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Author: JWW2 One star, 50 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253811  
Subject: SoWR and New Relative Value Screen Date: 2/9/2013 8:57 PM
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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):

Stocks 1 - 3 1 - 5 1 - 10 1 - 30
CAGR 54.37 51.40 51.14 43.21
GSD 68.78 55.71 43.51 36.63
Sharpe 0.99 1.08 1.25 1.26
AT 9.18 8.74 8.17 7.56

Blender results for ten stocks for the same period:

CAGR: 51.14
TR: 57159.09
GSD: 43.51
DD: 24.23
MDD: -57.93
UI(20): 14.61
Sharpe: 1.25
Beta: 1.12
TI(20): 41.33
AT: 8.17

The New screen and High Relative Value screen comparison.
Both cover the ten year period, 1998 – 2007, with ten
stocks and 0.3 friction:

HRV NEW
CAGR: 36.09 71.20
TR: 2087.18 22759.98
GSD: 22.10 44.99
DD(20): 10.02 24.11
MDD: -23.84 -57.64
UI(20): 5.58 12.11
Sharpe: 1.44 1.53
Beta: 0.52 1.08
TI(20): 58.39 54.60
AT: 11.16 8.25



year ending HRV NEW
19981231 17.5 84.5
19991231 84.1 133.7
20001229 63.2 -8.7
20011231 31.3 117.8
20021231 13.3 48.9
20031231 80.1 154.5
20041231 34.7 96.2
20051230 4.3 39.3
20061229 55.7 53.3
20071231 10.7 71.8


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
industry:

fcfps12m.s "[SI Free Cash Flow/Share 12m]"
shrinsd.s "[SI Insider Ownership %]"
shrinst.s "[SI Institutional Ownership %]"
petog5f.s "[SI PE to EPS Growth 5 Years]"
salesg5f.s "[SI Sales-Growth 5yr]"
cpsq1.s "[SI Cash per Share Q1]"


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 can be found at:
http://gtr1.backtest.org/2011/?s19980102e20121231h21f.3::sty....

In case pasting is necessary:
s19980102e20121231h21f.3::styp.a:ne30!31!32!33!34!35!38:fincd.a:ne45!46!47!48:pav63p.a:gt30:dspo:gt253:IND:gt0:linear(23,PEG,7,SG,150,FCF,7,CAPr,8,INSD,24,INST,31,VolRatio,12,Volit,60,RRS63,50,RRS189)tn20:Pr:aprc:IND:fincd.a:PEG:pcntl(petog5f.s,IND,step5,-1):SG:pcntl(salesg5f.s,IND,step5,1):FCF:pcntl(ratio(fcfps12m.s,Pr),IND,step5,1):CAPr:pcntl(ratio(cpsq1.s,Pr),IND,step4,1):INSD:pcntl(shrinsd.s,IND,step5,1):INST:pcntl(shrinst.s,IND,step5,-1):VolRatio:pcntl(ratio(av10.a,av63.a),1,step5,1):Volit:pcntl(vol(1,252),1,step5,-1):RRS63:pcntl(rrs(1,63),1,step5,1):RRS189:pcntl(rrs(1,189),1,step5,1).

Command Translation
Create [Pr]: [Actual closing Price; share_lag=1 days; quote_lag=1 days]
Create [IND]: [Fama/French Industry Code; lag=1 days]
Create [PEG]: [% Rank by [SI PE to EPS Growth 5 Years; lag=1 days] (Desc), grouped by [IND], at step5]
Create [SG]: [% Rank by [SI Sales-Growth 5yr; lag=1 days] (Asc), grouped by [IND], at step5]
Create [INSD]: [% Rank by [SI Insider Ownership %; lag=1 days] (Asc), grouped by [IND], at step5]
Create [INST]: [% Rank by [SI Institutional Ownership %; lag=1 days] (Desc), grouped by [IND], at step5]
Create [Volit]: [% Rank by [TR1-Volatility over 252 periods; lag=1 days] (Desc) at step5]
Create [RRS63]: [% Rank by [RRS over 63 days; lag=1 days] (Asc) at step5]
Create [RRS189]: [% Rank by [RRS over 189 days; lag=1 days] (Asc) at step5]
Create [FCF]: [% Rank by [[SI Free Cash Flow/Share 12m; lag=1 days]/[Pr]] (Asc), grouped by [IND], at step5]
Create [CAPr]: [% Rank by [[SI Cash per Share Q1; lag=1 days]/[Pr]] (Asc), grouped by [IND], at step4]
Create [VolRatio]: [% Rank by [[Actual Average daily Vol 10d; lag=1 days]/[Actual Average daily Vol 63d; lag=1 days]] (Asc) at step5]
step0: [Security Type; lag=1 days] != 30,31,32,33,34,35,38
step1: [IND] != 45,46,47,48
step2: [Actual Price * (Average daily Vol 63d) as full-mkt Percent rank; lag=1 days] > 30
step3: [mkt Days Since security Opened for purchase] > 253
step4: [IND] > 0
step5: [23*[PEG] + 7*[SG] + 150*[FCF] + 7*[CAPr] + 8*[INSD] + 24*[INST] + 31*[VolRatio] + 12*[Volit] + 60*[RRS63] + 50*[RRS189]] Top param0; Long, Cash When Fewer
Holding period = 21 mkt days; Fully rebalance every 1 periods


GSD, Sharpe, etc. need improving. Corrections, comments and
suggestions would be appreciated.

John W
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