The Motley Fool Discussion Boards
Investing/Strategies / Mechanical Investing
|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
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