The Motley Fool Discussion Boards

Previous Page 
Investing/Strategies / Mechanical Investing 

URL:
http://boards.fool.com/sowrandnewrelativevaluescreen30534317.aspx


Subject: SoWR and New Relative Value Screen  Date: 2/9/2013 8:57 PM 
Author: JWW2  Number: 241510 of 259725 
Here is a screen that might interest some. I have used the Sum of Weighted Ranks (SoWR) procedure described by BarryDTO (msg 205269). The ranks are either percent rank within an industry or within the whole market. And the usual population defining metrics are used. The GTR1s CAGR/GSD/Sharpe/AT results below are for the fifteen year period 19980102 to 201212131 for 21 days. Minimum liquidity is pav63p.a > 30 (approximately $400,000 per day in 2012):
Blender results for ten stocks for the same period:
The New screen and High Relative Value screen comparison. Both cover the ten year period, 1998 – 2007, with ten stocks and 0.3 friction:
This new screen uses the Sum of Weighted Ranks to select stocks with desirable combinations of fundamental and momentum metrics. These variables are expressed as percentages within its industry:
These variables are expressed as whole market percentages: Vol(1,252), rrs(1,63), rrs(1,189) and the ratio of av10.a. to av63.a . The GTR1 version of this screen ca 