Post #1595 by agehlot on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I have a quick question for Elan and Jim.

As per the old Motley Fool posts from 1999, DH10 RRS 126-2s screen definition said: The regression line slope over the last 126 trading days, using log-price versus trading day.

And in one of the posts from Jim a year ago he mentioned the methodology as:
Take the prices for the last 6 months for the first stock, let's say in column A.
Take the log of all those prices = LN (a1) in column B.
Calculate the slope, =SLOPE (B1:B126,A1:A126).
As per Jim’s explanation above, the regression line slope is using log-price versus the “actual price” instead of trading days.

Which is the correct way to calculate the regression slope for DH10 RRS 126-2s?
Thanks in advance.
AJ

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