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

To: Q. who wrote (2125)	3/21/1999 1:29:00 PM
From: s berg	Read Replies (3) \| Respond to of 2506

John G, Sorry about the delay getting back to you. I haven't fully subscribed to Q ANAL yet but if you don't I'll subscribe and post the stock picks if you are interested. Beware about getting Q anal. It is addictive. In the meantime I would be happy to backtest any other ideas you have. Below is my latest itineration of your shorting screen. The screen picks five low RS stocks every April. April start, 12 week lag (because the screen relies on Fiscal Year data not available until April) 6 month hold. Nothing is bought again until the next April. Based on input from Ernie / QA I got rid of anything split adjusted. You also suggested using a diff cash flow measure. Interestingly, the IBD-like relstr used by QI is crucial in the 6 month hold. If you use 6 month lowest % (similar to Telescan) return the screen works much less well. In contrast for the 12 month hold I posted earlier the 6 month relative strength worked fine. Given the value of Relstr moving it to the last screened parameter improved returns considerably. Note that there was only one year of twelve where the shorting screen did not underperform the S&P500. Do you know if you could implement such a strategy with options. If so, what period of time would you need to hold the options to get a long term cap gain rate. April Start, 6 month hold Row Modified Filter Rules 1 PriceTrading > 5 2 Avg$Volume6W highest% 80 3 MCap.FY < 200,000,000 4 MCap.FY > 20,000,000 5 PCash.FY highest% 25 6 PSales.FY > 2 7 OperCashFlow.FY < 0 8 RelStr lowest 5 Row Buy Date Percent Return (mean) vs S&P 500 # of Stocks Bought # of Losing Stocks 1 1998 Apr -46.5% -35.8% 5 5 2 1997 Apr 38.5% +11.3% 5 1 3 1996 Apr -20.7% -27.6% 5 5 4 1995 Apr 13.8% -1.2% 5 1 5 1994 Apr -19.2% -23.0% 5 4 6 1993 Apr -19.7% -24.2% 5 4 7 1992 Apr -17.5% -19.7% 5 3 8 1991 Apr -3.5% -5.1% 5 1 9 1990 Apr -29.0% -20.6% 5 5 10 1989 Apr -6.0% -26.7% 5 3 11 1988 Apr -1.3% -6.3% 5 3 12 1987 Apr -4.1% -13.3% 5 4 13 1986 Apr -41.7% -43.9% 5 5 14 Compound -14.7% -20.3% 15 Mean -12.1% -18.2% 5 3 16 StdDev 22.5% 15.0% 0.0 1.6