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Author: TopLineFirst One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252205  
Subject: Re: New screen - votes needed Date: 2/5/2013 7:38 PM
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I created the VG-SCRN within SIPro to see if I could replicate Keelix picks and get a better idea of what criteria were dominant. The screen and number passing each of the criteria are listed below. By far the most restrictive criteria for 2/1/2013 SIPro data is the [SI Price/FCFPS]<20; however, during bear conditions one would expect the price change criteria to become more restrictive. In fact, the decent performance in 2008 seems due, in part, to a frequent lack of passing stocks.


Define {V-SCRN}
Uses [SI ADR/ADS Stock] [SI EPS Q1] [SI EPS Q5] [SI Exchange] [SI Float] [SI Industry]
[SI Institutional Ownership %] [SI Market Cap Q1] [SI Price Change 13 week] [SI Price Change 26 week]
[SI Price Change 4 week] [SI Price/FCFPS] [SI Price/Sales] [SI Price] [SI Sales Q1] [SI Sales Q5]
[SI Sector] [SI Industry] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly 3m]
;
Deblank [SI ADR/ADS Stock] [SI EPS Q1] [SI EPS Q5] [SI Exchange] [SI Float] [SI Industry]
[SI Institutional Ownership %] [SI Market Cap Q1] [SI Price Change 13 week] [SI Price Change 26 week]
[SI Price Change 4 week] [SI Price/FCFPS] [SI Price/Sales] [SI Price] [SI Sales Q1] [SI Sales Q5]
[SI Sector] [SI Industry] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly 3m]
;
; 2/1/13
; Pass SIPro Data Category
Keep :[SI ADR/ADS Stock]="F" ;9397 Company Information
Keep :[SI Exchange]<>"O-Over the counter" ;5504 Company Information
Keep :[SI Industry]<>"1106-Airlines" ;9857 Company Information
Keep :[SI Industry]<>"0933-RealEstateOperations";9622 Company Information
Keep :[SI Sector]<>"07-Financial" ;7486 Company Information
Keep :[SI EPS Q1]>[SI EPS Q5] ;4318 Income Statement - Quarterly
Keep :[SI Sales Q1]>[SI Sales Q5] ;4105 Income Statement - Quarterly
Keep :[SI Float]<20 ;4193 Price and Share Statistics
Keep :[SI Institutional Ownership %]<=70 ;6057 Price and Share Statistics
Keep :[SI Market Cap Q1]>=100 ;4604 Price and Share Statistics
Keep :[SI Price]>=8 ;4300 Price and Share Statistics
Keep :[SI Price Change 4 week]>0 ;5623 Price and Share Statistics
Keep :[SI Price Change 13 week]>10 ;3635 Price and Share Statistics
Keep :[SI Price Change 26 week]>0 ;5575 Price and Share Statistics
Keep :[SI Volume--Average Daily 10d]>30 ;5395 Price and Share Statistics
Keep :[SI Price/FCFPS]<=20 ;2050 Multiples
Keep :[SI Price/Sales]<=3 ;4982 Multiples
;
Create [VR] :(21*[SI Volume--Average Daily 10d]/[SI Volume--Average Monthly 3m]-1
Create [SORT] :(21*[SI Price Change 26 week]/[SI Volume--Average Monthly 3m])*[VR]
Sort Descending [SORT]
End

The screen listed above is functionally the same as tpoto’s. The picks are often identical--not always because of the following:

I dropped the [Price/FCFPS]>0 and [Price/Sales]>0 criteria.There are no negative values of [Price/Sales] or [Price/FCFPS] in the current SIPro database, and I don’t recall ever seeing any.

I modified the Uses statement to eliminate variables not used, and I modified the Deblank statement to list the same variables as the Uses statement. Including extra variables in a Deblank statement can unnecessarily eliminate stocks with null values of the extraneous variables – [SI Price/CFPS] and [SI Relative Strength 12m] in tpoto’s run 320204.

I replaced [10DV], [3MDV], [26W], and [PIO] with their SI field equivalants simply because I’m always near the limit on the number of custom fields in SIPro and I found it easier and cleared to use the equivalent SIPro field names (matter of preference really). I actually added only the [SORT] custom field in SIPro, but retaining [VR] makes the Keelix input deck a little clearer. The last column indicates the SIPro data category to assist anyone wishing to create the screen in SIPro.

If you copy the above version into the Keelix input block, watch out for the Uses and Deblank lines -- I put in carriage returns so this post would format better.

If you want to run the above with [SI Price/Sales]<=3 deleted (I support this option), also delete [SI Price/Sales] from the Uses and Deblank commands.

Here are few observations regarding the “complexity” of the VG-SCRN (I probably counted something wrong, but I think I'm in the ballpark):

Number of SIPro fields utilized: 20 without {SI Price/Sales}<3
21 with [SI Price/Sales]<3
Number of custom fields required: 1 [SORT]
Number of screening criteria: 16 without [SI Price/Sales]<3
17 with [SI Price/Sales]<3
Number of non-zero thresholds: 7 without [SI Price/Sales]<3
8 with [SI Price/Sales]<3


I find the number of criteria with non-zero thresholds a bit concerting. I generally prefer criteria with percentile cutoffs, but the screen performance is sufficiently interesting that I voted for adoption without the [SI Price/Sales]<3 criterion.

TLF
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