I added the Inventory and Receivables growth to my Stockscreen 1-2-3 implementation of Altmanz_Z short screen and used the lowest Altman_Z score as the final sort. I backtested it using 4-wk holds over the periods Mar2000-Mar2003 and Oct2007-May2009 (two long bear periods). A 1-stock version returned $550 and $470 respectively (starting with $100 each period) while the S&P returned ($39) and ($44) during the same periods. Max draw-down was 48%. It had returns in excess of the S&P for 34 of 61 periods.A 4-stock version returned $502 and $225 respectively with a 30% max DD, while exceeding the S&P return for 35 of 61 periods.Essence of screen:Assets >$1MPrice > $63-mo. avg daily vol > 100kUS stocks onlyNot in Finance or Utilitity sectorsNot in EATING industryAltman_Z score < 1.23Current Inventory > 1.4 * Inventory 4 quarters pastCurrent Receivables > 1.4 * Receivables 4 quarters pastSort by lowest Altman_Z score and select 1
Best Of |
Favorites & Replies |
Start a New Board |
My Fool |
BATS data provided in real-time. NYSE, NASDAQ and NYSEMKT data delayed 15 minutes.
Real-Time prices provided by BATS. M