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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis
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To: Vol who wrote (2164)4/6/1999 9:28:00 PM
From: s berg  Read Replies (1) of 2506
 
New John G shorting Screen Variation
Below is my latest itineration of John G's shorting screen posted on SI. April start, 12 week lag (because the screen relies on Fiscal Year data not available until April) 6 month hold. Several posters expressed an interest in using John G's screen to find optionable stocks. I have tweaked his screen to find larger cap stocks some of which are optionable. Contrary to expectations adding a line at the bottom of the screen to identify high market cap stocks actually boosts returns above the small / microcap stocks in the earlier screen. Interestingly, volume here is used, not to identify shortable stocks as in the original John G screen but rather to capitalize on an effect found in some academic studies. High volume, in a weakening large cap stock predicts future poor performance. Appreciate any feedback on the screen including suggesting for other parameters to consider. As soon as I get new data from Q Anal (probably two weeks) I will start posting a bi-weekly model shorting portfolio.

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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