No. of Recommendations: 3
I like the idea of having the top of several strategies. It's not something I'm committed to yet, but it's something I'm thinking about. Has anyone else thought much about this?

Yes. I'm using the MIScreenBrowser as a lab for developing and testing a composite screen index. Right now the index can express any mix of all screens, with weightings based upon a combination of:

• screen rankings
• historical CAGRs for each screen
• smoothed attenuation of returns according to rank for each screen
• a user-specified ranking cutoff (i.e., 1-5, 1-10, 1-25, etc.)
• sledge-hammer weighting applied by the user

With these variables as inputs, the browser produces a list of stocks ranked by according to this customized index for each weekly period going back to 5/28/99. Returns for the index may then be viewed in another table that may be customized for #stocks held, holding period, beginning date, and friction.

I intend to add in the exponential screens and screen switching strategies at some point, but haven't yet figured out how to do that.

I would also like to use some method, such as the recently discussed impact analysis, to refine the weightings among the various screens. This, again, is in the future.

So far, the results are quite encouraging. The TTM return for a 5-stock/1-week hold using the entire battery of MI screens is 436%, with 52 trades required.

I'm also looking into the impact of reducing the number of trades through various holding rules, such as holding for up to two weeks if a stock stays below a specified rank, such as 7, for example, in a five-stock screen.

-eremon
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