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Strategies & Market Trends : P&F Research
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To: Mr. BSL who wrote (350)2/4/1999 4:02:00 PM
From: Mr. BSL  Read Replies (3) of 389
 
P&F125-basic study. Study ended.
Summary: Stocks in this basic portfolio returned 11.4% vs. 21.7% in
the S&P500 since the study began on 9/28/98.

Results:
1) Plugging stocks into a portfolio based only on the stock's trend
and RS did not result in the portfolio beating the market.

2) Stocks tended to make most of their gains within the 2 or 3 weeks
following the time they broke above their Bearish Resistance Line.
Unfortunately, during most of the study, a stock like this would go
to the back of the "replacement stock line" for an average wait in
line of about a month before it moved into the actual PNF125-Basic
portfolio. A lesson learned would be to put new "standy" stocks
into the front of the replacement line instead of in back, for the
full study period.

3) Stocks that had their RS shift to X's also tended to cool off after
an initial run up. The difference is that the RS stock usually
made a good chunk of it's gain before the shift into a column of
X's took place. Perhaps a change in the RS formula to use the
S&P500 instead of the DJIA would allow for more of the hot stock's
run up to be captured.

4) This study only lasted four months and is therefore not very
significant statistically.

The idea of this study was to work out the bugs of doing a study and
then add other attributes to the stock selection process such as
sector and general market info.

The next study, which will probably start in a few months, will
incorporate sectors in the stock selection process. Sectors below 50%
and in a column of X's will probably be the first cut.
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