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To: Craig DeHaan who wrote (8958)	3/13/1999 4:38:00 PM
From: gonzongo	Read Replies (3) \| Respond to of 11149

Herb- although I cannot disagree with your data and conclusions, I would like to caution you- I often find that by accidentally weighting a db with "good" factors- such as current trend etc.- my back testing gave erroneous data- It was only when I clearly eliminated all forward information and relied on historical information only ( ex: avg volume then vs current avg volume) - that I was able to get accurate results. I am sure you have done this but you might want to give you scans to the group or to some other individuals to test the results. Obviously- the disparity btw the spx and the Russell 2000- concur with your findings. You could test a period when the RUT was moving more strongly- using a smaller db from earlier years- and see what happens with the results. Splits are indeed a factor. Another issue is that higher priced stocks got higher because they moved strongly upward. Most stocks IPO around say $10 to $20 then if they rise- they split regularly to get back. So A higher priced company is usually a faster growing company in the long run( given splits as a factor). This is very interesting data. Thanks for sharing it. Your "criteria" would be very helpful for many of us in our testing. I have worked with QRS- volatility( ATR)- float turnover( Richard's work actually)- and volume and have noted that extremes usually tend to give better short term performance especially in the case of volatility. But I ahave never tested price alone. thanks andy

To: Craig DeHaan who wrote (8958)	3/13/1999 6:15:00 PM
From: Nine_USA	Read Replies (1) \| Respond to of 11149

Craig, <<A gut feeling before researching this further myself is that your results reflect the large cap / small cap performance disparities that have been in place since '94>> I am sure this is absolutely true to some extent. That is why it is important in my effort to validate my approach that it significantly outperform, say the SP500. Also it is important that stocks which rank poorest on my criteria significantly underperform, even (dare I say it) to the extent that shorting them can compete as a winning investment (with 6-12 month holding periods, because these stocks tend to be lower priced and much more volatile) with the SP500. <<Rather than price criteria alone I'd think a market cap factor would produce similar, if not more pronounced results in these proportions. My assumption here is that small cap = lower average equity price.>> I don't know where the notion arose that I am making a case for investing on price alone. Price is just one of 50 to 60 variables I am working with. I have found market cap to be a strong positive factor as well and. Possibly more important than price. And certainly, they overlap in some sense in that they are measuring the same stock attribute. <<Have you tested any filters on this yet?>> Certainly many hundreds .. maybe more.