No. of Recommendations: 5
Something that truly perplexes me is the difficulty one encounters trying to find profitable backtested screens that choose stocks which have plunged by a lot.

It's true that not many screens work well on that basis.
The secret is to look for a strong support from value, which causes
bounces, rather than a growth stock, which will keep sliding.
The VL safety rank is very good as a discriminator for this.

Here is an extremely simple variant of Safety_Hiccup
backtest.org/SBsftE1XpriDh52B20XpriDl52B5

Safety=1 (best safety: great financial strength and low volatility)
pri/h52 bottom 20 (have fallen a lot from their 52 week highs)
pri/l52 bottom 5 (are still very close to their 52 week lows)

1986-2007 CAGR 21 Sharpe 0.99 versus S&P 12 and 0.54

Not the very best screen in the world, but it's very contrarian, so it
probably picks things very different from momentum screens and blends well.
It did very nicely in Q1 this year, too.

Throwing in "price over $15" adds 1% in backtest, though it's a bit arbitrary.

Jim
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