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To: FREAKAZOID who wrote (2370)	7/16/1999 8:57:00 PM
From: Nine_USA	Respond to of 5408

Because my QP2 based stock selection results continue to be promising, I am posting more current information about my investment approach. Several months ago, I posted the results of my stock selection done on the basis of a combination of QP2 fundamental variables as well as price and volume variables. My goal was to significantly outperform the SP500 on strictly a long basis, or alternatively outperform the SP500 at REDUCED risk by combining a long position of highly ranked stocks, with a short position of the weakest ranked stocks. My database consists of a collection of daily databases each of which which was abstracted from each of the daily QP files from Feb 17, 1998 to the present. Each of these 8Meg daily abstracted files contains the approximately 7300 common stocks which have at least 1 year of price history and contains at least skeletal data. For each such stock, I maintain about 90 variables as well as substantial price and volume information. Finally, for any given market day in the time frame I maintain, I can rank all stocks by assigning weights to variables and compute how well each stock performs against the collection of variable filters I might employ. With any group of stocks so selected, I can then compute the investment return from date of selection to any arbitrary sale date. This is done for each selected stock as well as for a portfolio of them. The process of selecting variables to use as filters and the weights assigned to them and the most useful holding periods, were done on the basis of intuition, observation, trial & error, and are surely far from optomized. But the results, so far, are so good that I am not inclined to work further in that direction. Some observations based on examination of 17 months of results. --------------------------------------------------------------- 1. the best approach is based on variables favoring high momentum stocks. 2. best holding period is one year minimum as shorter periods allow too much market sourced volatility. 3. strong momentum stocks appear more frequently on the NasDaq. 4. it is harder to outperform on the short side than the long. Tables 1 thru 8 below show the results 8 scans which were performed on 8 selected dates in order to select stocks to hold for 1 year. ---------------------------------------------------------------- Summary of 8 one year investments over 17 months from Feb 17 '98 to July 15 99 For tables 1 thru 7, use the %return shown under '12mn' For table 8, use the return shown under '6m%' Table Date Date Holding # Stocks %Investment % SP500 Number Selected Sold Period Selected Return Return ------------------------------------------------------------------- 1 7-14-98 7-15-99 1 yr 9 113.6 19.9 2 7-01-98 7-02-99 1 yr 8 113.9 20.4 3 6-01-98 6-02-99 1 yr 1 62.1 18.5 4 5-01-98 5-02-99 1 yr 4 286.0 20.5 5 4-01-98 4-01-99 1 yr 5 299.4 16.7 6 3-02-98 3-01-99 1 yr 2 310.4 17.9 7 2-17-98 2-18-99 1 yr 2 317.0 23.6 8 4-07-98 10-08-98 6 mn 6 12.5 -13.1 These results were obtained by using an extremely high threshold on ranking. Larger portfolios would have have resulted by lowering the threshold but with lower, albeit highly satisfactory, results. Because the worst 1 year time frame for which I had data did not include the worst date on which to sell, I did a 6 month run (Table 8) which covers the 6 months ending Oct 8, 1998. While this group returned far less than others, its 12.5% 6 month return was still 26.6% higher than the negative 13.1% return of the SP500. Detail tables 1-8 ----------------- Run 07/16/99 4:57:29 PM ---------------------------------------------------------------------------------------------------------------------- Table 1. Data as of close 19980714 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E DELL 3571 107.38 43.94 6.8 153 57.1 65.8 10.8 10.4 6.7 26.9 18.8 1.1 6 9 100 304 6.8 120 172 97 98 AOL 7370 120.50 121.00 11.2 140 308.5 424.7 66.0 -15.9 -3.4 27.7 10.0 1.4 5 13 100 377 2.8 128 194 98 97 YHOO 7375 186.50 154.44 83.0 136 239.9 181.0 -16.1 -20.6 -1.9 23.3 -10.3 -1.0 7 14 94 597 na 141 219 99 99 CSCO 3576 94.88 66.56 1.7 134 109.0 162.7 38.8 20.7 15.3 19.7 3.2 0.7 2 11 100 204 12.7 116 145 93 88 EMC 3572 48.88 64.88 3.5 133 161.8 148.7 40.6 12.0 25.1 32.2 18.0 1.2 1 6 100 216 17.4 110 137 95 84 LU 3661 87.94 77.62 0.9 132 71.5 140.9 48.9 33.8 32.7 32.8 15.1 -1.6 3 10 98 241 1.6 116 158 95 92 PVN 6153 82.44 96.00 2.4 132 75.1 128.6 31.5 -19.2 -21.3 22.3 2.9 0.5 5 9 99 243 33.2 119 153 95 77 EQ 6311 82.56 68.62 1.5 131 -15.0 82.7 15.4 -4.4 1.7 8.7 2.4 -0.9 2 9 99 239 7.3 117 149 95 88 GTW 3571 63.75 72.00 19.9 130 14.4 61.4 26.3 9.3 9.1 12.4 21.9 2.0 4 11 100 254 1.7 126 157 91 84 Cumulative Returns filter ____VALK Stocks All Eval on 19980714 Bought at next day close Sell on 19990715 long # 9 113.6 155.2 29.1 2.9 7.1 22.9 9.1 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 9 113.6 155.2 29.1 2.9 7.1 22.9 9.1 SPY 19.9 41.6 14.3 6.3 5.4 7.8 2.9 ---------------------------------------------------------------------------------------------------------------------- Table 2. Data as of close 19980701 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E AOL 7370 110.75 112.12 11.2 140 304.9 301.7 52.1 -25.3 -15.8 1.8 1.3 5.4 5 13 100 372 2.8 126 188 98 95 COF 6141 125.38 55.75 2.0 142 33.4 62.3 42.2 8.3 -1.6 6.1 4.7 1.0 2 12 100 382 25.4 123 180 97 90 CPWR 7372 51.06 31.38 1.3 135 22.9 6.6 -18.4 27.5 24.3 2.5 4.2 -0.1 3 8 97 223 15.9 110 127 91 93 CSCO 3576 94.56 64.38 1.9 133 104.3 108.3 38.9 17.1 13.3 16.9 9.7 2.7 1 11 100 208 12.7 121 148 94 85 DELL 3571 93.94 36.62 5.5 142 56.0 11.4 0.0 -11.1 -12.9 9.3 0.3 1.2 7 8 96 329 6.8 109 155 98 97 GTW 3571 54.00 60.06 19.9 132 11.2 14.8 16.6 -13.2 -10.5 1.5 -10.4 8.0 4 9 92 215 1.7 107 136 89 80 LU 3661 84.31 68.06 0.9 138 61.4 96.6 25.3 21.8 14.4 15.6 10.5 1.3 3 10 100 231 1.6 114 157 95 92 XCIT 7375 100.38 0.00 30.1 132 - - - - - - - 7.4 7 13 100 704 na 152 224 99 98 YHOO 7375 169.88 177.25 92.5 141 317.4 173.7 44.9 -1.4 9.0 24.4 24.6 7.9 5 13 100 761 na 140 213 99 96 Cumulative Returns filter ____VALK Stocks All Eval on 19980701 Bought at next day close Sell on 19990702 long # 8 113.9 96.9 25.2 3.0 2.5 9.8 5.6 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 8 113.9 96.9 25.2 3.0 2.5 9.8 5.6 SPY 20.4 35.6 11.9 6.7 1.7 6.3 2.6 ---------------------------------------------------------------------------------------------------------------------- Table 3. Data as of close 19980601 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E DELL 3571 78.31 33.50 6.2 149 62.1 34.0 10.2 -17.2 -18.7 -20.4 -24.0 -5.0 9 9 80 299 6.9 101 141 96 97 Cumulative Returns filter ____VALK Stocks All Eval on 19980601 Bought at next day close Sell on 19990602 long # 1 62.1 34.0 10.2 -17.2 -18.7 -20.4 -24.0 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 1 62.1 34.0 10.2 -17.2 -18.7 -20.4 -24.0 SPY 18.5 35.3 11.8 5.2 0.4 -4.3 -3.0 ---------------------------------------------------------------------------------------------------------------------- Table 4. Data as of close 19980501 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E DELL 3571 84.06 42.06 8.6 145 100.1 54.9 29.7 -22.1 3.9 2.1 18.7 4.1 4 9 100 388 6.8 123 166 97 98 YHOO 7375 118.62 162.56 64.9 135 448.1 257.4 147.8 -3.1 5.9 -9.6 -0.7 -0.3 8 11 92 588 na 126 191 98 95 LU 3661 75.06 59.50 1.3 134 58.5 28.8 50.0 7.7 15.8 6.5 13.6 -1.6 6 12 98 253 1.6 118 160 95 90 AOL 7370 83.50 133.12 13.0 132 537.5 354.6 315.0 55.5 52.9 -11.3 14.9 4.5 7 10 100 355 0.8 123 176 97 93 Cumulative Returns filter ____VALK Stocks All Eval on 19980501 Bought at next day close Sell on 19990503 long # 4 286.0 173.9 135.6 9.5 19.6 -3.1 11.6 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 4 286.0 173.9 135.6 9.5 19.6 -3.1 11.6 SPY 20.5 21.4 24.0 6.9 9.9 4.9 4.8 ---------------------------------------------------------------------------------------------------------------------- Table 5. Data as of close 19980401 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E PSFT 7372 55.19 14.38 12.5 144 -73.6 -68.9 -55.3 -21.2 -23.3 -20.4 -20.1 4.7 3 8 100 326 11.9 125 161 95 79 AOL 7370 72.94 150.50 13.0 140 725.6 443.5 439.2 104.2 75.8 72.9 29.6 6.8 3 8 100 341 0.8 125 171 96 92 YHOO 7375 97.81 179.75 64.9 139 635.2 323.2 177.6 47.0 7.1 17.1 2.5 5.8 5 11 100 535 na 134 185 98 97 LU 3661 132.12 111.75 1.3 137 69.2 32.5 61.4 2.9 1.1 8.8 8.9 3.3 3 11 100 263 1.7 126 152 95 88 DELL 3571 68.50 41.19 8.4 136 140.6 75.4 25.3 12.5 -23.7 1.8 -2.5 1.1 8 7 98 404 6.9 114 147 98 98 Cumulative Returns filter ____VALK Stocks All Eval on 19980401 Bought at next day close Sell on 19990401 long # 5 299.4 161.1 129.6 29.1 7.4 16.0 3.7 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 5 299.4 161.1 129.6 29.1 7.4 16.0 3.7 SPY 16.7 12.8 27.1 4.9 1.9 4.8 -2.2 ---------------------------------------------------------------------------------------------------------------------- Table 6. Data as of close 19980302 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E DELL 3571 135.62 80.56 9.0 153 130.4 95.5 28.8 24.9 7.8 -14.5 -10.4 -3.0 1 14 97 431 7.0 136 161 98 98 AOL 7370 117.62 89.56 14.5 134 490.4 330.0 241.2 94.2 13.9 2.7 13.0 -3.1 6 10 95 314 0.8 119 152 97 85 Cumulative Returns filter ____VALK Stocks All Eval on 19980302 Bought at next day close Sell on 19990301 long # 2 310.4 212.8 135.0 59.5 10.9 -5.9 1.3 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 2 310.4 212.8 135.0 59.5 10.9 -5.9 1.3 SPY 17.9 13.6 19.4 4.5 1.2 -2.2 0.2 ---------------------------------------------------------------------------------------------------------------------- Table 7. Data as of close 19980217 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E DELL 3571 111.31 67.88 9.0 150 236.2 118.1 54.5 13.2 27.3 6.3 2.8 0.4 1 11 100 354 6.9 120 138 98 98 AOL 7370 112.00 104.25 12.6 142 397.9 216.5 106.2 103.7 102.4 24.5 18.5 -2.0 4 9 96 324 0.8 121 151 98 89 Cumulative Returns filter ____VALK Stocks All Eval on 19980217 Bought at next day close Sell on 19981218 long # 2 317.0 167.3 80.3 58.4 64.8 15.4 10.6 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 2 317.0 167.3 80.3 58.4 64.8 15.4 10.6 SPY 23.6 8.1 7.2 16.1 10.7 3.3 0.1 ---------------------------------------------------------------------------------------------------------------------- Table 8. Data as of close 19980407 ---------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------- Tik SIC close FutPr %shrt Val 12mn 9m% 6m% 3m% 2Mn% 1Mn% 10D% %Day %/Hi %/Lo %Mgn r50 r200 Q Qa P/E AOL 7370 70.50 85.50 13.0 132 106.0 91.9 16.3 -24.0 -24.2 -9.3 -23.7 -3.3 3 8 95 351 0.8 117 162 96 83 CSCO 3576 69.00 46.69 1.8 131 30.0 24.8 4.5 -24.6 -29.4 -22.9 -28.1 0.0 3 6 98 223 17.6 106 123 83 67 DELL 3571 63.12 48.44 8.4 135 96.3 124.8 43.1 -3.9 -12.1 -15.2 -23.5 -3.3 7 5 90 388 6.9 103 134 97 97 LU 3661 66.19 59.38 0.7 136 36.4 50.8 -15.2 -31.0 -34.0 -23.8 -22.4 -4.8 1 9 91 263 1.8 121 150 96 87 PSFT 7372 52.31 21.81 12.2 135 -29.4 -35.5 -58.8 -54.7 -42.8 -33.5 -30.1 -4.5 3 7 94 309 12.2 115 150 96 83 YHOO 7375 93.25 104.81 64.9 132 269.3 226.3 85.1 14.8 11.5 31.0 -9.1 -5.9 6 11 90 510 na 122 172 97 96 Cumulative Returns filter ____V130 Stocks All Eval on 19980407 Bought at next day close Sell on 19981008 long # 6 84.8 80.5 12.5 -20.6 -21.8 -12.3 -22.8 short# 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 net # 6 84.8 80.5 12.5 -20.6 -21.8 -12.3 -22.8 SPY -0.9 1.0 -13.1 -17.1 -11.0 -3.9 -7.5