No. of Recommendations: 25
In reading the information in Coolcat's posts and those of the respondents, I thought it might be interesting to use some of those principles to develop a simple screen for a 12-month hold. I wanted to see if there was something more appropriate to longer-term MI that wouldn't require so much work.

After trying several iterations on Jamie Gritton's backtester, the following is what I came up with for 1989 through 2001:

http://backtest.org/?SB8901011215XpriGE.9Mh52XpriLE15XpriGE5XcsoLEQ15,000,000QXcflG0XOpegDcpeCT5UUUUUUU

The screen does not depend on any Value Line timeliness criteria. It chooses stocks within 10% of their 52-week highs, a price between 5 and 15, and with less than 15,000,000 shares outstanding and also a positive cash flow. The final selection criterion is a 5 stock peg.

The results showed a CAGR of 28 and a GSD of only 23. The relative lack of volatility surprised me, given the low market cap for these stocks. The Sharpe ratio was 1.05.

During that time period there were 41 winning stocks chosen with an average annual gain of 40%. The screen chose only 9 losing stocks with an average annual loss of -22%. Not too bad.

Thought this might be of interest.

Slievebricken
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