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

To: s berg who wrote (2122)	3/14/1999 1:08:00 AM
From: TheLineMan	Respond to of 2506

Here is an incredible screen for finding "broken stocks"It's so simple it's unreal. All you have to do is figure out the timing. search.tscn.com Unfortunately I have to give the credit to someone else. Message 8213570

To: s berg who wrote (2122)	3/14/1999 6:25:00 AM
From: drakes353	Read Replies (1) \| Respond to of 2506

s berg: Downloaded the Q Investor demo. I'm very impressed. Much, much more robust than the other web/PC screening programs I've seen. Not in Factset's league but still pretty darn good. Here's a link to their web site for anyone that might be interested in this kind of thing..... qanalytics.com Thanks for mentioning these guys, I've been looking for something like this for a while. Regards, drakes353

To: s berg who wrote (2122)	3/15/1999 11:10:00 AM
From: Q.	Read Replies (1) \| Respond to of 2506

s berg, that was a very interesting post about your backtesting of the low RS/ neg cashflow. I was unfamiliar with q investor, so I went to their site to look. They get their data from MarketGuide, who also supplies data to Telescan, which is what I have been using. So it isn't too surprising that you can reproduce the same screen. It looks like q investor allows you to do much more than Telescan, like construct your own ratios etc. as screening variables. That might allow one to build a better screen than the one that I did, for the purpose of identifying companies with liquidity problems. Thanks again for your backtesting. Backtesting in q investorlooks like a truly wonderful feature. Telescan gives me a backtest of 1-12 months, which is a lot better than nothing, but nothing like q investor, which goes back to 1985. Can you tell me how the backtesting worked in the case of your test of the low/RS neg cashflow? Did you pick your stocks once on Jan first each year beginning in 1985, or more often than that? Did you assume holding the short position for 12 mos? regarding the variables in the screen, the price/book and price/sales ratios are used only to eliminate value stocks. As you mention, setting a low threshold for these criteria reduces the number of stocks that otherwise would qualify for the screen. What I did approximately a year ago is I took the screen, using Telescan's 12 mo backtesting, and I played with each variable individually until I got optimized results for 1-12 months. price/sales and price/book were not the most important criteria, but they are helpful. If you are backtesting over a different period, I'm sure that you would find different optimum values for all the parameters, compared to what I found. It might be worth trying. If q investor allows you to screen on 'cash flow from operations' or some other cash flow, rather than free cash flow, that might be worth trying. 'Free cash flow' is the only cashflow offered by Telescan, so that's why I used it. In fact, Telescan, being true to their sloppy style, doesn't even bother to tell me exactly how 'free cash flow' is defined. I'll give some thought to q investor. The cost of the 12 mo. package is more than 2X what I'm paying for Telescan is the only thing that bugs me.

To: s berg who wrote (2122)	3/15/1999 2:45:00 PM
From: Ernie McFarlane	Respond to of 2506

S Berg wrote *************** Row Modified Filter Rules 1 Price > 5 2 AvgVolume6W > 7000 3 MCap.FY < 200,000,000 4 MCap.FY > 20,000,000 5 %Return26W lowest% 25 6 PBook.FY > 3 7 PSales.FY > 2 8 FreeCashFlow.FY < 0 9 PCash.FY highest 10 *************** Looks like a good shorting system. However, I'm not sure what version of the software you are using, but the first two filter lines are "split biased". They are using the split adjusted values for price and volume. You need to use pricetrading and avgvolume6Wtrading for backtesting. Check the help system for the topic "Split affected parameters" for more info. I did not test the april start 12 week lag, but a Jan start with 7 week lag went from -10.8% to -10.6% when I made the adjustments to use the trading parameters. Ernie McFarlane Q-Analytics.