Benjamin Graham’s Method - Wealth Lab Forum

Benjamin Graham’s Method

Author: B.W.O.

Creation Date: 3/9/2018 6:35 PM

Wealth Lab » Trading Strategies » Benjamin Graham’s Method

B.W.O.

3/9/2018 6:35 PM

Hi, guys, I was wondering if we still could code the Benjamin Graham’s Method script that was coded in WL4 and I had published near the end of the site’s existence on WL4?

??

Eugene

3/9/2018 7:09 PM

Hi Beau,

Sorry, the wl4 website with all its scripts has been taken down permanently.

B.W.O.

3/10/2018 5:15 AM

Yes, I know that. I was just wondering if anyone had it?

Eugene

3/10/2018 5:41 AM

Why not create it from scratch? Doesn't seem terribly complicated:

https://www.serenitystocks.com/benjamin-graham-formula

Whoever wishes to take a shot at it he might want to have a look at Cone's post #8 here: LDL2 strategy. Basically this is what the "Unadjust Splits" $Include was doing for v4 i.e. how to come up with the unadjusted Close.

KGo

3/13/2018 3:25 PM

Here it is.

CODE:
Please log in to see this code.

To get the unadjusted close use this code to resolve an error in the canned routine discussed at:
https://www.wealth-lab.com/Forum/Posts/DataSeriesOp-SplitReverseFactor-gives-different-results-depending-on-the-date-range-38760

CODE:
Please log in to see this code.

Size:

Color:

Here it is.

[code](*Description...
Below is a working version of Benjamin Graham's method for using the margin of safety concept.

*)
var Assets, AssetsPane, Liab, LiabPane, LTD, LTDPane, PPE, PPEPane, NCAPane,NetCurrentAssets,twothirdNCAvalue: integer;
var Bar, p: integer;
Assets := FundamentalPriceSeries( 'assets' );
Liab := FundamentalPriceSeries( 'liabilities' );
LTD := FundamentalPriceSeries( 'long_term_debt' );
PPE := FundamentalPriceSeries( 'property_plant_and_equipment' );
AssetsPane := CreatePane( 50, true, true );
PlotSeriesLabel( Assets, AssetsPane, #Green, #ThickHist, 'Assets (mrq)' );
LiabPane := CreatePane( 50, true, true );
PlotSeriesLabel( Liab, LiabPane, #Maroon, #ThickHist, 'Liabilities (mrq)' );
LTDPane := CreatePane( 50, true, true );
PlotSeriesLabel( LTD, LTDPane, #Red, #ThickHist, 'Long-Term Debt (mrq)' );
PPEPane := CreatePane( 50, true, true );
PlotSeriesLabel( PPE, PPEPane, #Gray, #ThickHist, 'Property Plant and Equipment (mrq)' );
NetCurrentAssets:= SubTractSeries(Assets,Liab);
NetCurrentAssets:=SubTractSeries(NetCurrentAssets,LTD);
NetCurrentAssets:=SubtractSeries(NetCurrentAssets,PPE);
twothirdNCAvalue:=MultiplySeriesvalue(NetCurrentAssets,0.67);
NCAPane:=createpane(50,true,true);
{$I 'Unadjust Splits'}
var CSO,CSOPane:integer;
CSO := MultiplySeries(
          FundamentalPriceSeries( 'common_shares_outstanding' ),
          FundamentalPriceSeries( 'adjustment_factor' ) );
CSO := RecentSplitAdjustSeries( true, false, CSO );
CSOPane := CreatePane( 50, true, true );
NetCurrentAssets:=DivideSeries(NetCurrentAssets,CSO);
twothirdNCAvalue:=divideseries(twothirdNCAvalue,CSO);

PlotSeriesLabel(NetCurrentAssets,NCAPane,#Green,#ThickHist,'Net Current Assets');
PlotSeriesLabel(twothirdNCAvalue,NCAPane,#Red,#Line,'Two Thirds Net Current Asset Value');
{$I 'Fundamental Data Ratios Library'}
var NetIncome, NetIncomePane, PE, PEPane: integer;

NetIncome := FundamentalPriceSeries( 'net_income' );
PE := PriceToRatioSeries( 'net_income' );

NetIncomePane := CreatePane( 50, true, true );
PlotSeriesLabel( NetIncome, NetIncomePane, #Green, #ThickHist, 'Net Income (mrq)' );
PEPane := CreatePane( 50, true, true );
PlotSeriesLabel( PE, PEPane, #Navy, #ThickHist, 'Price/Earnings Ratio (ttm)' );
for Bar := 20 to BarCount - 1 do
begin
  if LastPositionActive then
  begin
    p := LastPosition;
    sellatlimit(Bar+1,@NetCurrentAssets[bar],p,'');
  end
  else
  begin
    if not LastPositionActive then
    begin
      if (@#Close[bar]>5) and (@twothirdNCAvalue[bar]>@#Close[bar]) and (@twothirdNCAvalue[bar]>0) then begin
        if @NetIncome[Bar] > 0 then
      begin
        if @PE[Bar] < 18 then
        begin
          BuyAtMarket( Bar + 1, '0' );
        end;
      end;
      end;
    end;
  end;
end;
[/code]

To get the unadjusted close use this code to resolve an error in the canned routine discussed at: 
[link]https://www.wealth-lab.com/Forum/Posts/DataSeriesOp-SplitReverseFactor-gives-different-results-depending-on-the-date-range-38760[/link]

[code]		public DataSeries SplitReverseFactorSeries()
		{
			// WLP SplitReverseFactor does not corectly calc reverse factor on Barcount-1
			// This replacement fixes it using Fidelity date for WLP and Yahoo! data for WLD
			string description = Bars.Symbol + "_SplitReverseFactor" ;
			
			// Retreive cache if available
			if (Bars.Cache.ContainsKey(description))
				return Bars.Cache[description];

// Create Split reverse factor series
			string wlp = "WealthLabPro";
			string app = System.Windows.Forms.Application.ProductName;
			string splitItemName = app == wlp ? "split" : "Split (Yahoo! Finance)";
			IList<FundamentalItem> fList = FundamentalDataItems(splitItemName);
			
			DataSeries srf = new DataSeries(Bars, Bars.Symbol + "_SplitReverseFactor");               
			int b = Bars.Count - 1;         
			srf = srf + 1.0 ;
			srf.Description = description ;
			
			// Record all future splits on series
			for (int n = fList.Count - 1; n >= 0 ; n--)
			{            
				FundamentalItem fi = fList[n];
				if (fi.Bar == -1) 
				{
					if (fi.Date > Date[Bars.Count - 1])
					{
						// Future splits product on BC-1
						srf[b] = srf[b] * fi.Value ;
					}
				}
				else
				{
					// In series factor is applied to prices thru the bar before the split
					if( fi.Bar > 0 )
						srf[fi.Bar-1] = fi.Value ;
				}
			}	
			
			// populate srf series with final values
			for (int bar = Bars.Count - 2; bar >= 0 ; bar--)
			{	
				srf[bar] = srf[bar+1] * srf[bar] ;
			}
			
			// Cache and return it
			srf.Cache[description] = srf ; ;
			return srf ;
		}[/code]

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