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Author: Taz2 One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252207  
Subject: Re: HIAR: a well-behaved short screen Date: 10/11/2012 11:18 AM
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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 >$1M
Price > $6
3-mo. avg daily vol > 100k
US stocks only
Not in Finance or Utilitity sectors
Not in EATING industry
Altman_Z score < 1.23
Current Inventory > 1.4 * Inventory 4 quarters past
Current Receivables > 1.4 * Receivables 4 quarters past
Sort by lowest Altman_Z score and select 1
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