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Strategies & Market Trends : TA-Quotes Plus -- Ignore unavailable to you. Want to Upgrade?

To: Craig DeHaan who wrote (8970)	3/13/1999 8:36:00 PM
From: Nine_USA	Read Replies (2) \| Respond to of 11149

Craig, <<Herb, Sorry, I misunderstood your first post that price was one of 50+ factors. I meant to ask if you had tested it on a market cap filter alone. Whatever the others are they certainly seem to reinforce a strong price correlation; and compelling in both the high and low ranges.>> While the 6 month %returns I previously posted were based on PRICE LEVEL alone, I use 50+ variables in ranking stocks. The returns I get using 50+ variables are far better than those shown for PRICE alone. Happy to do some studies for MarketCap alone for a couple of 6 month holding periods. We know what they will look like, more or less, given all the media bleating about big cap/small cap stocks. <<After Bob let this code become part of the public domain Richard suggested the refinement of using float factors on volatile / high ATR output as you noted. I've used Mov(V,34,S)>50K vs 250K to include more thinly traded issues resulting in 1200, but after the following float screen about 400 candidates remain - a reasonable group to review with other tests for candidates>> Looking at the scan you posted with output to ATR89.lst, if it would be useful, I could do a study or 2 for stocks with: a) PRICE of 5 & up b) VOLUME of 250k & up c) some measure of volatility like QP2 BETA. I don't retain the . prior 89 days of Closes to do the kind of average volatility . you use. d) small float What kind of holding period?

To: Craig DeHaan who wrote (8970)	3/13/1999 9:22:00 PM
From: Nine_USA	Respond to of 11149

Craig, Here is an interesting table showing the last 6 months %return for several MarketCap groupings of interest: The MarketCaps were ranked for the QP2 universe of stocks on Sept 10, 1998 The 6 month %returns were computed on March 12, 1999 Closes. Stocks with MarketCap 6 month %return --------------------- --------------- 20Bil & up 36.6% 10b to 20b 26.4% 2b to 10b 23.1% 1b to 2b 13.9% 400m to 1b 13.0% 100m to 400m 10.7% 20m to 100m 6.9% SP500 31.4% 102 highest stocks on 50+ variables 63.3% (102 to match number 20B & up) 20 highest on 50+ 81.6%

To: Craig DeHaan who wrote (8970)	3/13/1999 10:05:00 PM
From: Nine_USA	Respond to of 11149

Craig, Here is another interesting table showing the 6 months %return for several MarketCap groupings but as begun on March 13, 1998 The MarketCaps were ranked for the QP2 universe of stocks on March 13 1998 The 6 month %returns were computed on Sept 16, 1998 Closes. Stocks with MarketCap 6 month %return --------------------- --------------- 20Bil & up -4.3% 10b to 20b -10.4% 2b to 10b -16.0% 1b to 2b -20.8% 400m to 1b -22.5% 100m to 400m -24.7% 20m to 100m -25.5% SP500 -3.6% 102 highest stocks on 50+ variables +1.1% (102 to match number 20B & up) 20 highest on 50+ +10.6% A hedged position: Long the 8 highest +34.2% Short the 8 lowest -23.8% (minus means winning as short) Net 16 above +28.9% SP500 -3.6% Bear in mind that these returns are not annual, but 6 month returns, in a slightly weak market for the best performing indices (SPX OEX)