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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis -- Ignore unavailable to you. Want to Upgrade?

To: Vol who wrote (2103)	2/22/1999 12:18:00 AM
From: Q.	Read Replies (1) \| Respond to of 2506

Volunteer, yes, it has been backtested. I've posted results on it quite a few times in this thread. I developed the screen in 1997 after reading O'SHaugnessy's book where he showed that the lowest RS stocks had the poorest (but still positive) returns of any single-criteria screens he backtested. I then looked for multiple-criteria screens that would produce negative returns. I kept the low RS component and added criteria to identify companies that are having liquidity problems. Since Telescan started providing a 1,2,3, ... 12 month backtest of any screen you devise beginning last year, I fiddled a little with the parameters of the screen (such as period of time that the RS is determined) to produce the optimal results as of last year.