Here are the results of the June 98 low RS / neg cash flow screen.
I did this screen on June 10, which turned out to be in the early
stages of a small cap bear market.
The top 20 stocks were as follows, listed with the lowest 18-week RS first:
yild,acei,bexp,zitl,anlt,ener,iaic,poss,ltbg,eptg,gztc,satc,useg,icom,pix,cnbi,mscm,lvel,ocom,scur,mcom,poso,genzl,tera,npth
results:
these stocks had an average return of -49% from June 10 to Oct. 6.
This return doesn't include mscm, which apparently quit trading (I
didn't check why).
click the link below to see yahoo's detailed report on all 25 stocks:
quote.yahoo.com
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Boiler plate info:
How the scan was done:
I used Telescan's Prosearch, available on the web (for a subscription) at tscn.com
Search components were:
shortability:
price > $5
30 day ave vol > 5 k
small cap:
$20 M < market cap < $200 M
low RS:
rel performance 18 weeks : low as possible
eliminate value stocks:
p/b > 3
p/s > 2
free cash flow < 0
cash/price ratio : low as possible
I optimized the above parameters in May and June 1998, which was soon
after a small cap market peak, by backtesting the results (I played
with the p/s, p/b ratios, and the time span for the low RS) and this
is the set of parameters that did the best over the previous 3-6
months. The returns from this screen are probably best over a 3+
month holding period.
I don't recommend shorting any of the stocks produced by this screen.
This list is intended only to encourage further research. |
