Ford Equity Research Bands In ThinkScript

[SiCPH]

Hey everyone, I've been trying to recreate the Ford Equity Research bands in thinkscript, thought I would ask the professionals here! Been asking around, but to no success have I been able to recreate it one for one. Would love your guy's help!

I can't seem to get it quite right, they overlay the bands onto a monthly chart. I've tried coding it onto a daily chart, with no success so far. Here's what I currently have (http://tos.mx/K7vE49E) Any help to recreate this would be appreciated!

Overview/Info Here: http://www.fordequity.com/docs/default-source/previoussite/ss1202.pdf?sfvrsn=2
IMAGE: Valuation Bands Preview
Ford's Explanation of the Valuation bands
1) The current price/earnings ratio was compared with the average P/E plus or minus two standard deviations (current 12 month reported earnings per share (ECU) was used in the computation of P/E)
2) Plotting a plus and minus two standard deviations band around the mean price/earnings ratio. The standard deviation bands measure the amount of historical variation from the average P/E. The average P/E plus or minus two standard deviations represents the range that P/E ratios will fall 95% of the time

 

[Trading51]

see if the above code comes close

 

[Trading51]

That was pretty quick you made that lol

no,looking through old codes

 

[SiCPH]

declare hide_on_intraday;

script Scale {
input c = close;
input Min = .01;
input Max = 1;
def hh = HighestAll(c);
def ll = LowestAll(c);
plot Range = (((Max - Min) * (c - ll)) / (hh - ll)) + Min;
}
def Earnings = if IsNaN(GetActualEarnings()) then 0 else GetActualEarnings();
def YearsEarnings = Sum(Earnings, 252);
def PE = close / YearsEarnings;

AddLabel(yes, "P/E Ratio: " + PE, color.white);
plot Ratio = Average(Scale(c = PE, Min = Lowest(close, 252), Max = Highest(close, 252)), 252);
Ratio.SetDefaultColor(Color.White);
def SD = StDev(Ratio, 252);
plot Upper = Ratio + (3 * SD);
Upper.SetDefaultColor(color.cyan);
plot Lower = Ratio + (-3 * SD);
Lower.SetDefaultColor(color.cyan);
# End Code PE Study

Looking at this one, I'm wondering how we can get it to plot like the ford equity bands. You've really stumped me here, you've got a great understanding of this script

 

[Trading51]

Im helping out as best as i can for the community

 

[Trading51]

Looking at this one, I'm wondering how we can get it to plot like the ford equity bands. You've really stumped me here, you've got a great understanding of this script

we will need further help from some of the awesome friendly guys that are here, this is a great community

 

[SiCPH]

# plots regression line through PE ratio. Requires just over 5 years on the chart, in ToS that will mean a 10-year chart.

declare lower;
declare hide_on_intraday;

input priorYear = no;
input StDevLines = no;
input bubbles = no;
input cloud = no;

def c = close;
def na = Double.NaN;
def bn = BarNumber();
def Earnings = GetActualEarnings();

# Subcript{} for getting prior value of a BarNumber() defined variable
Script prior {
input of = close;
def priorOf = if of != of[1] then of[1] else priorOf[1];
plot
prior = priorOf;
}

def earningsBar = if !IsNaN(Earnings)
then bn
else earningsBar[1];
def priorEarningsBar1 = prior(of = earningsBar);
def priorEarningsBar2 = prior(priorEarningsBar1);
def priorEarningsBar3 = prior(priorEarningsBar2);
def priorEarningsBar4 = prior(priorEarningsBar3);
def priorEarningsBar5 = prior(priorEarningsBar4);
def priorEarningsBar6 = prior(priorEarningsBar5);
def priorEarningsBar7 = prior(priorEarningsBar6);
def priorEarningsBar8 = prior(priorEarningsBar7);
def priorEarningsBar9 = prior(priorEarningsBar8);
def priorEarningsBar10 = prior(priorEarningsBar9);
def priorEarningsBar11 = prior(priorEarningsBar10);
def priorEarningsBar12 = prior(priorEarningsBar11);
def priorEarningsBar13 = prior(priorEarningsBar12);
def priorEarningsBar14 = prior(priorEarningsBar13);
def priorEarningsBar15 = prior(priorEarningsBar14);
def priorEarningsBar16 = prior(priorEarningsBar15);
def priorEarningsBar17 = prior(priorEarningsBar16);
def priorEarningsBar18 = prior(priorEarningsBar17);
def priorEarningsBar19 = prior(priorEarningsBar18);
def priorEarningsBar20 = prior(priorEarningsBar19);
def priorEarningsBar21 = prior(priorEarningsBar20);
def priorEarningsBar22 = prior(priorEarningsBar21);
def priorEarningsBar23 = prior(priorEarningsBar22);
def priorEarningsBar24 = prior(priorEarningsBar23);

def hEB = HighestAll(earningsBar);
def hpEB1 = HighestAll(priorEarningsBar1);
def hpEB2 = HighestAll(priorEarningsBar2);
def hpEB3 = HighestAll(priorEarningsBar3);
def hpEB4 = HighestAll(priorEarningsBar4);
def hpEB5 = HighestAll(priorEarningsBar5);
def hpEB6 = HighestAll(priorEarningsBar6);
def hpEB7 = HighestAll(priorEarningsBar7);
def hpEB8 = HighestAll(priorEarningsBar8);
def hpEB9 = HighestAll(priorEarningsBar9);
def hpEB10 = HighestAll(priorEarningsBar10);
def hpEB11 = HighestAll(priorEarningsBar11);
def hpEB12 = HighestAll(priorEarningsBar12);
def hpEB13 = HighestAll(priorEarningsBar13);
def hpEB14 = HighestAll(priorEarningsBar14);
def hpEB15 = HighestAll(priorEarningsBar15);
def hpEB16 = HighestAll(priorEarningsBar16);
def hpEB17 = HighestAll(priorEarningsBar17);
def hpEB18 = HighestAll(priorEarningsBar18);
def hpEB19 = HighestAll(priorEarningsBar19);
def hpEB20 = HighestAll(priorEarningsBar20);
def hpEB21 = HighestAll(priorEarningsBar21);
def hpEB22 = HighestAll(priorEarningsBar22);
def hpEB23 = HighestAll(priorEarningsBar23);
def hpEB24 = HighestAll(priorEarningsBar24);

# defining which 4 earnings are in the running annual total for each quarter
def currentEarnings;
def earnings2;
def earnings3;
def earnings4;
def earnings5;
def earnings6;
def earnings7;
def earnings8;
def earnings9;
def earnings10;
def earnings11;
def earnings12;
def earnings13;
def earnings14;
def earnings15;
def earnings16;
def earnings17;
def earnings18;
def earnings19;
def earnings20;
def earnings21;
def earnings22;
def earnings23;
def earnings24;
def earnings25;
def earnings26;
def earnings27;
def earnings28;
def earnings29;
def earnings30;
def earnings31;
def earnings32;
def earnings33;
def earnings34;
def earnings35;
def earnings36;
def earnings37;
def earnings38;
def earnings39;
def earnings40;
def earnings41;
def earnings42;
def earnings43;
def earnings44;
def earnings45;
def earnings46;
def earnings47;
def earnings48;
def earnings49;
def earnings50;
def earnings51;
def earnings52;
def earnings53;
def earnings54;
def earnings55;
def earnings56;
def earnings57;
def earnings58;
def earnings59;
def earnings60;
def earnings61;
def earnings62;
def earnings63;
def earnings64;
def earnings65;
def earnings66;
def earnings67;
def earnings68;
def earnings69;
def earnings70;
def earnings71;
def earnings72;
def earnings73;
def earnings74;
def earnings75;
def earnings76;
def earnings77;
def earnings78;
def earnings79;
def earnings80;
def earnings81;
def earnings82;
def earnings83;
def earnings84;
def earnings85;
def earnings86;
def earnings87;
def earnings88;

if bn == hEB {
currentEarnings = earnings;
earnings2 = GetValue(earnings, bn - priorEarningsBar1);
earnings3 = GetValue(earnings, bn - priorEarningsBar2);
earnings4 = GetValue(earnings, bn - priorEarningsBar3);
}else{
currentEarnings = currentEarnings[1];
earnings2 = earnings2[1];
earnings3 = earnings3[1];
earnings4 = earnings4[1];
}

if bn == hpEB1 {
earnings5 = earnings;
earnings6 = HighestAll(earnings3);
earnings7 = HighestAll(earnings4);
earnings8 = GetValue(Earnings, hpEB1 - hpEB4);
}else{
earnings5 = earnings5[1];
earnings6 = earnings6[1];
earnings7 = earnings7[1];
earnings8 = earnings8[1];
}

if bn == hpEB2 {
earnings9 = earnings;
earnings10 = HighestAll(earnings7);
earnings11 = HighestAll(earnings8);
earnings12 = GetValue(earnings, hpEB2 - hpEB5);
}else{
earnings9 = earnings9[1];
earnings10 = earnings10[1];
earnings11 = earnings11[1];
earnings12 = earnings12[1];
}

if bn == hpEB3 {
earnings13 = earnings;
earnings14 = HighestAll(earnings11);
earnings15 = HighestAll(earnings12);
earnings16 = GetValue(earnings, hpEB3 - hpEB6);
}else{
earnings13 = earnings13[1];
earnings14 = earnings14[1];
earnings15 = earnings15[1];
earnings16 = earnings16[1];
}

if bn == hpEB4 {
earnings17 = earnings;
earnings18 = HighestAll(earnings15);
earnings19 = HighestAll(earnings16);
earnings20 = GetValue(earnings, hpEB4 - hpEB7);
}else{
earnings17 = earnings17[1];
earnings18 = earnings18[1];
earnings19 = earnings19[1];
earnings20 = earnings20[1];
}

if bn == hpEB5 {
earnings21 = earnings;
earnings22 = HighestAll(earnings19);
earnings23 = HighestAll(earnings20);
earnings24 = GetValue(earnings, hpEB5 - hpEB8);
}else{
earnings21 = earnings21[1];
earnings22 = earnings22[1];
earnings23 = earnings23[1];
earnings24 = earnings24[1];
}

if bn == hpEB6 {
earnings25 = earnings;
earnings26 = HighestAll(earnings23);
earnings27 = HighestAll(earnings24);
earnings28 = GetValue(earnings, hpEB6 - hpEB9);
}else{
earnings25 = earnings25[1];
earnings26 = earnings26[1];
earnings27 = earnings27[1];
earnings28 = earnings28[1];
}

if bn == hpEB7 {
earnings29 = earnings;
earnings30 = HighestAll(earnings27);
earnings31 = HighestAll(earnings28);
earnings32 = GetValue(earnings, hpEB7 - hpEB10);
}else{
earnings29 = earnings29[1];
earnings30 = earnings30[1];
earnings31 = earnings31[1];
earnings32 = earnings32[1];
}

if bn == hpEB8 {
earnings33 = earnings;
earnings34 = HighestAll(earnings31);
earnings35 = HighestAll(earnings32);
earnings36 = GetValue(earnings, hpEB8 - hpEB11);
}else{
earnings33 = earnings33[1];
earnings34 = earnings34[1];
earnings35 = earnings35[1];
earnings36 = earnings36[1];
}

if bn == hpEB9 {
earnings37 = earnings;
earnings38 = HighestAll(earnings35);
earnings39 = HighestAll(earnings36);
earnings40 = GetValue(earnings, hpEB9 - hpEB12);
}else{
earnings37 = earnings37[1];
earnings38 = earnings38[1];
earnings39 = earnings39[1];
earnings40 = earnings40[1];
}

if bn == hpEB10 {
earnings41 = earnings;
earnings42 = HighestAll(earnings39);
earnings43 = HighestAll(earnings40);
earnings44 = GetValue(earnings, hpEB10 - hpEB13);
}else{
earnings41 = earnings41[1];
earnings42 = earnings42[1];
earnings43 = earnings43[1];
earnings44 = earnings44[1];
}

if bn == hpEB11 {
earnings45 = earnings;
earnings46 = HighestAll(earnings43);
earnings47 = HighestAll(earnings44);
earnings48 = GetValue(earnings, hpEB11 - hpEB14);
}else{
earnings45 = earnings45[1];
earnings46 = earnings46[1];
earnings47 = earnings47[1];
earnings48 = earnings48[1];
}

if bn == hpEB12 {
earnings49 = earnings;
earnings50 = HighestAll(earnings47);
earnings51 = HighestAll(earnings48);
earnings52 = GetValue(earnings, hpEB12 - hpEB15);
}else{
earnings49 = earnings49[1];
earnings50 = earnings50[1];
earnings51 = earnings51[1];
earnings52 = earnings52[1];
}

if bn == hpEB13 {
earnings53 = earnings;
earnings54 = HighestAll(earnings51);
earnings55 = HighestAll(earnings52);
earnings56 = GetValue(earnings, hpEB13 - hpEB16);
}else{
earnings53 = earnings53[1];
earnings54 = earnings54[1];
earnings55 = earnings55[1];
earnings56 = earnings56[1];
}

if bn == hpEB14 {
earnings57 = earnings;
earnings58 = HighestAll(earnings55);
earnings59 = HighestAll(earnings56);
earnings60 = GetValue(earnings, hpEB14 - hpEB17);
}else{
earnings57 = earnings57[1];
earnings58 = earnings58[1];
earnings59 = earnings59[1];
earnings60 = earnings60[1];
}

if bn == hpEB15 {
earnings61 = earnings;
earnings62 = HighestAll(earnings59);
earnings63 = HighestAll(earnings60);
earnings64 = GetValue(earnings, hpEB15 - hpEB18);
}else{
earnings61 = earnings61[1];
earnings62 = earnings62[1];
earnings63 = earnings63[1];
earnings64 = earnings64[1];
}

if bn == hpEB16 {
earnings65 = earnings;
earnings66 = HighestAll(earnings63);
earnings67 = HighestAll(earnings64);
earnings68 = GetValue(earnings, hpEB16 - hpEB19);
}else{
earnings65 = earnings65[1];
earnings66 = earnings66[1];
earnings67 = earnings67[1];
earnings68 = earnings68[1];
}

if bn == hpEB17 {
earnings69 = earnings;
earnings70 = HighestAll(earnings67);
earnings71 = HighestAll(earnings68);
earnings72 = GetValue(earnings, hpEB17 - hpEB20);
}else{
earnings69 = earnings69[1];
earnings70 = earnings70[1];
earnings71 = earnings71[1];
earnings72 = earnings72[1];
}

if bn == hpEB18 {
earnings73 = earnings;
earnings74 = HighestAll(earnings71);
earnings75 = HighestAll(earnings72);
earnings76 = GetValue(earnings, hpEB18 - hpEB21);
}else{
earnings73 = earnings73[1];
earnings74 = earnings74[1];
earnings75 = earnings75[1];
earnings76 = earnings76[1];
}

if bn == hpEB19 {
earnings77 = earnings;
earnings78 = HighestAll(earnings75);
earnings79 = HighestAll(earnings76);
earnings80 = GetValue(earnings, hpEB19 - hpEB22);
}else{
earnings77 = earnings77[1];
earnings78 = earnings78[1];
earnings79 = earnings79[1];
earnings80 = earnings80[1];
}

if bn == hpEB20 {
earnings81 = earnings;
earnings82 = HighestAll(earnings79);
earnings83 = HighestAll(earnings80);
earnings84 = GetValue(earnings, hpEB20 - hpEB23);
}else{
earnings81 = earnings81[1];
earnings82 = earnings82[1];
earnings83 = earnings83[1];
earnings84 = earnings84[1];
}

if bn == hpEB21 {
earnings85 = earnings;
earnings86 = HighestAll(earnings83);
earnings87 = HighestAll(earnings84);
earnings88 = GetValue(earnings, hpEB21 - hpEB24);
}else{
earnings85 = earnings85[1];
earnings86 = earnings86[1];
earnings87 = earnings87[1];
earnings88 = earnings88[1];
}

def cAE = currentEarnings + earnings2 + earnings3 + earnings4;
def p1QaE = earnings5 + earnings6 + earnings7 + earnings8;
def p2QaE = earnings9 + earnings10 + earnings11 + earnings12;
def p3QaE = earnings13 + earnings14 + earnings15 + earnings16;
def p4QaE = earnings17 + earnings18 + earnings19 + earnings20;
def p5QaE = earnings21 + earnings22 + earnings23 + earnings24;
def p6QaE = earnings25 + earnings26 + earnings27 + earnings28;
def p7QaE = earnings29 + earnings30 + earnings31 + earnings32;
def p8QaE = earnings33 + earnings34 + earnings35 + earnings36;
def p9QaE = earnings37 + earnings38 + earnings39 + earnings40;
def p10QaE = earnings41 + earnings42 + earnings43 + earnings44;
def p11QaE = earnings45 + earnings46 + earnings47 + earnings48;
def p12QaE = earnings49 + earnings50 + earnings51 + earnings52;
def p13QaE = earnings53 + earnings54 + earnings55 + earnings56;
def p14QaE = earnings57 + earnings58 + earnings59 + earnings60;
def p15QaE = earnings61 + earnings62 + earnings63 + earnings64;
def p16QaE = earnings65 + earnings66 + earnings67 + earnings68;
def p17QaE = earnings69 + earnings70 + earnings71 + earnings72;
def p18QaE = earnings73 + earnings74 + earnings75 + earnings76;
def p19QaE = earnings77 + earnings78 + earnings79 + earnings80;
def p20QaE = earnings81 + earnings82 + earnings83 + earnings84;
def p21QaE = earnings85 + earnings86 + earnings87 + earnings88;

def annualEarnings =
if bn == hpEB21
then p21QaE
else if bn == hpEB20
then p20QaE
else
if bn == hpEB19
then p19QaE
else if bn == hpEB18
then p18QaE
else if bn == hpEB17
then p17QaE
else if bn == hpEB16
then p16QaE
else
if bn == hpEB15
then p15QaE
else if bn == hpEB14
then p14QaE
else if bn == hpEB13
then p13QaE
else if bn == hpEB12
then p12QaE
else if bn == hpEB11
then p11QaE
else if bn == hpEB10
then p10Qae
else
if bn == hpEB9
then p9QaE
else if bn == hpEB8
then p8QaE
else if bn == hpEB7
then p7QaE
else if bn == hpEB6
then p6QaE
else
if bn == hpEB5
then p5QaE
else if bn == hpEB4
then p4QaE
else if bn == hpEB3
then p3QaE
else if bn == hpEB2
then p2QaE
else if bn == hpEB1
then p1QaE
else if bn == hEB
then cAE
else annualEarnings[1];
def AE = annualEarnings;

# variable length regression line subscript
script Slope {
input y = close;
input l = 40;
def n = Round(l, 0);
def na = Double.NaN;
def bn = BarNumber();
# start and end bars
def developingBar = if !IsNaN && IsNaN(y[-1])
then bn else developingBar[1];
def currentBar = HighestAll(developingBar);
def trailingBar = if GetValue(bn, -n) == currentBar
then bn else trailingBar[1];
def startingBar = HighestAll(trailingBar);
def x = if GetValue(bn, -n) > currentBar
then bn - startingBar else x[1];

# arithmetic
def Ex = fold ix = 0 to n
with px do px + GetValue(x, ix);
def Ey = fold iy = 0 to n
with py do py + GetValue(y, iy);
def Exy = fold ixy = 0 to n
with pxy do pxy + GetValue(x * y, ixy);
def Ex2 = fold ix2 = 0 to n
with px2 do px2 + GetValue(x * x, ix2);
# math
def b = (n * Exy - (Ex * Ey)) /
(n * Ex2 - (Ex * Ex));
def getB = if bn > startingBar
then GetValue(b, bn - currentBar)
else na;
def a = (GetValue(Ey, bn - currentBar) - getB *
GetValue(Ex, bn - currentBar)) / n;

plot
line = if !IsNaN(getB) && !IsNaN
then a + (getB * x) else na;
plot
startBar = startingBar;
plot
formingBar = currentBar;

}

def newBar = Slope().formingBar;
def startingBar = Slope(l = newBar - hpEB21).startBar;

plot PE;
plot HiPE;
plot LoPE;
if bn >= startingBar {
PE = c / AE;
HiPE = HighestAll(if(bn >= startingBar,PE,na));
LoPE = LowestAll(if(bn >= startingBar,PE,na));
}else{
PE = na;
HiPE = na;
LoPE = na;
}
PE.SetDefaultColor(Color.White);
HiPE.SetDefaultColor(Color.DownTick);
LoPE.SetDefaultColor(Color.UpTick);

plot
MeanPE = (LoPE + HiPE) / 2;
MeanPE. SetDefaultColor(Color.Dark_Gray);
MeanPE. SetStyle(Curve.Short_Dash);

plot
Slope = Slope(c/AE, newBar - startingBar);
Slope. SetDefaultColor(Color.Cyan);

plot
YearSlope = if priorYear
then Slope(PE, newBar - hpEB4)
else na;
YearSlope. SetDefaultColor(Color.Yellow);
YearSlope. SetStyle(Curve.Long_Dash);
YearSlope. SetLineWeight(2);

def xLocate = bubbles && IsNaN(c[24]) && !IsNaN(c[25]);
AddChartBubble(xLocate,HiPE, "High P:E\n"+Round(HiPE,2), Color.DownTick,0);
AddChartBubble(xLocate,LoPE, "Low P:E\n"+Round(LoPE,2), Color.UpTick);
AddCloud(if(cloud,PE,na),Slope,Color.Green);


plot Upper1;
plot Upper2;
plot Lower1;
plot Lower2;
if StDevLines {
upper1 = Slope + HighestAll(StDev(c/AE,22));
upper2 = Slope + 2 * HighestAll(StDev(c/AE,22));
lower1 = Slope - HighestAll(StDev(c/AE,22));
lower2 = Slope - 2 * HighestAll(StDev(c/AE,22));
}else{
upper1 = na;
upper2 = na;
lower1 = na;
lower2 = na;
}

upper1.SetDefaultColor(Color.Gray);
upper2.SetDefaultColor(Color.Gray);
lower1.SetDefaultColor(Color.Gray);
lower2.SetDefaultColor(Color.Gray);


# f/ Price to Earnings Oscillator

So far, this one looks like it comes the closest, & it uses the StDev to calculate the HiPE and LowPE, I need to understand how they're calculated though

 

[SiCPH]

Im helping out as best as i can for the community

https://imgur.com/a/oqjSMjV

This is the comparison

 

[Trading51]

https://imgur.com/a/oqjSMjV

This is the comparison

We need someone to chime in and see what could be adjusted

 

[RobnATL]

Has any progress been made on this effort? I appreciate Ford Equity's Valuation Bands and would like to explore their usefulness.

I created the following based on the work of others here. Hope it is useful in advancing this topic. To see the upper study values, need to activate Left Axis in study and in price chart)

declare upper;

def AE = if IsNaN(GetActualEarnings()) then 0 else GetActualEarnings();
def EPS_TTM = Sum(AE, 252);
def PERatio_Value = close / EPS_TTM;
def PERatio_MA = Average(PERatio_Value, 252);

def PERatio_Upper2 = PERatio_MA + 2 * StDev(PERatio_MA, 252);
def PERatio_Lower2 = PERatio_MA + -2 * StDev(PERatio_MA, 252);

plot PERatio = PERatio_MA;
plot PERatioStDevUpper2 = PERatio_Upper2;
plot PERatioStDevLower2 = PERatio_Lower2;

 

[RobnATL]

Below is the definition for the Ford Equity Research Valuation Bands. This definition was taken from a Ford Equity Research report.

Valuation Band: The Ford Valuation Band chart shows the price performance of the stock over the past 5 year period in relation to its historical price/earnings valuation range. The red and green lines indicate the highest and lowest P/E, respectively, in the past 5 years multiplied by trailing 12-month operating earnings per share at the plotted point. The end point prices shows the current share price (in black) along with the potential high price based on the highest realized P/E in the past 5 years (in red), potential low price based on lowest realized P/E in the past 5 years (in green), and trailing 10-month average price (in yellow).

 

[RobnATL]

Now, sorting this out a bit...there are two different FER charts.

1) Valuation Bands chart describe in the definition above.

2) Standard Deviation chart described by SiCPH in the opening of this thread.

You can find the two charts together at the link by SiCPH: http://www.fordequity.com/docs/default-source/previoussite/ss1202.pdf?sfvrsn=2

Here is an updated example of the Valuation Bands chart: https://cdn.slidesharecdn.com/ss_th...135209-phpapp02-thumbnail-4.jpg?cb=1359294764