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No. of Recommendations: 11
One could object to the backtest I posted on the basis that the number of stocks recommended by the Gardners is growing due to stocks being added to their list faster than they're being removed. The length of the point-in-time recommended stock list has grown from 2 on 3/8/2002 to about 160 presently.

However, the number of stocks can be normalized to, say, 20 by restricting the momentum sort to the 20 stocks most recently added to the list. This can be achieved using the GTR1 field function tsrcrs (Time-Series Recursion) as follows:

AddedOrd: min(tsrcrs(AddedOrd,100,HUGE_VAL,step1),ord(1)),tom.f%29et1:AddedOrd:tn2...

The very first time that a stock appears eligible at step1 (meaning it is a Gardner stock pick), the value of tsrcrs(AddedOrd,1,HUGE_VAL,step1) must be the default value of HUGE_VAL because there is no previous value (looking back up to 100 market days, just in case the stock was suspended for a while). Thus the min() call is guaranteed to return the value of ord(1) and assign it to AddedOrd on this date. But on any subsequent market day that the same stock passes step1, the previous value of AddedOrd is retrieved by the tsrcrs() call, and that value is guaranteed to be less than ord(1), so it is assigned to AddedOrd by the min() call. Thus only the very first value of ord(1) on the stock's first appearance at step1 is "remembered by" AddedOrd.

The step

AddedOrd top 20

therefore selects the 20 most recently-added stocks.

As you can see, we lose a CAGR point but gain a little bit in Sharpe(20) with this change.

Robbie Geary
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