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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis
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To: Vol who wrote (2196)4/16/1999 8:16:00 AM
From: s berg  Read Replies (1) of 2506
 
Re: QI filters of John G's screen,

Thanks for checking the screen. Sorry the results are disappointing. I ran the filter options checking stocks only and have tried it for both active companies and all companies with similar results. Let me know if you can think of any other differences in settings.

When I have tried some of the other plowback screens posted I often get results slightly worst than posted. I assume it is some minor diff in QI versions. In this case it is significantly worst which is frustrating. In terms of chasing zebras to find an explanation I am posting results without relstr because an earlier post claimed that QI changed its relstr parameter. Also I am posting results from backtesting the MCAP only. This would give us some idea, based on the number of stocks whether your database is improved over my earlier version. At some point we may need to E-mail Ernie MacFarline at QI for help. I have found him to be very responsive.

Incidentally, I agree with your point about market timing. It is a very different question whether market timing works in conjunction with a mechanical strategy (long or short) as compared to market timing a broad market index such as the S&P500.

(filter settings: Stocks no ADR, active companies)
Backtesting without relstr line
Row Buy Date Percent Return (mean) vs S&P 500 # of Stocks Bought
1 1998 Apr -43.6% -32.9% 85
2 1997 Apr 23.9% -3.4% 79
3 1996 Apr -8.6% -15.6% 95
4 1995 Apr 12.6% -2.4% 71
5 1994 Apr -11.9% -15.7% 58
6 1993 Apr 12.6% +8.1% 60
7 1992 Apr -21.1% -23.3% 48
8 1991 Apr 17.9% +16.4% 37
9 1990 Apr -19.9% -11.5% 25
10 1989 Apr 0.4% -20.3% 16
11 1988 Apr -1.9% -6.9% 13
12 1987 Apr -12.3% -21.5% 24
13 1986 Apr -12.4% -14.6% 27
14 Compound -6.8% -12.4%
15 Mean -4.9% -11.1% 49
16 StdDev 18.6% 13.4% 27.7

Backtesting MCAP only,
Row Buy Date Percent Return (mean) vs S&P 500 # of Stocks Bought
1 1998 Apr -30.8% -20.1% 3385
2 1997 Apr 34.2% +6.9% 3484
3 1996 Apr 4.7% -2.2% 3238
4 1995 Apr 20.2% +5.2% 3042
5 1994 Apr -0.0% -3.8% 2784
6 1993 Apr 11.4% +6.9% 2249
7 1992 Apr -7.9% -10.1% 1888
8 1991 Apr 4.6% +3.1% 1610
9 1990 Apr -20.4% -12.0% 1423
10 1989 Apr 13.0% -7.8% 1250
11 1988 Apr 2.4% -2.7% 1067
12 1987 Apr 1.4% -7.8% 901
13 1986 Apr -5.3% -7.5% 439
14 Compound 0.8% -4.8%
15 Mean 2.1% -4.0% 2058
16 StdDev 16.6% 8.1% 1,038.7
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