SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Strategies & Market Trends : TA-Quotes Plus
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  
To: gonzongo who wrote (5004)6/28/1998 2:02:00 PM
From: Howard R. Hansen   of 11149
 
>> Dear Herb- QP2- is the most powerful tool I have seen to answer the questions of what correlates whether technical or fundamental- regardless all tools are available. So the challenge is "what works?"<<

Gonzongo, Here are some ideas for screens.

Reasonable Runaways
This screen is from James O'Shaugnessy's book "How to Retire Rich"
pages 53 through 60. Screen on:
1. Market capitalization greater than 150 million and
2. Price to sales ratio, PSR, less than 1 and
3. Select 25 stocks with best one year price appreciation.
4. Rerun the selection process once a year.

Past performance from 1952 through 1996 when selecting 25 stocks

Yearly Returns. RR.. S&P 500
Average......... 22.6% 13.4%
Median.......... 27.6% 14.3%
High.............. 81.2% 52.6%
LOw............. -31.5% -26.5%

If one selects fewer than 25 stocks then the probability of a large
deviation in the actual results from what one would expect from past
performance increases.

Cornerstone Growth
This screen is from James O'Shaughnessy's book "What works on Wall
Street" pages 253 through 277. Screen on:
1. Increasing earnings in prior year and
2. PSR less than 1.5 and
3. Select 50 stocks with best one year price appreciation.
4. Rerun the selection process once a year.

Past performance from 12-31-1954 through 12-31-1994 when selecting 50
stocks.

Yearly Returns..... CG.. All Stocks
Average............... 21.2% 14.3%
Standard Deviation 26.0% 19.8%
High..................... 83.3% 55.9%
Low.................... -29.1% -27.9%

If one selects fewer than 50 stocks then the probability of a large
deviation in the actual results from what one would expect from past
performance increases.

Note, In the first edition of "What works on Wall Street" the book
says increasing earnings for 5 consecutive years but Chris Loveless,
a Vice President with the O'Shaughnessy Mutual Funds, in a e-mail
message said this was a typo and it should be 1 year.

And another screen that shows promise

1. Average PSR for the prior 3 years less than or equal to 1.5 and
2. Increasing earnings for the prior 2 years.
3. Sell stocks when their earnings decrease on a year to year basis.
4. Rerun the selection process when ever you want to add or replace
a stock.
5. Select as many stocks as your budget permits although I suggest a
minimum of ten.
6. This screen should be used as a preliminary screen as it produces
to many hits to be used as a final screen

For the one back test I ran on a screen similar to this screen it gave
the best results of all the screens I tested. However, I am afraid it
might be a fluke and I would appreciate it if others would back test
this screen.
Report TOU ViolationShare This Post
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  

HomeMailHotSubjectMarksPeopleMarksKeepersSettings
Terms Of UseContact UsCopyright/IP PolicyPrivacy PolicyAbout UsFAQAdvertise on SI
© 2025 Knight Sac Media.  Data provided by Twelve Data, Alpha Vantage, and CityFALCON News