Herb,
First, thank you for giving us a taste of your research, I find your approach very interesting. But I must confess, that if I had your list of best and worst candidates, I'd still want to use that list as the pool of stocks for short term trading. :-)
As far as stops, there's at least one statistically based approach, maximum adverse excursion. In short, take the results of your backtesting, and for all winners that were at one time in losing territory, how far into negative territory did they go before turning around? Eg. you may find that 90% of stocks that ever go more than 25% negative never recover, so that would be the stop-loss point.
Also, I've found one site, tscn.com, which has some online fundamental searches that can be backtested, but only over limited time periods.
CL |
