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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis
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To: Q. who wrote ()9/5/1999 6:19:00 PM
From: s berg   of 2506
 
Last Spring I posted two Q Analytics backtested shorting screens based on John G's Telescan screen posted here. This post is to update in real time how the screens are doing based on May 28th dates for starting mock portfolios. The result is a mixed bag. Screen 1's five stocks are
1 EPIX Medical, Inc.
2. Equus II
3 Launch Media, Inc
4 Pilgrim America Capital
5 ViroPharma, Inc.
As of Labor Day weekend these stocks are up 33% vs 4.4% for the S&P very bad for a shorting screen. On the other hand Screen 2 is down 10.7% with 4/5 stocks down but one stock, SANG is up 55%. Vol is having better luck with similar screens so overall I am optimistic.




Screen 1 Backtest:
April Start, 6 month hold
Row Modified Filter Rules
1 PriceTrading > 5
2 Avg$Volume6W highest% 80
3 MCap.FY < 200,000,000
4 MCap.FY > 20,000,000
5 PCash.FY highest% 25
6 PSales.FY > 2
7 OperCashFlow.FY < 0
8 RelStr lowest 5

Row Buy Date Percent Return (mean) vs S&P 500 # of Stocks Bought # of Losing Stocks
1 1998 Apr -46.5% -35.8% 5 5
2 1997 Apr 38.5% +11.3% 5 1
3 1996 Apr -20.7% -27.6% 5 5
4 1995 Apr 13.8% -1.2% 5 1
5 1994 Apr -19.2% -23.0% 5 4
6 1993 Apr -19.7% -24.2% 5 4
7 1992 Apr -17.5% -19.7% 5 3
8 1991 Apr -3.5% -5.1% 5 1
9 1990 Apr -29.0% -20.6% 5 5
10 1989 Apr -6.0% -26.7% 5 3
11 1988 Apr -1.3% -6.3% 5 3
12 1987 Apr -4.1% -13.3% 5 4
13 1986 Apr -41.7% -43.9% 5 5
14 Compound -14.7% -20.3%
15 Mean -12.1% -18.2% 5 3
16 StdDev 22.5% 15.0% 0.0 1.6

Screen 2 Backtest
Row Modified Filter Rules
1 PBook.FY > 3
2 OperCashFlow.FY < 0
3 RelStr < 15
4 AvgVolume6WTrading highest 20
5 MCap.FY highest 5

66% losing stocks overall, CAGR -17%

Row Buy Date Percent Return vs S&P 500
1 1998 Apr -60.4% -49.7%
2 1997 Apr 36.4% +9.1%
3 1996 Apr -36.0% -42.9%
4 1995 Apr -1.9% -16.9%
5 1994 Apr -32.8% -36.6%
6 1993 Apr 43.5% +39.0%
7 1992 Apr -39.3% -41.6%
8 1991 Apr 13.5% +11.9%
9 1990 Apr -44.0% -35.6%
10 1989 Apr -16.9% -37.6%
11 1988 Apr -5.8% -10.8%
12 1987 Apr -14.4% -23.6%
13 1986 Apr 4.3% +2.1%
14 Compound -17.0% -22.7%
15 Mean -11.8% -17.9%
16 StdDev 31.1% 26.8%
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