should be re-emphasized, i s an EX POST measure i n that the stocks tested were selected for speculative a c t i v i t y and i t was known that they experienced large gains. The OBV method however, i s an EX ANTE method, i n that i t u t i l i z e s only h i s t o r i c a l data. Two buy and hold p o l i c i e s were tested. The f i r s t was for the entire period of the t e s t . The second allowed the OBV method to determine the s t a r t and f i n i s h of the period. This i s the buy and hold p o l i c y over the period that the OBV method was a c t i v e . The t h i r d measure used was c a l l e d 1 the p r o f i t detection a b i l i t y ' and was s p e c i a l l y developed for t h i s study. I t measured the a b i l i t y of the OBV method to detect and engage i n p r o f i t a b l e trades r e l a t i v e to the t h e o r e t i c a l maximum p r o f i t . This measure was on a before transaction costs b a s i s . Although the p r o f i t detection a b i l i t y i s a l i k e l y i n d i c a t o r of the ultimate confidence which an investor may have i n the method, i t i s d i f f i c u l t to judge i t s s u i t -a b i l i t y because there are no other standards on which to base a comparison. The l a s t measure used was also s p e c i a l l y developed for t h i s t h e s i s . I t measured the r a t i o of the number of times a BUY - SELL combination entered into p r o f i t a b l e trades r e l a t i v e to the t o t a l number of trades into which the combination entered. This measure was e n t i t l e d the s i g n a l correctness r a t i o . The model was tested on the following stocks : Bow Va l l e y Industries, Canadian I n d u s t r i a l Gas and O i l , Chemcell, Great West Saddlery, and P a c i f i c Petroleums. The period analysed was from May 1968 to August 1969 for a l l stocks except Canadian I n d u s t r i a l Gas and O i l whose time period was A p r i l 1969 to March 1970. General information about the firms was included i n the text. The major part of t h i s chapter was devoted to analysis of r e s u l t s of the t e s t s . The f i r s t r e s u l t s discussed were those from the intermediate stage whose function was to produce support and resistance l e v e l s as input to the main program. Several methods for e s t a b l i s h i n g support and resistance l e v e l s were analysed and the option has been l e f t to the future user of the model. However, for the stocks analysed, a l l of which had an OBV trending towards higher l e v e l s , the model was found to be quite i n s e n s i t i v e to the method used. Future work and general cases may not ex h i b i t t h i s c h a r a c t e r i s t i c therefore, further studies i n th i s area should be c a r r i e d out p r i o r to extensive t e s t i n g or use of the model. On the basis of return on investment, the performance of the OBV method was found to be quite variable with the majority of returns being negative. On an o v e r a l l basis the return on investment was also negative. Generally, the multiple, buy p o l i c y was less s a t i s f a c t o r y than the single buy p o l i c y . The buy and hold p o l i c y was found to be superior to the OBV method. This was true even i f the OBV method determined the buy and hold period. Only i n the case of Bow Valley Industries did the OBV method p r o f i t approach the buy and hold p r o f i t . The p r o f i t detection a b i l i t y indicated that both the s i n g l e and multiple buy p o l i c i e s were able to detect p r o f i t a b l e trade opportunities on a before transaction costs b a s i s . The multiple buy p o l i c y was found to be superior to the singl e buy p o l i c y . Further t e s t i n g of the model over longer periods w i l l be required to determine i f t h i s a b i l i t y i s i n fa c t r e a l , or due only to the period and stocks tested. The s i g n a l correctness r a t i o indicated that, of the BUY - SELL s i g n a l combinations tested, less than one-h a l f were involved i n p r o f i t a b l e trading s i t u a t i o n s . However, c e r t a i n s i g n a l combinations were predominantly involved i n p r o f i t a b l e trading s i t u a t i o n s . BUY signals 1, and 3 to 7, engaged with SELL s i g n a l 12 were found to comprise less than f o r t y - f i v e per cent of the t o t a l s i g n a l combinations tested but i n excess of seventy per cent of the t o t a l p r o f i t a b l e trades. In summary the basic purposes of t h i s paper have been p a r t i a l l y s a t i s f i e d i n that the model of the OBV method has been b u i l t and tested. However, whether the OBV method w i l l ultimately become a useful tool w i l l require further t e s t i n g and refinement of the model. The thesis has also determined c e r t a i n portions of the method which may become the basis of new models. As i n most studies, t h i s study has resolved the major area of deficiency and i s o l a t e d areas for further study. I f the OBV method i s to become widely accepted, these areas of d i f f i c u l t y must be c l a r i f i e d and used as a basis for improving the 'model used i n t h i s t h e s i s . F i r s t , a precise d e f i n i t i o n and model must be b u i l t for support and resistance l e v e l s . The d e f i n i t i o n s of the author and Gr a n v i l l e are inadequate to handle these concepts. Theoretical studies of the basic p r i n c i p a l s underlying support and resistance l e v e l s would be the l o g i c a l f i r s t step to resolving t h i s problem. Secondly, the assumptions r e l a t i n g to those signals which are based upon vague d e f i n i t i o n s by Granville should be tested to determine the s e n s i t i v i t y of the model to changes i n the l e v e l s . In p a r t i c u l a r signals 2,3,11 and 12 should be studied. F i n a l l y , and perhaps of more consequence, i f i t i s accepted that the work of the author represents a r e a l i s t i c approach to t e s t i n g the OBV method and the model i s constructed i n a suitable manner, then the student of the method may wish to discard those sections which are less successful and accept those which have experienced a greater degree of success. As a f i r s t step, the author would suggest that studies be c a r r i e d out to determine the e f f e c t of abandonment of various s i g n a l s . Cochran, Murray and Hay, Stockbrokers. Commission Rates  and Commission Tables, Toronto Stock Exchange, Toronto, Ontario, unpublished, 1967. F i n a n c i a l Post, Survey of I n d u s t r i a l s , 1970. Toronto, Ontario, McLean-Hunter, 1970. F i n a n c i a l Post, Survey of O i l s , 1970. Toronto, Ontario, McLean-Hunter, 1970. G r a n v i l l e , Joseph E. New Key to Stock Market P r o f i t s , Englewood-Cliffs, N.J., Prentice-Hall Inc., 1963. Toronto Globe and Mail Business Report. May 1968-June 1970 Toronto Stock Exchange Daily Report. May 1968-September 1969. AA ADELT ASELL AVOL BB BUY CO COST D DD DDD DELT DES DVOL - A counting device. - The number of days that a stock was owned for the multiple buy case. Fl o a t i n g point form of MDELT. - A conversion device to transfer a SELL s i g n a l from the day on which i t occurred to another day. Used for summary form of printout to l i s t BUY and SELL s i g n a l for each trade together. - The average d a i l y trading volume over the t e s t period. - A transfer device used i n the p l o t program to transfer the day to the p l o t . - A buy s i g n a l . The value of buy i s equal to the number of the s i g n a l which caused the buy. - A counting device to keep track of the number of c l u s t e r s . - Is the cost of stock purchased .in the single buy case of the accounting s e c t i o n . - As for CO but for multiple buy accounting. - A transfer device between the main program and ACOUNT. I t i s the gross purchase p r i c e or cost of the stocks purchased or s o l d . - As for D. I t transfers commission costs. - As for D and DD. I t transfers Ontario Stock Transfer Tax. - The number of days that a stock was owned for the single buy p o l i c y case. The f l o a t i n g point form of IDELT. - Designation. 1 = UP, 0 = no designation, -1 DOWN. - The cummulative volume of stocks traded on day j , when the pri c e of the stock declined from day j to day j - l . I IB I COPY IDELT II INV IR I RULE IS IS DAY ISUMM J, J J , J J J , J J J J JB K L M - A counter used for numerous purposes. - A counter used i n the main program. - A command s i g n a l to p r i n t a d d i t i o n a l copies of output. ICOPY copies w i l l be received. Defaults to 1. - The integer version of DELT. J J - J, where J J i s the day on which stock was purchased and J , the day when the stock was s o l d . - A counter used i n tes t of signals 8,9,17,18 . - A si g n a l to record whether or not the program i s currently holding stock. - A counter used i n the 8,9,17,18 group t e s t to record a number of days. - I f given an integer value, IRULE w i l l cause a l i s t of the BUY and SELL signals to be printed. - A si g n a l used to determine i f the accounting section i s c a l c u l a t i n g a purchase or s a l e . IS i s for a sal e . - The cummulative value of a l l time periods i n which stock was held for the single buy case. The cummulative value of a l l IDELT's. - A coding s i g n a l to the program as to whether to p r i n t the program i n f u l l or i n summarized form. I f not s p e c i f i e d , a f u l l printout w i l l be received. Any integer greater than zero i n column 12 of the M card w i l l give a summary. - General notation for a given day. Use varies according to need within the program. - A si g n a l i n the accounting section to indicate i f the current transaction i s buying or s e l l i n g stock. - The day on which a support or resistance l e v e l became apparent. - A general counter. - The t o t a l number of days i n the t e s t for which data has been given. Includes holidays with price of previous trading day, but zero volume. MDELT NPLAT NN OBV OBVN PC PETR PLAT PMP POINTS POS PPOINTS PR PROF PROFIT RELV RES - The t o t a l number of days for which the multiple buy p o l i c y case has held stock. The cummulative value of MDELT„ Integer form of XMDAY. - The number of days that stock was held for a given transaction i n the multiple buy p o l i c y case. Integer form of ADELT. - The number of support and resistance lev e l s that are to be read into the program as data. I f blank or zero, the program w i l l use peaks and troughs as support and resistance l e v e l s . - A general counter used i n the 8,9,17,18 s i g n a l group t e s t . - The on-balance volume, OBV = UVOL - DVOL. - The difference between the OBV of two successive days. OBVN = OBV(J) - OBV(J-l). - The difference i n the stock c l o s i n g p r i c e on two successive days. PC(J) = PR(J) - PR ( J - l ) . - A dummy variable to record the l o c a t i o n of peaks and troughs. Values of 100 and 200 represent peaks and troughs r e s p e c t i v e l y . - The OBV value of a support or resistance l e v e l . - The sum of a l l p o s i t i v e price changes - PC. - The before transaction costs t o t a l p r o f i t for:, the single buy p o l i c y case. - A sequence ordering variable for r e t r i v a l of peaks and troughs. - The t o t a l p r o f i t for the multiple buy p o l i c y case, before tranaction costs. - The d a i l y stock c l o s i n g p r i c e . - The p r o f i t for each trade i n the single buy po l i c y case. - The p r o f i t for each trade i n the multiple buy p o l i c y case. - The d a i l y volume r e l a t i v e to the average d a i l y volume. RELV = VOL/AVOL. - The next adjacent resistance l e v e l expressed i n OBV. REV RE VI RR SELL SINP SDYR SIPN SR The net afte r transaction costs revenue for the multiple buy p o l i c y case for a single trade. The net afte r transaction costs revenue for the single buy p o l i c y case for a single trade. A transfer variable to transfer PR between the main program and ACOUNT. A s e l l s i g n a l to s e l l stock. The value given by the program i s the number of the s i g n a l which generated the s e l l . A reference point at the lowest OBV l e v e l when the OBV changed from d e c l i n i n g to increasing. SI stands for sign, N for negative, P for positive, The accumulative product of d o l l a r s invested times the f r a c t i o n df a year that the stock was held, for single buy p o l i c y . As for SINP but for maximum l e v e l s . A general name for a support or resistance l e v e l when a l l SR's are arranged i n ascending order. SSORT SUM A l i b r a r y program used to s o r t support and resistance l e v e l s into ascending order. An accumulator to t o t a l the volume of stock traded i n the t e s t period. Used i n AVOL c a l c u l a t i o n . SUP TITLE The support l e v e l nearest to the current OBV l e v e l . Any t i t l e up to 72 characters described on the f i r s t data card. TMP TREND UVOL The t h e o r e t i c a l maximum p r o f i t , a l l p r i c e changes. The sum of The trend calculated using a fourpoint zig-zag t e s t . See discussion i n t e s t . A value of +1 represents a r i s i n g trend, 0 a doubtful trend, and -1 a f a l l i n g trend. The cummulative sum of d a i l y volumes traded for days on which the pr i c e increased from the previous day. The t o t a l number of days that stock was owned for the multiple buy p o l i c y case. Floating point form of MMDAT. A counter used to record the number of actual trading days for AVOL c a l c u l a t i o n . A comparison value used i n the determination of designations. Either (OBV - SINP) or (OBV - SIPN). APPENDIX I LISTING OF OBV PROGRAM XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX1 SSIGSJON E575 T=100 P=100 PRIO=L *» L A S T SIGNON WAS: 19: 25: 23 04-19-71 _ _ _ _ USSR "R575" SIGNED OK AT 19:47:27 OH 04-19-71 S L I S T GRAN 1 C PROGRAM ON GRAN VILLT.S OS BALANCE VOLUME 2 DIMENSION PR (530) , VOL (500) , PC (500) , OP.V (500) ,08 VN (5 00)' , DES (500) , 3 XPETR (5 00) ,POS(500),TREND (500) , BUY (5 00) , SELL (500), PROFIT (500) , COST ( 4 X500),REV (500) , PEV1 (5 00) , CO (500) ,PROF (500) , IB ( 500) 5 DIMENSION K (500) ,SR (500) , SUP (500) , R ES (500) , PLAT (5~00) 6 DIMENSION T I T L E ( 2 5 ) 7 DIMENSION ASELL(500) 8 INTE32R+4 TREND 9 C READ T I T L E CARD FIRST 10 C READ a CARD SECOND , 11 C READ THE PRICE AND VOL. DATA THIRD • 12 C READ K AND PLAT LAST 13 C FIRST WHOLE CARD IS FOR T I T L E 14 READ (5,723) ( T I T L E (I) ,1=1, 18) 15 728 FOR MAT (1X,A4,17A4) 16 C H CARD* COL. 1-4 i-i, 10-12 ISUMH, 20-21 HPLAT, 3 1-33 I RULE 17 C ICOPY COL. 40-42 18 C fl IS THE NUMBER OF DAYS DATA FOR TESTING 19 C I F ISUKK IS 0,FULL PRINTOUT. IF 1,CSLY A SUMMARY 20- C NPLAT IS THE NUMBER CF SUPPORT AND RESISTANCE LEVELS 21 C ICOPY IS THE NUMBER CF COPIES REQUIRED. DEFAULTS TO 1 22 C IF IRUL E GT 0. LIST OF RULES 'ri ILL HE PRINTED . [ 23 READ (5 ,25 2) «,ISU!«K, NPLAT, IP. ULE, ICOPY 24 252 FORMAT (14,5X,13,7X,I5.6X,13, 6X, 13) 25 C READ THE PSICS ADD VOLUME DATA 26 DO 10 J= 1 ,M,5 2 7 READ (5 , 10000) PR (J),VOL (J) ,PR(J + 1),VOL (J+1) ,PR (J + 2) ,VCL (J+2) ,PR (J + 3 28 X) , VOL (J>-3) . PR (J + H ) , VOL (J+U) ' 29 10000 FORMAT (F6 72,IX,F7.0, f X ,76.2, 1X.F7. 0,1X.F6.2,1X,F7.0,IX,F6.2,1X,F7. 30 XO, 1X,F6.2, 1Y.F7.0) 31 10 CONTINUE 32 C READ THE PLAT DATA 33 C PLAT IS THE OBV LEVEL CF THE SUP. OR RES. 34 C K IS THE NUM BER OF THE DAY UPON WHICH A SUP. OR RES. LEVEL APPEARED 35 I F (NPLAT.EQ.O) GO TO 810 36 DO 810 J=1,NPLAT 37 READ(5,801) K ( J ) , P L A T ( J ) 38 801 FORMAT (16,4X,F10.0) 3 9 810 CONTINUE UO TMP = 0  41 Pt'iP=0TT5 : 42 DO 260 J=1,M 43 DES (J)=0.0 44 PSTR (J)=0.0 45 TREND (J) = 0 46 BUY (J ) =0.0 47 S S L L ( J ) = 0 . 0 48 RE V 1 (J) =0.0 49 . CO(J)=0.0 50 PSOF (J)=0.0 51 REV(J)=0.0 52 COST (J) =0.0 ; -PROFIT (J)=0.0 PLAT (J)=0.0 RES (J) =0.0 SUP (J)=0.0 SH (J) =0.0 260 CONTINUE  DO 20 J = 2,M PC (J) =PR (J)-PR (J-1) THP=TMP + ABS(PC (J)) r I F ( P C ( J ) ) 20,20,22 22 PKP=PHP + PC(J) 20 CONTINUE  UVOL=0 DVOL=0 DO 30 J = 2,M IF (PC (J) .GT.O) GO TO 1 I F (PC (J) .LT.O) GO TO 2 IF (PC (J) .EQ.O) GO TO 3  1 UVOL=UVOL+VOL(J) GO TO 3 2 DVOL=DVOL+VOL(J) GO TO 3 3 OBV (J)=UVOL-DVOL 30 CONTINUE  SIPN=0 SIUP=0 Y = 0 OBVN(2)=0.0 DF.S (2) =0.0 101 DO 10 J = 3,M • DES (J) =0 OBVN (J) =OB V (J) -OBV (J-1) IF (OBVN (J) .GT.O) GO TO 4 IF (OBVII (J) .LT.O) GO TO 5 IF (OBVN (J).EQ.O) GO TO 6 4 Y = OBV (J)-SIPN  IF (Y.GT.O) DES (J) = 1 IF (OBVN (J-1) .LT.0) SINP=OBV(J-1) IF (OBVN (J-1).EQ.0.0) GO TO 680 681 IF (DES (J) .EQ.1.0) GO TO 622 GO TO 40 680 N=2  683 IF (OBVN (J-N) ) 684,682,681 682 N=N+1 GO TO 683 684 SINP=03V(J-N) GO TO 681 622 N = 1  IF (DES (J) .EQ.-1. 0) GO TO 62"0 DO 623 N=1,100 IF (DES (J-N).EQ.- 1) G O T O 625 IF (DES (J-N) .EQ.1.0) GO TO 40 623 CONTINUE GO TO 40  625 PETR (J-N) ="200.00 GO TO 40 5 Y = OBV (J) -SINP IF (Y.LT.O) DES(J)=-1 IF (OBVN (J-1) .GT.O) SIPN=OBV (J-1) • IF (OBVN (J-1) .EQ.0.0) GO TO 6B5 f U3 689 IF (DES (J) .EQ.-1.0) GO TO 620 114 GO TO U0 1 15 685 N = 2 1 16 686 I F (OBVN (J-N)) 689,687,688 117 687 N=N+1 • VI8 GO TO 686  f 1 19 688 SIPN = OBV (J-N) 120 GO TO 689 121 620 N=1 122 DO 62 1 N = 1,100 123 IF (DSS (J-N).EQ.1) GO TO 626 124 IF (DES (J-N) .EQ.-1) G O T O 10  125 621 CONTINUE 126 GO TO 40 127 626 PETS (J-N) = 100.00 128 GO TO 40 129 6 DES (J)=DES (J-1) 130 40 CONTINUE  131 1=1 132 105 DO 50 J=3,M 133 IF (PETR (J).LT.99.0) GO TO 50 134 POS (I)=J 135 1=1+1 136 50 CONTINUE  137 LL=I-1 138 DO 604 1=1,L 139 N=I 140 604 CONTINUE 141 C START OF TREND ANALYSIS 142 R=0. 0  143- D=0.0 144 110 DO 60 1=4,LL 145 J=POS (I) 146 JJ=POS (1-1) ' 147 JJJ=POS(I-2) 14J3 J J J J = POS (1-3)  149 IF (D.EQ.1.0) GO TO 117 150 IF (R. EQ.1.0) GO TO 112 151 IF (OBV (J)-OBV (JJJ).GT.O.O) GO TO 7 152 IF (OBV (J)-OBV (JJJ).LT.O.0) GO TO 8 153 C RISING TRENDS 154 7 CONTINUE  155 IF (OBV (JJ) .LT.OBV ( J J J J ) ) GO TO 60 156 IF (PETR (J) .EQ.100.0) GC TO 9 157 IF (PETR (J) .EQ. 200. 0) GO TO 12 158. C FIRST RISING DAY ROUTINE 159 9 DO 70 L = J J , J 160 IF (OBV (L) .GT.OBV ( J J J ) ) TREND (L) = 1 161 IF (OBV (L) .LT.OBV (J J J ) ) TREND (L) =0 162 70 CONTINUE 163 GO TO 12 164 12 R=1.0 165 GO TO 60 1_66 112 CONTINUE :  167 C CONTINUING BISINC DAY ROUTINE 168 IF (OBV (J) .LT.OBV ( J J J ) ) GO TO 14 169 DO 80 L = J J , J 170 TR E N D(L)= 1 171 80 CONTINUE 172 GO TO 60 173 14 R = 0.0 174 C LAST RISING DAY ROUTINE 175 IF (PETR (J) .EQ.100.0) GO TO 15 176 16 DO 120 L=JJ,J 177 178 IF (OBV (L) . GT.OBV (JJJ) ) TREND (L) = 1 IF (OBV (L) .LT.OBV (JJJ )) TREND (L) = 0 ? 179 120 CONTINUE 180 GO TO 60 181 15 CONTINUE 182 DO 130 L=JJ,J 183 TREND (L) = 1 184 130 CONTINUE 1 85 GO TO 60 1 86 C START OF FALLING TREND 1 87 8 IF (OBV (JJ)-OBV (JJJJ) .GT.O.0) GO TO 60 188 IF(PETR(J) .EQ.100.0) GO TO 17 189 IF (PETR (J) .EQ.200.0) GO TO 18 190 18 CONTINUE 191 C FIRST FALLING DAY ROUTINE 192 DO 140 L=JJ,J 193 IF (OBV (L) .LT.OBV (JJJ) ) TSEND (L) =-1 194 IF (OBV (L) . GT.OBV (JJJ) ) TREND (L) = 0 195 140 CONTINUE . 196 17 D=1.0 197 GO TO 60 198 117 CONTINUE 1 99 C CONTINUING FALLING DAY ROUTINE 200 IF (OBV (J) .GT.OBV (JJJ)) GO TO 21 201 DO 150 L=JJ,J 202 TREND (L)=-1 203 150 CONTINUE 204 GO TO 60 205 21 D=0.0 206 c LAST FALLING DAY ROUTINE 207 IF (PETR (J) .EQ. 200. 0) GO TO 941 208 DO 160 L=JJ,J 209 IF (OBV (L) .LT.OBV (JJJ ) ) TREND (L) = - 1 210 IF (OBV (L) .GT.OBV (JJJ)) GO TO 60 211 160 CONTINUE 212 GO TO 60 213 941 DO 950 L=JJ,J 214 TRSND(L)=-1 215 9 50 CONTINUE 216 GO TO 60 2 17 60 CONTINUE 218 c THIS SECTION WILL TEST RULES2,3,11,12 219 SUM=0.0 220 XH=1.0 22 1 DO 520 J=1,M 222 IF (VOL (J) .EQ.O.0) GO TO 520 223 SUM=SUH + VOL(J) 224 XH=XN +1.0 225 520 CONTINUE 226 AVOL=SUH/XN 227 DO 180 J=3,M 228 PC (J) =PR (J)-PR (J-1) 229 RELV= VOL (J)/AVOL 230 IF (RELV.LT.2. 50) GO TO 5.41 23 1 IF (OBV (J) .LT. OBV (J-1).AND.RELV.GE. 2.50) BUY (J) = BUY (J) *1 0.0 + 3.0 232 IF(OBV (J) .GT. OBV(J-1)) SELL(J) = 100.0*SELL (J) +1 2.0 233 541 IF (PR (J) .GT. 1. AND.PR (J ) .LT. 10) PM=1.00 234 IF (PR (J) .GT.10.AND.PR (J) .LT.20) PH=1.50 235 IF (PR (J) .GT.20.AND.PR (J).LT.50) PM = 2.00 236 IF (PR (J) .GT. 50.00) PK=2.50 237 IF (PC (J ) .LT. PM) GO TO 180 238 IF (RELV.EQ.0.0) GO TO 180 239 IF (RELV.GT.2.00) GO TO 180 240 546 IF (PC (J) . GT.O) SELL(J) = 1 •U100*SELL (J) 241 IF (PC(J) .LT.O) BUY (J)=2+10*BUY (J) 242 GO TO 180 243 542 WRITE(6,543) J,RELV,PM, PC(J) 244 543 FORMAT (1X ,'RULE TEST 2, 11, J=«, 14, 'RELV=»,F10.2,2X,•PM=«,F10.2,2X, 245 X'PC(J) = »,F10.2) 246 GO TO 546 247 180 CONTINUE 248 C . THIS SECTION WILL TEST FOR RULES 4,6,7,10, IH 249 DO 190 J = 3,M 250 IF (DES (J) .EQ.O) GO TO 190 251 IF(DES (J) .LT.O) GO TO 250 252 IF (J-1.EQ.1) GO TO 190 253 IF (DES (J-1) .LT.O) GO TO 31 254 IF (DES (J-1) .GT.O) GO TO 190 255 IF (DES (J-1) .EQ.O) GOTO 32 256 31 IF (TREND (J).GT.O) GO TO 1010 257 GO TO 33 258 1010 BUY (J) =6.0+'10.0*BOY (J) 259 GO TO 190 260 32 IF (J-2.EQ.I) GO TO 190 261 IF (DES (J-2) .LT.O) GOTO 33 262 IF (DES (J-2) .GT.O) GO TO 34 263 IF (DES (J-2) . EQ.O) GOTO 35 264 33 IF (TREND (J) . EQ. 0) GO TO 190 265 IF (TREND(J) .LT.O) GO TO 36 _ _ _ _ 266 GO TO 190 267 36 SELL (J)=10 + 100*SELL(J) 268 GO TO 190 269 35 JJ=J-3 270 IF (JJ.EQ. 1) GO TO 190 271 37 IF (DES (JJ) .LT.O) GO TO 33 272 IF (DES (JJ) .GT.O) GO TO 38 273 JJ=JJ- 1 274 IF (JJ.GT.O) GO TO 37 275 GO TO 190 276 38 BUI (J)=7+10*BUY (J) 277 GO TO 190' 278 34 C=0 279 JJ=J-3 280 39 IF (JJ.EQ.1) GO TO 190 281 IF (DES (JJ) .LT.O) GO TO 190 282 IF (DES (JJ).EQ.O) GO TO 41 2 83 IF (JJ- 1.EQ.1) GO TO 190 2 84 IF (DES (JJ—1) .LT. 0) GO TO 190 285 IF (DES (JJ- 1) . LT. 0) GO TO 190 286 IF (DES (JJ-1) .EQ.O) GOTO 190 2 87 IF (JJ-2.EQ.1) GO TO 190 2 88 IF (DES (JJ-2) . EQ. 0) GOTO 190 289 IF (DES (JJ-2) .LT.O) GO TO 190 290 IF (C.EQ.3) GO TO 42 291 IF (JJ-3.EQ.1) GO TO 190 292 IF (DES (JJ-3) . LT. 0) GOTO 190 I i 293 IF (DES (JJ-3) .GT.O) GO TO 43 294 43 C=C + 1 295 J J = J J - 4 296 IF (C.LT.3) GO TO 39 297 42 SELL (J)=14 + 100*SELL (J) < 298 GO TO 190 ? 299 / 41 J J = J J - 1 300 IF ( J J . E Q . O ) GO TO 190 301 GO TO 39 302 C THIS COMPLETES THE OP SIDE " . " ~ 3 03 C THIS SECTION WILL TEST SIGNALS 1,5,13,15,16 304 250 IF (DES ( J - 1 ) . LT.O) GO TO 190 3 05 IF (DES (J-1) .GT.O) GO TO 81 306 IF (DES (J-1).EQ.O) GO TO 82 307 81 IF (TREND(J) .LT.O) G O T O 1011 308 GO TO 83 309 1011 S E L L ( J ) = 1 5 . 0 + 100.0 *S ELL (J) 3 10 GO TO 190 311 82 IF (DES (J-2) . GT.O) GO TO 83 312 IF (DES (J-2) . LT.O) GO TO 84 313 IF (DES (J-2) . EQ.O) GO TO 85 314 83 IF (TREND (J) . EQ.O) G O T O 190 " " 315 IF (TREND (J) .LT.O) GO TO 86 316 IF (TREND (J) . GT. 0) CONTINUE 317 BUY (J) = 1+10*BUY (J) 318 GO TO 190 319 86 CONTINUE 320 GO TO 190 321 85 JJ=J-3 322 IF (JJ.EQ.1) GO TO 190 323 87 IF (DES (JJ) .GT.O) GO TO 83 324 IF (DES (JJ ) . L T . O ) GO TO 83 325 J J = J J - 1 326 IF (JJ.GT.1) GO TO 87 327 GO TO 190 32 8 88 SELL (J)=16 + 100*SELL(J) 32 9 GO TO 190 330 . 84 C=0 331 JJ=J-3 332 89 IF (JJ.EQ.1) GO TO 190 333 IF (DES (JJ) .GT.O) GO TO 190 334 IF (DES (JJ) .EQ.O) GO TO 91 335 IF (JJ-1.EQ.1) GO TO 190 336 IF (DES (JJ-1) .GT.O) G O T O 190 337 IF (DES (JJ-1) .EQ.O) GO TO 190 338 IF ( J J - 2. EQ. 1) GO TO 190 " 339 IF (DES (JJ-2) .EQ.O) GO TO 94 340 IF (DES (JJ-2) . GT. 0) G O T O 190 34 1 IF(C.EQ.3) GO TO 92 342 IF (JJ-3.EQ.1) GO TO 190 343 IF (DES (JJ-3) .GT.O) G O T O 190 344 IF (DES (JJ-3) . LT. 0) GO TO 93 345 93 C=C+1 346 JJ=J-4 347 IF (C.LT.3) GO TO 89 348 92 BUY (J)=5+10*BUY (J) 349 GO TO 190 350 91 J J = J J - 1 ' • • -351 I F (JJ.EQ.1) GO TO 190 352 GO TO 89 c 353 354 94 IF (C. EQ.O) GO TO 93 GO TO 190 355 190 CONTINUE 356 Z THIS SECTION WILL TEST RULES 8,9,17,18 357 C K IS THE DAY ON WHICH A SUPPORT OR RESISTANCE BECAHE APPARENT \ 358 L=1 r 359 DO 83 0 J=3,H 3 60 361 IF (NPLAT.EQ.O) K(L)=POS(L) IF (K (L) .EQ.J) GO TO 802 362 GO TO 805 363 802 CONTINUE 364 IF (NPLAT.EQ.O) PLAT(L)= OBV(J) 365 SR (L) =PLAT (L) 366 CALL SSORT(SR,L,3) 367 L=L+1 368 IF(L.LT.3) GO TO 830 3 69 GO TO 805 370 805 IF (L.LT.3) GO TO 830 371 NN= 1 3 72 806 IF (SR (NN) .LE.OBV (J) . AND.SR (HN+1) .3E.OBV (J) ) GO TO 807 373 N N= NN+ 1 374 GO TO 806 ' - - • 375 807 SUP (J) =SR (NN) 376 RES (J)=SR(NN+1) 377 IF (SUP (J) .NE.SUP (J- 1 ) .OR. RES (.J) . NE.RES (J-1) ) GO TO 808 373 GO TO 820 379 808 IF (OBV (J) .GT.OBV (J-1)) GO TO 809 380 GO TO 811 381 809 IR=0 3 82 11=0 3 83 812 IF (DES (J-II)) 813,814,815 3 84 813 CONTINUE 3 85 544 IF(IR.LE.2) BUY (J) = 10.0*BUY(J) +9.0 3 86 GO TO 820 3 87 814 11=11+1 388 GO TO 812 389 815 IR=IR+1 390 IF (IR.LT.3) GO TO 812 391 GO TO 820 3 92 811 IF (OBV (J).EQ.OBV (J-1)) GO TO 820 ' ' ' " 3 93 IR=0 394 11 = 0 395 816 IF (BES (J-II) ) 817,818,819 396 817 IR=IR+1 397 IF (IR.LT.3) GO TO 816 398 GO TO 8 20 399 818 11=11+1 400 GO TO 816 401 819 CONTINUE 402 IF (IR. LE. 2) SELL (J) = 100. 0*SELL (J) +18.0 403 GO TO 820 404 820 IF (DES (J) ) 821 , 830, 822 * " ' " 405 821 AA=1.0 406 N=0 407 823 IF (SUP (J-N) .NS. SUP (J-N-1) ) GO TO 830 4 08 IF (DES (J-N).EQ.-1.0) AA=AA+1.0 409 IF (AA.GT.3.0) GO TO 830 4 10 IF (DES (J-N).GT.0.0) GO TO 824 "" 411 H=N+1 412 GO TO 823 413 824 CONTINUE s 414 IF (J-5.LE.JJJ) GO TO 830 415 IF (AA.LE.3.0) BUY (J)=10.0*BUY (J) +8.0 416 JJJ=J 417 GO TO 830 V 418 822 AA=1.0 ?• 419 N=0 420 825 IF (RES (J-N) .NE. RES (J-N- 1) ) GO TO 830 421 IF (DES (J-N) .EQ.1.0) AA=AA+1.0 422 IF(AA.GT.3.0) GO TO 830 423 IF(DES(J-N).EQ.-1.0) GO TO 826 424 N=N+ 1 425 GO TO 825 426 826 CONTINUE 427 IF (J-S.LE.JJJJ) GO TO 830 428 IF (AA.LE.3.0) SELL (J) = 100.0*SELL(J) + 17.0 429 JJJJ=J 430 GO TO 830 43 1 830 CONTINUE 432 DO 353 J=1,H 433 IF (PR (J) .EQ.O.0) GO TO 354 434 . GO TO 353 * 435 354 BUY (J)=0.0 436 SELL(J)=0.0 437 TREND (J) =0 438 DES(J)=0.0 439 353 CONTINUE 440 C THIS SECTION HILL TEST SIGNALS 4,13 * 441 DO 900 J=2,M 442 IF (TREND (J).EQ.1) GO TO 913 443 IF (TREND(J) .NE.-1) GO TO 900 444 GO TO 920 445 913 IF (TREND(J-1) .NE.0) GO TO 900 446 910 N=0 " ~ . 447 911 JJ=J+N 448 IF (DES (JJ) .EQ. 1.0.OR.TREND(JJ).NE. 1) GO TO 912 449 N=N+1 450 IF (JJ.GE.M) GO TO 900 451 GO TO 911 452 912 IF (TREND (JJ) . EQ. 1) BUY (JJ) =BUY (JJ) * 10.0+4.0 453 GO TO 900 454 . 920 IF (TREND (J-1) .NE.0) GO TO 900 455 H=0 456 921 JJ=J+N 457 IF (DES (JJ) .EQ.-1.0.OR.TREND(JJ).NE.-1) GO TO 922 458 N = N+ 1 459 IF (JJ.GE.M) GO TO 900 460 GO TO 921 461 922 IF (TREND(JJ) .EQ.-1) S ELL (JJ) = SELL (JJ) * 100.0 + 13.0 462 GO TO 900 463 900 CONTINUE 464 C SINGLE BUY ACCOUNTING " " " " " " ""' 465 INV=0 466 POINTS = 0.0 '167 ISBAY=0 468 SDYR=0.0 469 340 DO 3 10 J=3,M 470 " IF (BUY (J) . GT. 0) GO TO 6 1 " " " ""' 471 IF (SELL (J) .GT.O) GO TO 62 472 GO TO 310 473 61 CONTINUE 474 IF (SELL (J) .GT. 1) GO TO 310 475 IF (IliV. GT.O) GO TO 3 10 4 76 JB=1 477 GO TO 63 4 78 62 CONTINUE  479 IF(INV.EQ.O) GO TO 310 480 IS=1 481 GO TO 63 482 63 CONTINUE 483 CALL ACOUNT(PR (J),D,EC,DDD) 4 84 IF (JB. EQ. 1) GO TO 64  485 IF (IS.EQ.1) GO TO 65 486 64 CO (J) =D+DD+DDD 487 JB=0 4 88 JJ=J 489 INV=1 490 GO TO 310  491 65 REV 1 (JJ) =D-DD 492 PROF (JJ) =REV1 (JJ)-CO (JJ) 493 POINTS= POINTS + PR(J)-PR(JJ) 494 IDELTJ=J-JJ 495 ISDAY=ISDAY+IDELTJ 496 DELTJ=ID ELTJ • 497 S DYR=S DYR+ CO ( J J ) * DELTJ/365.0 498 IS=0 499 INV=0 500 GO TO 310 " 501 310 CONTINUE 502 GO TO 72  503 72 CONTINUE 504 C MULTIPLE BUY SITUATION 505 PPOINT = 0.0 506 XMDYR =0.0 507 MHDAY = 0 508 INV = 0 509 JJ=3 510 DO 320 J=3,M 511 JB=0 512 IF (BUY (J) .GT.O) GO TO 66 513 IF (SELL (J) .GT.O) GO TO 67 514 GO TO 320  515 66 CONTINUE 516 IF (SELL (J) .GT. 1) GO TO 320 517 JB=1 518 GO TO 67 519 67 CONTINUE 520 CALL ACOUNT (PR (J) , D, DP, DDD)  521 IF (JB.EQ.1) GO"TO 69 522 IF (INV.EQ.O) GO TO 320 523 REV(J)=D-DD 524 DO 330 L=JJ,J 525 PROFIT (L)=0.0 526 IF (COST (L) . EQ. 0. 0) GO TO 330 527 IF (COST (L) .LT.1.0) GOTO 551 528 IF (COST (L) . GT. 1.0) R EV (L) =RE V (J) 529 PROFIT (L) =REV (L)-COST (L) 530 PPOINT =PPOINT + PR(J) - PR(L) 531 HDELTJ=J-L 532 MMDAY = MMDAY + MDELTJ 533 ADELTJ = MDELTJ 534 XMDYK =XMDYR + COST (L)*ADELTJ/365. 0 535 ASELL (L) = SELL (J) 536 GO TO 330 537 551 REV (L)=0.0 538 PROFIT (L) =0.0  539 GO TO 330 540 330 CONTINUE 54 1 INV=0 542 J J = J " " " " 543 GO TO 320 544 69 CONTINUE  545 COST (J)=D + DD + DDD 546 . INV=1 547 GO TO 320 _ 548 320 CONTINUE " " ' " " 549 SIPR=0.0 550 XMUPR=0.0  551 DO 350 J=3,H 552 SIPR=SIPR+PROF (J) 553 XKUPR=XMUPR+PROFIT (J) 554 350 CONTINUE " ' " " 555 IF (ICOPY.EQ.O) ICOPY=1 556 DO 553 L= 1 , ICOPY '  557 WRITE(6,552) 558 552 FORMAT (1H1) 559 WRITE (6 ,727) 560 727 FORMAT (IX,'ANALYSIS OF STOCK SELECTION AND SELLING BY THE GRANVILL 561 XE TECHNIQUE'//'REFERENCE** "NEH KEY TO STICK MARKET PROFITS" EY R. 562 X GRANVILLE, 1964'//)  563 W-RITE (6,729) (TITLE (I) ,1=1 ,18) 564 729 FORMAT (IX,A4,17A4) 565 WRITE(6 ,555) MMDAY, XflDYR 566 555 FORMAT (1X,'MULT. BUY* TOTAL DAYS It)VESTED= ' ,110,2X,'$*(YEARS INVES 567 XTED)=', F10.2,//) 568 WKITE(6 ,554) ISDAY,S DYR  569 554 FORMAT ( VX , 'SINGLE BUY* TOTAL DAYS INVESTED=«, 110,2X,'$* (YEARS INV 570 XESTED)=',F10.2,//) 571 WRITE(6,556) POINTS, PPOINT 572 556 FORMAT (1X,'SINGLE BUY POINTS PROFIT=•,F10.2,2X,'MULT. BUY POINTS 573 X PROFIT=', F10.2,//) 574 WRITE (6 ,7 26) TMP,PMP,AVOL  575 726 FORMAT (1X, 'THEORETICAL MAX. PROFIT IS•,F15.2,5X, • POSITIVE PART = 576 X', F10.2, 5X, • AVG. DAILY VOL =', F10.0,//) 577 WRITE (6 ,884) SIPR,XMUPR 578 884 FORMAT (1X,'CUMULATIVE SINGLE BUY PROFIT = ',F 1 1.2, 10X, 'CUM ULATIVE 579 XMULT.BUY PROFIT =',F20.2,//) 580 IF (ISIIMM.GE. 1) GO TO 882 "  "5TT1 WRITE (6,723) " ' 5 82 723 FORMAT (2X,•J',4X,•PR (J) • ,5X, • VOL (J) ',4X, 'OBV (J) ',5X , «DES ' ,2X, 583 X'PETR',1X,'TREND',2X,'BUY•,4X,'SELL',4X,'SINGLE BUY ACCOUNTING', 584 X8X,•MULTIPLE BUY ACCOUNTING') 585 WRITE(6,724) 5 86 724 FORMAT (74X , 'REV, 6X, 'COST ', 6X, ' PROFIT ' ,5X, ' RE V ', 6 X , ' COST ' , 4X, ' PR OF 5"F7 X l f V / ) 588 N=0 589 DO 351 J=1,M 5 90 N=N+1 591 WRITE(6,725) N,PR (J) ,V0L (J) ,OBV (J) , C ES (J) , PETR (J ) ,TREND (J) ,BUY (J ) 592 X,SELL (J) ,REV1 (J) , CO (J) , PIIOF(J) ,REV (J) ,COST(J) , PROFIT (J)  593 72 5 FORMAT (' ' , 13,2X,F7.2,2X,F8.0,2X,F9.0,4X,F3.0,1X,F5.0,2X,13 , 2X, 594 XF5.0,2X,F7.0 , 2X, F 8. 2 , 2X , F8. 2, 2X, F 8. 2, 2X , F8 . 2, 2X, F 8. 2 , 2X , F 8.2) 595 351 CONTINUE 596 IF (I3UMM.LT.1) GO TO 352 597 882 CONTINUE ' 598 WRITE (6,731) (TITLE (I) , 1=1,20) 599 731 FORMAT ( 1H1,10X,'TRADE SUMMARY FOR •,20A4.//) 6 00 WRITE (6 ,7 32) 601 732 FOR MAT ( 5 X , ' J ' , 5X,'BUY SIGNAL *, 6X,'SELL SIGNAL',10X,'SINGLE BUY 602 X ACCOUNTING', 8X, 'MULTIPLE BUY ACCOUNTING') 603 WRITE (6,7 3 3) 604 733 FORMAT (39X, ' R E V , 6X,'COST', 6X, 'PROFIT', 4 X , ' R E V , 7X,'COST', 5X, 605 X 'PROFIT') 606 DO 740 J=3,M 607 I F (COST(J) .EQ.O.0) GO TO 740 608 WRITE (6 ,734) J , BU Y (J ) , A SELL (J) , RE V 1 (J) ,CO (J) , PROF (J) , REV {J) , COST (J 609 X ) , P R O F I T ( J ) 610 7 34 FORMAT ( 3 X , I 4 , 6X,F5. 0,6X,F7.0, 4X, 6 (2X,F8. 2) )  611 740 CONTINUE 612 352 CONTINUE 613 IF (IRULE.EQ.O) GO TO 253 614 WRITE(6 ,254) 615 254 FORMAT (1H1,48X,'GRANVILLES 9 BUY AND 9 SELL RULES' ,/,48X, '******* 616 i,////, 5X, 'REFERENCE *» GRANVILLE,J.E . 617 * "GRANVILLES NEW KEY TO STOCK MARKET PROFITS", PRENTICE-HALL INC. 618 *,ENGLEWOOD CLIFFS,N.J.,1963'//) 619 WRITE(6,255) 620 255 FORMAT (59X,'"BUY RULES"',/,59X,•********•**«,////) 62 1 WRITE (6, 257) . 622 257 FORMAT ( I X , 4X,'RULE 1 * 3HY INTO DOWN DESIGNATIONS WHEN FIELD TRE . 623 XND IS RISING. '//,5X, 'RULE 2 * BUY WHEN PRICE OF STOCK SHARPLY OUT 624 XPACES OBV ON DOWNSIDE. *//,5X, 'RULE 3 * BUY WHEN OBV RECORDS UNUSA 625 XL DAY-TO-DAY DECLINE.'//,5X,'RULE 4 * BUY ON FIRST UP IN A RISING 626 X FIELD TREND. '//,5X, 'RULE 5 * BUY INTO FIRST DOWN DESIGNATION FOL 627 XLOWING THREE INTERMITTENT CLUSTERSOF DOWN DESIGNATIONS. '//,15X, ' (C 628 X LUST ER IS.DEFINED AS THREE OR MORE CONSECUTIVE SIMILAR DESIGNATION 629 XS) '//,5X,'RULE 6 * BUY WHEN AN UP DESIGNATION IMMEDIATELY FOLLOWS 630 X A DOWN DESIGNATION (ONLY WHEN THE FIELD TREND I S FAVOURABLE.)'//, 6 31 X5X,'RULE 7 * BUY WHEN AN UP DESIGNATION FOLLOWS WITH SEVERAL UND 632 XESIG NAT ED SESSIONS IN BETWEEN.'//,5X,'RULE 8 * BUY AFTER SEVERAL 633 X DAYS OF DOWNS IF THE OBV IS STILL AECVE AN IMPORTANT SUPPORT LEVEL 634 X. '//,5 X, 'RULE 9 * BUY WHEN OBV BREAKS THROUGH A LONG-TERM RESISTA 635 XNCE LEVEL PROVIDING THERE HAVE ONLY BEEN ONE OR TWO.UPS.'//) 636 WRITE (6 ,256) 637 256 FORMAT (58X,•"SELL RULES"',/,58X, '***********',////) 638 WRITE(6 ,258) 639 258 FORMAT (5X, 'RULE 10 * SELL INTO UP DESIGNATIONS WHEN FIELD TREND I 640 XS FALLING.',//,5X,'RULE 11 * SELL WHEN PRICE OF STOCKS SHARPLY OUT 641 XPACES OBV ON THE DO W fiS I DE' ,//, 5X, 'RULE 12 * SELL WHEN OBV RECORDS 642 XUNUSUAL DAY TO DAY ADVANCE',//, 643 X 5X,'RULE 13 * SELL ON FIRST DOWN IN A FALLIN 644 *G FIELD TREND. ' ,//,5X, 'RULE 14 * SELL INTO FIRST UP DESIGNATION FO 645 *LLOWING THREE OR MORE INTERMITTENT CLUSTERS OF UP DESIGNATIONS. ' ,/ 646 X/,5X,'RULE 15 * SELL WHEN A DOWN DESIGNATION IMMEDIATSLY FOLLOWS A 647 *N UP DESIGNATION (ONLY WHEN FIELD TREND IS UNFAVOURABLE). ' //,5 X,'R • 648 . *ULE 16 * SELL WHEN DOWN DESIGNATION FOLLOWS A DOWN DESIGNATION WIT 649 XH SEVERAL,UNDESIGNATED SESSIONS IN BETWEEN.',//,5X,'RULE 17 * SELL 650 " X AFTER SEVERAL DAYS OF UPS I F STILL BELOW AN IMPORTANT RESISTANCE 651 XLEVEL.',//,5X, 'RULE 18 * SELL WHEN OBV BREAKS UNDER A LONG TERM S 652 XUPPORT LEVEL,PROVIDING THERE HAVE BEEN ONLY ONE OR TWO DOWNS.')  f 653 253 CONTINUE 654 553 CONTINUE 655 STOP 656 END 657 SUBROUTINE ACOUNT (RR,D,DD,DDD) s 658 PR (J) =RR ? 659 D,=100.0*PR (J) 660 IF (PR (J)-8.00) 420, 420,421 661 421 IF (PR (J ) - 1 1.00) 423, 423,424 662 424 IF (PR (J)- 15.00)425, 425,426 663 426 IF (PR (J)-30.00) 427,427,428 664 428 IF (PR (J)-65.00) 429 ,429,433 665 420 CONTINUE 666 DD=2.50*PR (J)-1.00 667 IF(PR(J).LE.5.00)DDD=100.0*.0025 668 IF (PR (J) .GT.5.00)DDD=10O.O*.O1 669 GO TO 4 22 670 423 CONTINUE 671 DD=2.0*PR (J) +5.00 672 DDD= 100.0*.01 673 GO TO 422 674 425 CONTINUE 675 DD= PR (J)+ 16.00 676 DDD=100.0*.01 677 427 CONTINUE 678 DD=.5*PR (J)+23.50 679 IF (PR (J) .LE.25.00) DDC=100.0*.01 680 IF (PR (J) . GT. 25. 00) DDD=100.0*.02 681 GO TO 4 22 682 429 CONTINUE 6 83 DD=.25*PR (J) +31.00 684 IF(PR(J).LE.50.00) DDD=.02*100.0 685 IF(PR (J) .GT. 50.00) DDD=.03*100.0 6 86 GO TO 422 687 433 CONTINUE 688 DD=.0016667*PR(J) 689 IF (PR (J) .LE.75.00) DC C=.0 3*100.0 690 IF (PR (J).GT. 75.0 0.AND.PR(J) .LE. 150. 00) DDD=.04*100.0 691 IF (PR (J) .GT. 150.00) ICC=.04*100. 00+ (PR (J)-150. 0)*.001 692 GO TO 422 693 422 RETURN 694 END END OF FILE APPENDIX I I . PLOT PROGRAMS C PROGRAM TO PLOT TIME V E R S U S P R I C E D I M E N S I O N P R ( 5 3 0 ) , V 0 L ( 5 0 0 ) , 6 B ( 5 0 0 ) , T I T L E ( 5 0 0 ) R E A U < 5 , 2 5 1 ) ( T I T L E ! I ) , I = i ,20) 2 5 1 F O R M A T ( 2 0 A 4 ) :  R E A D ( 5 , 2 5 2 ) M 2 5 2 F O R M A T ( 1 4 ) XM=M XXM=XM/30.0 DO 10 J=1,M,5 R E A D i 5, 1 0 0 0 ) P R ( J ) , V O L (J ) , P R ( J + l ) , V O L ( J + U ,  X P R ( J + 2 ) , V O L ( J + 2 ) , P R ( J + 3 ) , V O L ( J + 3 ) , P R ( J + 4 ) , V O L ( J + 4 ) 1 0 0 0 FORMAT < 5 ( F6,. 2 ,1X ,F7 .0 ) ) 10 CONTINUE DO 20 J=2,M B B ( J ) = J 20 CUNT INUE :  C A L L PLOTS C A L L A L P L U K B 8 , P R , M , 1 1 H S T 0 C K P R I C E , 1 1 10.-. , 4HT I ME , 4 , XX M ) C A L L PLOTNO STOP END C PROGRAM TO PLOT T I M E V E R S U S P R I C E D I M E N S I O N P R ( 5 3 0 ) , V QL (.500 ) , 6B( 5 0 0 ) , T I T L E t 5 0 0 ) R E A U < 5 , 2 5 1 ) ( T I T L E i I ) , I = i ,20) 2 5 1 F O R M A T ( 2 0 A 4 )  R E A D ( 5 , 2 5 2 ) M 2 5 2 F ORMAT ( 14) XM=M XXM=XM/30.0 0 0 10 J = i , M , 5 R E A O i 5, 1 0 0 0 ) P R ( J ) , V O L ( J ) , P R ( J + l ) , V O L ( J + 1 ) ,  X PR( J + 2 ) , VOL ( J + 2 ) , PR I J + 3 ) ,VL)L( J+3 ) , PR( J + 4 ) , VOL ( J + 4) 1 0 0 0 F O R M A T ( 5 ( F 6 . 2 , 1 X , F 7 „ 0 ) ) 10 CONTINUE OG 20 J=2,M 6 8 ( J ) - J 20 CUNT I i'xiUE ; C A L L PLOTS C A L L A L P L 0 T ( B B , P R , M , 1 1 H S T 0 C K P R I C E , 1 1 10 „ , 4 H T i M E , 4 , X X M ) C A L L PL I) TND STOP END APPENDIX I I I . PRINTOUT OF RESULTS A N A L Y S I S OF S T O C K S E L E C T I O N ANO S E L L I N G BY T H E G R A N V I L L E T E C H N I Q U E R E F E R E N C E ' * "NEW K E Y TO S T I C K MARKET P R O F I T S " BY R. G R A N V I L L E » 1 9 6 4 M A R K E T DATA FOR BOV< V A L L E Y I N C . FOR P E R I C C H A Y , 6 . 1 9 6 8 TO A U G . 1 5 t l 9 6 9 M U L T . B U Y * T O T A L D A Y S I N V E S T E D 3 2 2 6 $ * ( Y E A R S I N V E S T E O > = 1 5 8 1 . 7 3 S I N G L E B U Y * T O T A L D A Y S I N V E S T E D * 1 4 5 S* ( Y E A R S I N V E S T E D ) = 1 0 C 2 . 1 3 S I N G L E BUY P O I N T S P R O F I T * T H E O R E T I C A L M A X . P R O F I T I S 9 . 1 2 M U L T . BUY P O I N T S P R O F I T = 2 0 . 8 7 1 9 5 . 0 9 P O S I T I V E P A R T » I C 3 . 3 6 A V G . O A I L Y VOL 4 6 6 4 . C U M U L A T I V E S I N G L E BUY P R O F I T • 1 0 3 . 2 3 C U M U L A T I V E M U L T . B U Y P R O F I T 2 6 3 . 5 9 J P R ( J ) V O L ( J ) C B V ( J ) DES PETR TREND BUY S E L L S I N G L E BUY A C C O U N T I N G MULT I P L E BUY A C C O U N T I N G REV COST P R O F I T REV COST PP.OF I T 1 1 0 . 2 5 4 6 2 5 . - 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 2 I C . 88 1 7 3 5 0 . 1 7 3 5 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C O 0 . 0 3 1 0 . 8 8 1 6 9 4 5 . 1 7 3 5 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C O 0 . 0 4 1 0 . 7 5 5 1 9 5 . 1 2 1 5 5 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 5 ~ i c a a " 19 2 5 . i 4 o a o . 1 . 1 0 0 . ~7j 0 . 0 . 0 . 0 C. 0 0 . 0 0 . 0 . 0 . 0 0 . 0 6 1 C . 7 5 3 7 2 5 . 1 0 3 5 5 . - 1 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C . 0 0 . 0 7 1 0 . 6 3 2 5 3 0 . 7 8 2 5 . - 1 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 c . c 8 I C . 2 5 2 8 8 0 . 4 9 4 5 . - 1 . 0 . 0 0 . 0 . 0 . 0 C . 0 0 . 0 0 . 0 0 . 0 0 . 0 9 I C . CC 4 1 9 5 . 7 5 0 . - 1 . 2 0 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C . C 0 . c IC 1 0 . 3 8 2 6 5 0 . 3 4 0 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C . C 0 . 0 11 1 0 . 3 8 0 . 3 4 0 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 12 I C . 2 5 2 3 9 0 . 1 C 1 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C O 0 . 0 1 3 1 0 . 2 5 1 5 7 0 . 1 C 1 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C C O . C 14 1 0 . 2 5 1 9 5 0 . IC 1 0 . c . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 c . c 0 . 0 15 1 0 . 2 5 1 5 5 0 . 1 0 1 0 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 0 . 0 16 1 C . 7 5 2 4 5 C . 3 4 6 0 . 1 . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 C C C O 0 . 0 17 1 0 . 7 5 " 4 2 C C . 3 4 6 0 . 1 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 C O C O C . C 18 1 0 . 8 8 3 2 5 0 . 6 7 1 0 . 1. 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 0 . 0 0 . 0 0 . 0 19 1 1 . 2 5 . 7 8 4 5 . 1 4 5 5 5 . 1 . 0 . 0 0 . 0 . 0 . 0 C O O . C 0 . 0 0 . 0 O . C 2 0 1 1 . 7 5 9 7 7 5 . 2 4 3 3 0 . 1 . 0 . 0 0 . 0 . 0 . 0 C O O . C 0 . 0 C O 0 . 0 2 1 1 2 . 0 0 9 7 5 5 . 3 4 0 8 5 . i . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 0 . 0 C O 0 . 0 22 1 1 . 8 8 7 9 8 0 . 2 6 1 0 5 . 0 . 0 . 0 0 . 0 . 0 . 0 C . 0 0 . 0 C C 0 . 0 . 0 . 0 23 1 1 . 6 3 3 2 3 0 . " 22 8 7 5 . 0 . 0 . 0 0 . 0 . 0 . 0 . C O 0 . 0 C O c .c 0 . 0 2 4 1 1 . 6 3 2 6 5 C . 2 2 8 7 5 . 0 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 C O 0 . 0 2 5 1 1 . 7 5 5 C 0 . 2 3 3 7 5 . 0 . 0 . 0 0 . 0 . 0 . 0 C O O . C C O 0 . 0 O . C 26 1 1 . 7 5 1 S 9 5 . 2 3 3 7 5 . 0 . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 C O C O 0 . 0 2 7 1 2 . 2 5 4 4 4 5 . 2 7 P. 2 0 . C 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 c . c 0 . 0 2 8 1 2 . 2 5 7 9 6 0 . 2 7 8 2 0 . c . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 0 . 0 C O 0 . 0 2 9 1 2 . 7 5 " • 5 5 7 0 . 3 3 3 9 0 . 0 . 0 . 0 0 . 0 . 0 . 0 C . 0 0 . 0 C O 0 . 0 . 0 . 0 30 1 2 . 6 3 4 1 7 0 . 2 9 2 2 0 . c. 0 . 0 0 . 0 . 0 . 0 C O O . C 0 . 0 c c C O 31 1 3 . 0 0 8 9 2 5 . 3 8 1 4 5 . 1 . 0 . 0 7. 0 . 1 4 4 4 . 1 2 1 3 3 1 . 0 0 1 1 3 . 1 3 1 4 4 4 . 1 2 1 3 3 1 . 0 0 1 1 3 . 1 3 32 1 2 . e s . 2 9 3 5 . 3 5 2 1 0 . 0 . 0 . 0 0 . 0 . 0 . 0 . C . 0 0 . 0 C O ' 0 . 0 0 . 0 23 1 3 . 3 8 37 7 8 . 3 8 9 8 8 . 1 . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 . C C c c 0 . 0 I 34 1 3 . 5 0 7 5 3 0 . 4 6 5 1 8 . 1 . I C O . 0 . 0 . 0 . 0 . 0 0 . 0 0 . 0 C O C . C O . 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ICO. 0. 0. 0.0 C. 0 0.0 0.0 0.0 0.0 U l 27.75 6305. . 5128 33. - 1 . 0. -1 0. 1513. 0.0 C O 0.0 2737.62 C O • c c 112 27.00 2719. 510114. - 1 . 0. -1 0. 0. 0.0 0.0 0.0 0.0 C O 0.0 113 26 .25 5 320. 5C429*.. - 1 . 200. -1 • 0. 0. 0.0 C. 0 ,0. 0 0.0 0.0 O.C 11A 26.75 26-C 5C6944. c. 0. -1 0. 0. 0.0 C O 0.0 C O C.C 0.0 115 26.75 2095. 5C69<I<I. c. 0. - I a. 0. 0.0 0.0 0 .0 0.0 C.C 0.0 116 26.7 5 0. 506944. 0. 0. - I 0. c. 0.0 0. 0 0.0 0.0 0.0 0.0 117 27. 75 44 65. 511409. c. 0. -1 0. 0. 0.0 C O 0.0 C O C. c 0.0 118 27.CO 19 90. 5C9419. c. 0, -1 0. 0. 0.0 0.0 0.0 0.0 c c c. c 119 28.00 3965. 513384. 1. 100. -1 0. 10. . 0.0 0.0 0.0 0.0 C O 0.0 120 26.75 1150. 512234. c. 0. -1 0. 0. 0.0 C. 0 o.o C O C O 0.0 121 2 6.38 1155. 511079. c. 0. -1 0. 0. 0.0 C O 0.0 C O C.C 0. 0 122 25 .00 3395. 507684. - 1 . 0. -1 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 123 25.CO 2015. 507684. - 1 . 0. -1 0. 0. 0.0 C. 0 0.0 0.0 0.0 0.0 124 25.25 2CC. 5C7684. 0. 0. -1 0. 0. 0 .0 0.0 O.C C O C.C 0. 0 ~T"2'5" ~23.5C' " "20 75. 5C56C9. - 1 . 2C0. 0 c. 0. 0.0 0.0 0 .0 C O C C C O 126 24.25 1215. 507024. 0. 0. 0 0. 0. 0.0 0. 0 O.C 0.0 0.0 0 .0 127 24.5C 7 70. 5C7794. 0. 0. 0 0. 0. 0.0 C O 0.0 C O C.C 0.0 1 28 24.63 290. 5C8C84. 1. 0. 0 0. 0. 0.0 0.0 0.0 0.0 C. c 0. c 129 25.25 1 325. 5C9409. 1. 0. 0 0. 0. 0. 0 C O 0.0 0.0 0.0 0.0 130 25.25 3045. 509409. 1. 0. 0 0. 0. 0.0 C O O.C C O 0.0 0.0 131 25.CC 630. 5C8779. 0. 0. 0 0. 0. 0.0 C O 0.0 0.0 C.C 0. 0 132 24.75 1550. 507229. c. 0. 0 0. 0. 0.0 0.0 0.0 0.0 C O 0.0 133 24.75 650. 507229. 0. 0. 0 a . 0 . 0.0 C 0 0.0 0.0 0.0 0.0 134 25.25 830. 5C8C59. c. 0. 0 0. 0. 0.0 C O 0.0 C O C.C 0.0 135 25.CO 34 5 . 5C7714. 0. 0. 0 0. 18. 0.0 0.0 0 .0 C O C C 0.0 1 36 25.00 100. 507714. 0. 0. 0 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 137 25.75 1 6 70. 5C9384. 1. 0. 0 7. c. 2538.62 2613.37 -74.75 2538.62 2613.37 -74.75 138 26.25 1145. 51C529. 1. 0. 0 0. 0. 0.0 0.0 0.0 C O c. c c c 139 27.00 3614. 514143. 1. 0. 1 4. 0. 0. 0 C O 0.0 2538.62 2739.00 -200.37 140 27.00 1410. 514143. 1. 0. 1 0. 0. 0.0 C O 0.0 C O 0.0 0.0 141 28.25 3775. 517918. 1. 0. 1 0. 0. 0.0 C O O.C 0.0 C.C 0. c 142 29.00 4270. 522188. 1. 0. 1 0. 0. 0.0 C O 0.0 0.0 C O 0.0 143 25.00 1075. 522188. 1 • 0. 1 0. 0. 0.0 CO. 0.0 C O 0.0 0.0 144 29.25 5835. 528C2 3. 1. 0. 1 0. 0. 0.0 C O 0.0 C.C C.C 0.0 145 28.63 2789. 525234. 0. 0. 1 0. 0. 0.0 0.0 0 .0 C O C O 0.0 146 28.63 1050. 525234. 0. 0. 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C O C O . 0 . 0 0 . 0 0 . 0 0 . 0 : 2 C 3 2 9 . 5 0 2 0 0 . 5 2 7 2 8 9 . 1 . 1 0 0 . - 1 0 . 1 0 . 0 . 0 C . 0 0 . 0 C O 0 . 0 0 . 0 2 C 4 2 8 . 2 5 3 0 0 . 5 2 6 S 8 9 . - 1 . 0 . - 1 0 . 1 5 . 0 . 0 C O 0 . 0 C O C O 0 . 0 2 C 5 2 8 . 0 0 3 5 0 . 5 2 6 6 3 9 . - 1 . 2 C 0 . 0 . 0 . 0 . 0 0 . 0 o . o - 0 . 0 0 . 0 0 . 0 2 C 6 2 8 . 2 5 1 1 0 0 . 5 2 7 7 3 9 . 1. 0 . 1 6 4 . 0 . 2 3 6 4 . 5 0 2 8 6 4 . 6 2 - 5 0 0 . 1 2 2 3 6 4 . 5 0 2 8 6 4 . 6 2 - 5 0 0 . 1 2 2 0 7 2 6 . 5 C 1 1 5 . 5 2 7 9 1 4 . 1 . 1 0 0 . 1 0 . 0 . 0 . 0 0 . 0 0 . 0 C C C.C 0 . 0 20 8- 2 8 . 0 0 e o o . 5 2 7 1 1 4 . 0 . 0 . 1 0 . 0 . 0 . 0 0 . 0 0 . 0 0 . 0 c c 0 . 0 "2C9 ^ 7 . 0 0 • 1 1 5 0 . 5 2 5 9 6 4 . - 1 . 0 . 0 0 . 0 . C O C O O.C 0 . 0 0 . 0 0 . 0 2 1 0 2 6 . 5 C 2 e o . 5 2 5 6 8 4 . - 1 . 0 . 0 0 . 0 . 0 . 0 C.C 0 . 0 C.C c c 0 . 0 2 1 1 2 6 . 0 0 1 4 1 5 . 5 2 4 2 6 9 . - 1 . 0 . 0 0 . 0 . 0 . 0 0 . 0 0 . 0 C O C O . c. c 2 1 2 2 5 . 2 5 1 0 0 0 . 5 2 3 2 6 9 . - 1 . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 0 . 0 C O 0 . 0 2 1 3 2 5 . C O 2 4 0 . 5 2 3 0 2 9 . - 1 . 0 . 0 0 . 0 . 0 . 0 C O 0 . 0 C O 0 . 0 C O 2 1 4 2 4 . C C 6 4 0 . 5 2 2 3 8 9 . - 1 . 0 . 0 0 . 0 . 0 . 0 C.C 0 . 0 C O C O 0 . c ) s 215 2 4 . 2 5 760. 523149. 0 . 0 . 0 0 . 0. 0.0 0.0 0.0 0.0 0 . 0 0.0 \ 216 24.13 665. 522484. 0. 0. 0 0. 0. 0.0 CO 0.0 C O 0 .0 0.0 217 24.CC 725. 521759. -1. 200. 0 0. 16. 0.0 CO O.C 2364.50 c c 0. c 218 24.50 5400. 527159. 1, 0. 0 0. 0. 0.0 0.0 O.Q 0.0 0.0 0.0 219 23.25 ICO. 527059. 0 • 0. 0 0. 0. 0.0 CO C O C O 0.0 0.0 220 23.CC 115. 526944. C. 0. 0 0 . 0. 0.0 CO 0.0 C O c c 0.0 ( > 221 23.63 1010. 527954. 1. 0. 0 7. 0. 2265.00 2399.31 -134.31 2265.00 2399.31 -134.31 s 222 23.75 960. 528914. 1. 0 . 0 0. 0 . 0. 0 0. 0 0.0 0.0 C O 0.0 223 24. CC 7C0. 529614. 1. 0. 0 0. 0. 0.0 CO C O C O c c 0.0 224 24.50 2765. 532379. 1. 0. 0 0. 0. 0.0 0.0 0.0 0.0 c c C.C 225 20.00 . 100. 532279. C . 0. 0 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 226 23.CO 854. 533133. 1. 0. 0 0. 11. 0.0 C.C' C O 2265.00 0.0 0.0 227 24. CC 6 6 5. 53 3 79 8. 1. 0. 0 0. 0. 0 .0 CO O.C C O c c . 0. C 22fi 24.00 too. 533798. 1, 0. 0 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 229 . 24.13 679. 534477. 1, 0. 0 0. 0. 0.0 C 0 0.0 C O 0.0 0.0 230 24.25 ICO. 534577. 1. 0. . 0 0 . 0. 0 . 0 CO O.C C O c. c C O 231 23.88 20. 534557. c. 0. 0 0. 0. 0.0 0.0 0.0 0.0 C O C O 2 32 24. 25 1 8 7 5 . 536432. 1. 0 . 0 0. 0. 0.0 0.0 0.0 0.0 C O 0 .0 233 26. CC 3865. 54C297. 1. 0. 0 0. 0. 0.0 c c 0.0 0.0 c c 0.0 234 26.00 700. 54C297. 1. 0. 0 0. 0. 0.0 0.0 0.0 C O 0.0 0. c 235 26.13 260. 540557. 1. 0. 0 0. 0. O.C 0.0 O.C 0.0 0.0 0.0 ' 236 26.50 50. 540607. 1. 0 . 0 0. c. 0.0 c. 0 0.0 C O 0.0 0.0 237 26.5C 5 70. 54C6C7. 1. 100. 0 0. 0. 0.0 CO 0.0 C O c c c. c 2 38 26 . 1 3 255 . 540352. c. 0. 0 0. 0. 0.0 0.0 0.0 0.0 C O 0.0 239 26. 13 0. 540352. 0. 0. 0 0. 0. 0.0 c. c 0.0 CO 0.0 0.0 240 26. 13 C. 540352. c. 0. 0 0 . 0. 0.0 C.C 0.0 C O C.C 0.0 2*1 26.13 0. 540352. c. 0. 0 0. 0. 0.0 0.0 0.0 0.0 C.C O.C 242 26.50 25. 540377. 0. 0. 0 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 243 25.75 200. 54C177. -1. 0. 0 0. 0. 0.0 C.C 0.0 c c c. c C O 244 25.50 100. 54CC77. -1. 0. 0 0. 0. 0.0 0.0 0.0 0.0 c. c 0. c '245 r 25 .00 50. 54C027. -1. 0. 0 . 0. 0. 0.0 0.0 0.0 0.0 C O O.C 246 25.CQ 50. 540027. -1. 200. 1 0. 0. 0.0 CO 0.0 C O 0.0 0.0 247 26. 5C 1 7 85. 541812. 1. 0. 1 64. 0. 3161.00 268e.75 472.25 3161.CO 266e.75 472.25 248 26.75 2 30. 542042. 1. • 0. 1 0. 0. 0.0 O.O 0 .0 0.0 0.0 0.0 249 26.75 0. 542042. 1. 0. 1 0. 0. 0.0 0. c 0.0 C O 0.0 0.0 2i0 26. CC 125. 541917. c. 0. 1 0. 0. 0.0. 0.0 0.0 C O c. c 0.0 251 26.38 270. 542187. 1. 100. 1 0. 0. 0.0 0.0 0.0 0.0 C O O.C 252 25.88 ICO. 542087. 0. 0. 1 0. 0. 0.0 C. 0 O.Q 0.0 0.0 0.0 253 25.ee 0. 542C87. 0. 0. 1 0. 0. 0.0 C.C 0.0 C O C.C 0.0 254 25.00 270. 541817. -1. 0. 1 1. 0. 0.0 0.0 0.0 3161.00 2537.CC 62 4.CO 255 24.00 2000. 539817. -1. 0. 0 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 256 24.00 6C0. 539817. -1. 200 . 0 0. 0. 0.0 c c 0. 0 C O 0.0 0.0 267 24.75 2eco. 5 42 6 1 7. 1. 0. 0 0. 0. 0 .0 CO C O C.C C.C 0. 0 258 25 .25 969. 543586. 1. 0. 0 0. 0. 0.0 0.0 0 .0 0.0 0.0 0.0 259 26.50 705. 544291 . 1. 0. 0 0. 0. 0.0 c c C O 0.0 0.0 0 .0 260 2 7.CC 206 7. 546358. 1. 0. 0 0. 0. 0.0 CO 0.0 CO c. c 0. 0 261 27.25 1600. 547958. 1. 0. 0 0. 0. 0.0 0.0 0 .0 0.0 C O O.C 262 28.00 1780. 549738. 1. 0 . 0 0. 0. O.C CO 0.0 0.0 0.0 0 .0 26 3 32. CC " 236£5. 573423. 1. 100. 0 0. 12. 0.0 C.C 0.0 3161.CO c c 0.0 264 31.13 2178C. 551643. c. 0. 0 3. 0. 3460.25 3153.78 306.47 3460.25 3153.78 306.47 265 30.75 23287. 529356. -1. 2C0. 0 3. 0. 0.0 CO 0.0 3460.25 3115.69 344.56 266 31.00 4525. 532881 . 0. 0 . 0 0. 0. 0.0 CO C O 0.0 C O 0.0 267 33.5C 104 35. 543316. c. 0. 0 0. 0. 0.0 CO C O C.C C.C 0. 0 268 35.CO 12310. 555626. c. 0. 0 0. 12. 0.0 0.0 0.0 3460.25 0.0 0.0 269 35700 • 3055. 555626. 0 . 0. 0 0. 0. 0.0 c. c c c 0. 0 0.0 0.0 270 36.25 65 85. 562211. c. 0. ' 0 0. 0. 0 .0 c c O.C c c C. C C O 271 36.25 C. 562211. c. 0. 0 0. 0. 0.0 0.0 0 .0 0.0 c c C O 272 36.50 4855. 567066. 0. 0. 0 0. 0. 0. 0 0.0 0.0 0.0 C O 0 .0 273 36. 5C 4645. 567C66. 0. 0 . 0 0. 0. 0.0 C.C 0.0 CO c. c 0.0 V 274 36.50 1670. 567C66. 0. 0. 0 0. 0. 0.0 0.0 o.o • C O c. c • c. c ( 2 1 5 35.00 901. 566165. 0. 0. 0 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 276 34.25 22C0. 563965. 0. 0. 0 0. 0. 0.0 CO 0.0 C.C C. C 0.0 277 33. 25 2557. 5614C8. 0. 0. 0 0. 0., 0.0 CO 0.0 CO CO 0. c 278 34.75 2772. 564180. C. 0. 0 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 27<) 36.00 2228. 566408. o.. 0. 0 0. 0. 0.0 C.C 0.0 0.0 0.0 0.0 s 280 37.CC 2225. 568633. I. 0. 0 0. 0. 0.0 CO 0.0 CO cc 0.0 J f 261 35.CO 1155. 567478. c. 0. 0 0. 0. 0.0 0.0 0.0 0.0 0.0 0.0 \ 262 34. CO 1630. 565848. 0. 0. 0 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 283 34. 75 5410. 571258. 1. 0. 0 7. 0. 2787 .37 3516.69 -729.31 2787.37 3516.69 -729.31 2eA 33.75 0. 571258. 1. 100. -1 0. 0. 0.0 0.0 0.0 0.0 c c 0.0 285 33.50 700'. 57C558. 0. 0. -1 c 0. 0.0 • 0.0 O.C 0.0 0.0 0.0 286 31.50 12 5C. 569308. 0. 0. -1 0. 0.. 0.0 c c CO CO C.C • 0.0 267 32.00 1025. 57C 3 33. c. 0. -1 0. 0. 0.0 CO 0.0 CO CO . C. C 288 31.25 2300. 568033. - 1 . 200. 0. 0. 0. 0 0.0 0.0 0.0 0.0 0.0 289 33. 75 129C0. 580933. 1. 0. 1 64. 12. 0.0 c. c CO 0.0 0.0 0.0 290 3 2.75 5166. 575767. 0. 0. I 0. 0. 0.0 c a 0.0 CO C.C 0. c 291 32.25 115. 575652. c. 0. 1 0. 0. 0.0 0.0 0.0 • CO 0.0 0.0 292 3C.75 725 . 574927. 0. 0. 1 0. 0. 0.0 C. 0 0.0 0.0 0.0 0 .0 293 3 2 . C C 79CC. 58282 7. 1. 0. 1 . 7. 0. 0.0 0.0 0.0 . 2787.37 3241.CO -453.62 294 •30.GO 7C5C. 575777. c. 0. 1 0. 0. 0.0 0.0 0 .0 CO C.C C.C 2 95 31.00 6150 . 581927. 0. . 0. 1 0. 0. 0. 0 0.0 O.C 0.0 0.0 0.0 296 28.CO 6 5C. 581277. 0. 0. 1 0. 0. 0.0 CO O.C O.C C.C 0.0 297 3 2. CO 850. 5 82 12 7. 1. 100. I 7. 11. 0.0 CO 0.0 CO CO 0. c 298 28 .00 2300. 579827. - 1 . 0. 1 1. 0. 0.0 CO 0.0 2787.37 2839.50 -52.12 299 26.00 12315. 567512. - 1 . 200 . 0 3. 0. 0.0 c c 0.0 2787.37 2638.50 148.88 3C0 26. 75 nca. 568612. 0. 0. 0 0. 0. 0 .0 CO O.C C.C C.C 0. c 301 26.50 425. 568 187. 0. 0. 0 0. 0. 0.0 0.0 0 .0 .0.0 . 0.0 O.C 3C2 26.50 - 0. 568187. 0. 0. 0 0. 0. 0.0 c. c 0. 0 0.0 0.0 0.0 • 30 3 28.25 315C. 571337. 1. 100. -1 0. 1017. 0.0 CO 0 . 0 2787.37 C.C 0.0 304 28.CC 8 6 5 . 570452. c. 0. -1 0. 0. 0.0 0.0 0 .0 0.0 C.C CO 3G5 . . 29.75 110. 570562. 0. 0. -1 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 3C6 26.OC 6CC. 569962. - 1 . 0. -1 8. 13. 0.0 CO 0.0 CO C.C 0.0 30 7 27.50 450. 569512. - 1 . 0. -1 0.. 0. 0.0 • 0.0 0.0 0.0 O.C 0. c 308 27.50 0. 569512. - 1 . 0. -1 c. 0. 0.0 0.0 0.0 0.0 0.0 O.C 3C9 26.50 1065. 568447. - 1 . 0. -1 0. 0. 0.0 c c 0. 0 CO 0.0 0 .0 310 25.25 1C5C. 567357. - 1 . • 0. -1 0. 0. 0.0 c c :0.0 C C C.C 0. c .311 24 . 0 0 660. 566697. - 1 . 0. . -1 0. 0. 0.0 0.0 0 .0 0.0 CO 0.0 312 23.75 3960. 562737. - 1 . 0. -1 0. 0. CO C 0 O.C 0.0 0.0 0.0 313 23.5C 4 6 5. 562272. - 1 . 0. -1 0. 0. o.o CO 0.0 CO C.C 0.0 314 23.00 325. 561S47. - 1 . 0. -1 o. • 0. 0.0 0.0 0.0 0.0 C.C c c 315 22.50 820. 561127. - 1 . 0. -1 0. 0. 0.0 0.0 0.0 0.0 0.0 0 .0 316 22.75 7 60. 561807. 0. 0. -1 0. 0. .0.0 CO 0.0 CO C.C 0.0 317 22.50 420. 561467. 0. 0. -1 0. 0. 0.0 0.0 0.0 0.0 0.0 0. 0 318 22.00 1200. 56C267. - 1 . 0. -1 0. 16. 0.0 0.0 0.0 0.0 0.0 0.0 319 22.50 100. 560367. 0. 0. -1 0. 0. CO 0. 0 0.0 CO 0.0 0.0 320 2 2.63 750. 561117. 0. 0. -I 0. 0. 0 .0 0.0 0.0 0.0 C.C 0.0 321 19.25 2700. 550417. - 1 . 0. -1 0. 16. 0.0 0.0 0.0 0.0 0.0 0.0 322 19.50 1295. 559712. 0. 0. -1 0. 0. 0.0 CO 0.0 0.0 0.0 0.0 323 "' 19.CC 36 75. 556C37. - 1 . 200. -1 0. 0. 0.0 0.0 0.0 CO 0. c 0. 0 324 20.00 1500. 557537. 0. 0. 0 0. 0.. 0.0 0.0 0 .0 0.0 CO 0.0 325 21.88 2195. 559732. 1. 0. 0 0. 17. 0.0 0.0 0.0 0.0 0.0 0 .0 STOP C EXECUTION TERMINATED $ RUN GRASVILLE EXECUTICN BEGINS A N A L Y S I S OF S T O C K S E L E C T I CN ANO S E L L I N G BY THE G R A N V I L L E T E C H N I Q U E R E F E R E N C E * * "NEW K E Y TO S T I C K MARKET P R C F I T S " BY R . GR ANV I L L E ? 1 9 6 4 M A R K E T OA TA FOR C H E M C E L L FCR P E R I O D MAY 6 f 1 9 6 8 TO A U G . 1 5 , 1 9 6 9 M U L T . 8 L Y * TOTAL D A Y S I N V E S T ED= 6 4 3 $ * ( Y E A K S I N V E S T E D ) * 1 8 4 6 . 6 1 S I N G L E B U Y * T O T A L OAYS I N V E S T E O = 192 $ * ( Y E A R S I N V E S T E D ) * 5 4 6 . 4 3 S I N G L E B U Y P O I N T S P R O F I T ' T H E O R E T I C A L M A X . P R O F I T I S 2 . 9 8 M U L T . BUY P O I N T S P R O F I T " 8 . 2 0 6 3 . 4 7 P O S I T I V E P A R T = 3 2 . 5 5 A V G . D A I L Y V C L 3 3 9 5 . C U M U L A T I V E S I N G L E BUY P R O F I T » - 9 0 . 1 0 C U M U L A T I V E M U L T . B U Y P R O F I T • 6 2 6 . 1 4 r TRADE SUMMARY FOR MARKET DATA FOR C H E M C E L L FOR P E R I O D MAY 6 , 1 9 6 8 TO A U G . 1 5 t 1 9 6 9 A A A A A A A A J BUY S I G N A L S E L L S I G N A L S I N G L E BUY A C C O U N T I N G MULT I PL E BUY A C C O U N T I N G REV COST PROF I T R E V C O S T P R O F I T 7 . 1 8 . 8 2 8 . 0 0 8 6 0 . 7 6 - 3 2 . 7 6 8 2 8 . 0 0 8 6 0 . 7 6 - 3 2 . 7 6 / ( 2 7 4 . 1 8 . 0 . 0 O . C 0 . 0 8 2 8 . 0 0 8 6 0 . 7 6 - 3 2 . 7 6 3 6 7 4 . 1 6 . 1 0 7 3 . 0 0 8 8 6 . 2 6 1 8 6 . 7 4 1 0 7 3 . 0 0 8 8 6 . 2 6 1 8 6 . 7 4 5 6 - 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 C 7 3 . C 0 9 4 9 . 5 0 1 2 3 . 5 0 6 5 5 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 8 7 3 . 0 0 2 0 0 . 0 0 6 7 6 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 8 9 8 . 5 0 1 7 4 . 5 0 7 3 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . C O 9 2 4 . 0 0 1 4 9 . 0 0 84 7 4 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 1 0 2 6 . 0 0 4 7 . 0 0 1 0 0 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 1 1 1 5 . 7 6 - 4 2 . 7 6 1 0 3 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 1 1 2 8 . 0 0 - 5 5 . 0 0 1 0 6 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 C 7 3 . C 0 1 1 4 3 . 0 6 - 7 0 . 0 6 U l 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 1 1 8 0 . 2 5 - 1 0 7 . 2 5 1 2 5 7 . 1 6 . 1 0 7 3 . 0 0 1 1 8 0 . 2 5 - 1 0 7 . 2 5 1 0 7 3 . 0 0 1 1 8 0 . 2 5 - 1 0 7 . 2 5 1 2 9 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 C 7 3 . C 0 1 1 6 8 . 1 9 - 9 5 . 1 9 1 3 7 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 0 7 3 . 0 0 1 1 8 0 . 2 5 - 1 0 7 . 2 5 1 3 9 6 . 1 6 . o.o 0 . 0 0 . 0 1 0 7 3 . 0 0 1 2 1 8 . 4 4 - 1 4 5 . 4 4 1 7 0 7 . 1 3 . 1 0 7 3 . 0 0 1 1 1 5 . 7 6 - 4 2 . 7 6 1 0 7 3 . 0 0 1 1 1 5 . 7 6 - 4 2 . 7 6 1 8 7 3. 1 6 . 1 1 2 0 . 7 5 1 1 6 8 . 1 9 - 4 7 . 4 4 1 1 2 0 . 7 5 1 1 6 8 . 1 9 - 4 7 . 4 4 1 9 0 1 . 1 6 . 0 . 0 O . C 0 . 0 1 1 2 0 . 7 5 1 1 5 5 . 1 2 - 3 4 . 3 7 1 9 7 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 1 2 0 . 7 5 1 2 5 5 . 6 2 - 1 3 4 . 8 7 2 0 5 7 . 1 6 . 0 . 0 0 . 0 0 . 0 1 1 2 0 . 7 5 1 2 6 8 . 6 9 - 1 4 7 . 9 4 2 1 1 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 1 2 0 . 7 5 1 1 5 5 . 1 2 - 3 4 . 3 7 2 4 3 6 4 . 1 2 . 1 2 5 8 . 0 6 1 2 6 8 . 6 9 - 1 0 . 6 3 1 2 5 8 . 0 6 1 2 6 8 . 6 9 - 1 0 . 6 3 2 5 3 7 . 1 6 . 1 2 8 2 . 9 3 1 3 1 8 . 9 4 - 3 6 . 0 0 1 2 8 2 . 9 3 1 3 1 8 . 94 - 3 6 . 0 0 2 6 4 3. 1 6 . 0 . 0 0 . 0 0 . 0 1 2 R 2 . 9 3 1 3 9 4 . 3 1 -111.3a 2 6 9 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 2 8 2 . 9 3 1 3 9 4 . 3 1 - 1 1 1 . 3 8 . • : . : . A N A L Y S I S OF STOCK S E L E C T I O N ANO S E L L I N G B Y THE G R A N V I L L E T E C H N I Q U E R E F E R E N C E * * "NEW K E Y TO S T I C K MARKET P R O F I T S " BY R . G R A N V I L L E t 1 9 6 4 I M A R K E T C A T A FOR C I G C L FOR P E R I O D MAY , 1 9 6 8 TD S E P T . i l 9 6 9 ^ 1 M U L T . BUY* T O T A L D A Y S I N V E S T E D * 3 0 3 I * ( Y E A R S I N V E S T E 0 ) = 9 4 9 . 7 8 S I N G L E B U Y * T O T A L DAYS I N V E S T E O = 1 4 9 $ * ( Y E A R S I N V E S T 6 0 ) = 4 7 9 . 0 6 S I N G L E B U Y P O I N T S P R O F I T * - 4 . 12 M U L T . BUY P O I N T S P R O F I T * - 7 . 12 T H E O R E T I C A L M A X . P R O F I T I S 6 5 . 16 POSI TI VE P A R T = 3 3 . 0 2 A V G . D A I L Y V G L = 1 5 7 5 8 . ( CL 'MULAT I VE S I N G L E BUY P R O F I T * - 9 2 1 . 0 4 C U M U L A T I V E M U L T . B U Y P R O F I T = - 1 8 6 9 . 6 8 T R A C E SUMMARY FOR MARKET OATA FOR C IGOL FOR P E R I O D MAY , 1 9 6 8 TO SEP T . , 1 9 6 9 A A A A A A A A J BUY S I G N A L . S E L L S I G N A L S I N G L E BUY A C C O U N T I N G MULT I PL E BUY A C C O U N T I N G REV COST PROF I T REV COST P R O F I T \ 1 9 7 . 1 4 . 1 4 0 7 . 3 1 1 3 8 1 . 2 5 2 6 . 0 6 1 4 0 7 . 3 1 1 3 8 1 . 2 5 2 6 . 0 6 2 6 3 . 1 6 . 1 2 7 0 . 0 0 1 4 0 6 . 3 7 - 1 3 6 . 3 7 1 2 7 0 . 0 0 1 4 0 6 . 3 7 - 1 3 6 . 3 7 < 3 9 3 . 1 6 . 1 0 7 3 . 0 0 1 2 6 8 . 6 9 -105.69 1 0 7 3 . 0 0 1 2 6 8 . 6 9 - 1 9 5 . 6 9 6 0 7 . 1 0 . 9 2 6 . 0 0 1 1 2 8 . 0 0 - 2 0 2 . 0 0 9 2 6 . C O 1 1 2 8 . 0 0 - 2 0 2 . 0 0 6 3 6 4 . 1 0 . 0 . 0 0 . 0 0 . 0 9 2 6 . 0 0 1 0 6 4 . 7 6 - 1 3 8 . 7 6 6 6 4 . ' 1 0 . 0 . 0 0 . 0 0 . 0 9 2 6 . 0 0 1 0 7 7 . 0 0 - 1 5 1 . 0 0 6 9 1 . 1 0 . 0 . 0 0 . 0 0 . 0 9 2 6 . 0 0 • 9 4 9 . 5 0 - 2 3 . 5 0 8 6 4 . 1 2 1 0 . 9 6 3 . 2 4 1 0 1 3 . 7 6 - 5 0 . 52 9 6 3 . 2 4 1 0 1 3 . 7 6 - 5 0 . 5 2 9 2 1 . 1 2 1 0 . 0 . 0 0 . 0 0 . 0 9 6 3 . 24 1 0 1 3 . 7 6 - 5 0 . 5 2 1 0 4 5 . 1 2 1 0 . 0 . 0 0 . 0 0 . 0 9 6 3 . 24 1 0 3 9 . 2 6 - 7 6 . 0 2 1 4 4 7 . 1 6 . 9 3 8 . 7 4 9 7 5 . 0 0 - 3 6 . 2 6 9 3 8 . 7 4 9 7 5 . 0 0 - 3 6 . 2 6 1 5 9 7 . 1 6 . 0 . 0 0 . 0 0 . 0 9 3 8 . 7 4 1 0 7 7 . 0 0 - 1 3 8 . 2 6 1 6 2 1 . 1 6 . 0 . 0 0 . 0 0 . 0 9 3 8 . 7 4 1 0 2 6 . 0 0 - 8 7 . 2 6 1 8 1 1 . 1 2 . 1 1 4 5 . 6 2 1 0 5 1 . 5 0 9 4 . 1 3 1 1 4 5 . 6 2 1 0 5 1 . 5 0 9 4 . 1 3 i e 2 6 . 1 2 . 0 . 0 0 . 0 0 . 0 1 1 4 5 . 6 2 1 1 0 2 . 5 0 4 3 . 1 3 1 8 8 1 . 1 2 . 0 . 0 0 . 0 0 . 0 1 1 4 5 . 6 2 1 1 4 3 . 0 6 2 . 5 6 1 9 5 3 . 1 6 . 1 1 2 0 . 7 5 1 3 8 1 . 2 5 - 2 6 0 . 5 0 1 1 2 0 . 7 5 1 3 8 1 . 2 5 - 2 6 0 . 5 0 2 0 1 1 . 1 6 . 0 . 0 0 . 0 0 . 0 1 1 2 0 . 7 5 1 2 6 8 . 6 9 - 1 4 7 . 9 4 2 1 9 4 . 1 7 . 1 1 0 8 . 8 1 1 2 6 8 . 6 9 - 1 5 9 . 8 8 1 1 0 8 . 8 1 1 2 6 8 . 6 9 - 1 5 9 . 6 8 2 2 3 7 . 1 7 . 0 . 0 0 . 0 0 . 0 1 1 C 8 . 8 1 1 2 1 8 . 4 4 - 1 0 9 . 6 3 2 2 6 1 8 . 1 7 . 0 . 0 0 . 0 0 . 0 1 1 0 8 . e i 1 1 8 0 . 2 5 - 7 1 . 4 4 o • ANALYSIS OF STOCK SELECTION ANO SELLING BY THE GRANVILLE TECHNIQUE REFERENCE** "NEW KEY TO STICK MARKET PROFITS" BY R. GRANVILLE,1964 MARKET CATA FOTTGRT. WEST SACDLERY FOR MAY 6. 1968 TO AUG.25.1969 MULT. BUY* TOTAL OAYS INVESTEO* 226 $*(YEARS INVESTED)= 849.29 SINGLE BUY* TOTAL DAYS INVESTED* 107 $*(YEARS INVESTED)* 357.14 SINGLE BUY POINTS PROFIT* 13.15 MULT. BUY POINTS PROFIT= THEORETICAL MAX. PROFIT IS 214.30 POSITIVE PART * CUMULATIVE SINGLE BUY PROFIT « 614.42 CUMULATIVE MULT.BUY PROFIT * 353.66 TRADE SUMMARY FOR MARKET CAT A FOR GRT. WEST SADDLERY FOR MAY 6,1968 TO AUG.25,1969 AAAAAAAA \ J BUY SIGNAL SELL SIGNAL SINGLE BUY ACCOUNTING MULTIPLE BUY ACCOUNTING REV COST PROF I T REV COST PROFIT \ 4 3. 12. 244.75 250.37 -5.62 244.75 250. 37 -5.62 ) 5 3. 12. 0.0 0.0 0.0 244.75 245.25 -0.50 \ 17 7. 12. 7C7.88 296.50 411.38 707.88 296.50 411.38 26 7. . 12. 0.0 0.0 0.0 707.88 409.25 298.63 31 3. 12. 1170.50 1000.50 170.00 1170.50 1000.50 170.00 32 3. 12. 0.0 0.0 0.0 1170.50 937.26 233.24 97 3. 16. 1319.75 1456.62 -136.87 1319.75 1456.62 -136.87 - 110 64. 11. 1518.75 1431 .50 87i25 1518.75 1431. 50 87.25 119 7. 18. 1518.75 1582.25 -63.50 1518.75 1582.25 -63.50 130 5. 16. 1419.25 1406.37 12.88 1419.25 1406.37 12.88 135 4. 16. 0.0 0.0 0.0 1419.25 1733. CC -313.75 140 7. 16. 0. 0 0.0 0 .0 1419.25 1695.81 -276.56 147 1. 16. 0.0 0.0 0.0 1419.25 1444.56 -25.31 156 1 . 16. 0.0 0.0 0.0 1419.25 1481.75 -62.50 157 6. 16. 0.0 0.0 0.0 1419.25 1506.87 -87.62 162 1. 16. 0.0 0.0 0.0 1419.25 1506.87 -87.62 176 7. 12. 16C6.31 1532.00 74.31 1606.31 1532.00 74.31 -184 7. 12. 0.0 0.0 0.0 16C6.31 1545. 06 61.24 189 3. 12. 2364.50 2173.19 191.31 2364.50 2173.19 191.31 191 3. 12. 2115.75 2160.12 -44.37 2115.75 2160712" -44.37 260 4. 12. 1344.62 1243.56 101.06 1344.62 1243.56 101.06 274 1. 13. 938.74 1180.25 -241.51 938.74 1180.25 -241.51 322 8. 17. 852.50 794.37 58.13 852.50 794.37 58 .13 15.86 111.40 AVG. DAILY VOL » 9733. ANALYSIS OF STOCK SELECTION AND SELLING BY THE GRANVILLE TECHNIQUE REFERENCE** "NEW KEY TC STICK MARKET PROFITS" BY R. GRANVILLE.1964 MARKET DATA FOR "PACIFIC PET. FOR PERICO MAY.6,1968 TC AUG.15,1969 MULT. BUY* TOTAL DAYS INVESTED- 241 1*(YEARS INVESTED)* 1904.28 SINGLE BUY* TOTAL OAYS INVESTED* 150 $*<YEARS INVESTED)* 1207.14 SINGLE BUY POINTS PROFIT- 5.39 MULT. BUY POINTS PROFIT* 13. 79 THEORETICAL MAX. PROFIT IS 170.86 POSITIVE PART = 92.12 AVG. DAILY VOL = 5047. CUMULATIVE SINGLE eUY PROFIT - - 4 7 4 . 0 2 CUMULATIVE MULT.BUY PROFIT -631. 97 TRACE SUMMARY FOR MARKET DATA FOR PACIFIC PET. FOR PERICO MAY.6.1968 TO AUG.15,1969 AAAAAAAA 3 5 45 53 91 95 117 _ 1 2L 160" 174 183 193 200 _209_ 213 219 232 239 254 258 8UY SIGNAL 64. " 9." 1. 7. 7. 4. SELL SIGNAL 16. REV 1966.50 SINGLE BUY COST 2185.25 ACCOUNT PROFIT -218.75 ING REV 1966. 50 MULT IPLE COST 2185.25 BUY ACCOUNTING PROFIT -218.75 o 16. 16. 12. 12. 13. 13. 0.0 0.0 2464.00 0.0 2203. 31 0.0 0.0 0.0 2336.00 0.0 2361 .12 0. 0 0.0 0.0 128.00 0.0 -157.82 0.0 1966. 1966. 2464. 2464. 2203. 2203. 50 50 CO CO 31 31 2160.12 2285.75 2336.00 2361. 12 2361.12 2323.94 -19 3T6~2 -319.25 128.00 102.88 -157.82 -120.63 12. 12. 12. 16. 16. 12. 2874.93 0.0 0.0 2626.18 0.0 2961.50 2676.69 0.0 0.0 2978.19 0.0 2663.62 198.25 0.0 Q.O -352.00 0.0 297.88 2874 2874 2874 2626 2626 2961 ,93 .93 .93 .18 .18 ,50 2676. 69 2713.87 2638.50 2978.19 2839.50 2663.62 198.25 161.06 236.43 -352.00 -213.32 297 .88 12. 12. 12. 12. 16. 16. CO 2961.50 3510.12 0.0 3498.15 0.0 0.0 2914". 87 3391 .37 0.0 3892 .62 0.0 0.0 46. 63 118.75 CO -394.47 0.0 2961, 2961 3510 3510 3498 3498 50 50 12 12 15 ,15 2663.62 2914.87 3391.37 3366.31 3892.62 3717.19 297.88 46.63 118.75 143.81 -394.47 -219.03 263 266 2 74 283 296 318 321 12. 12. 11. 11. 16. 11. 11. 4CC8.87 0.0 3971.97 0.0 3310.62 3136.06 0.0 3942.75 0.0 4043.00 0.0 3391.37 3190.87 0.0 66.13 0.0 -71.03 0.0 -80.75 -54.81 "0.0 4008 4008 3971 3971 3310 3136 87 ,87 ,97 ,97 62 06 3136.06 3942.75 4043.00 4043.00 4268.56 3391.37 3190.87 2639.50 66.13 -34.12 -71.03 -296.59 -80.75 -54.81 296.56 

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