No. of Recommendations: 19
Picked up from this post
http://boards.fool.com/Message.asp?mid=26820148

This is the only long screen that I know of that relies totally on negative momentum.
So, even though the results aren't the most fantastic in the world,
I figure it ought to have a low correlation with almost all our other
screens, and good blending properties. It did very well compared
to the S&P in 2000-2002, and if nothing else it certainly won't pick
the same stocks as RS26 or Screamers.

Timelines 1-5 (just to avoid weird stuff like buyouts)
Safety=1 (because "safe" stocks bounce, on average)
Price / 52 week high bottom 20 (things that have fallen a long way)
Price / 52 week low bottom 5 (things still very near their bottoms)

backtest.org/Safety_Floor:8608SBT15XsftE1XpriDh52B20XpriDl52...
         Screen     S&P
CAGR 21.77 11.82
GSD 17.69 15.77
Sharpe 1.01 0.54

1986 28.0 23.9
1987 34.6 5.8
1988 39.1 10.4
1989 16.5 35.2
1990 7.1 -4.8
1991 32.0 30.8
1992 19.3 7.1
1993 11.8 10.2
1994 -1.2 1.5
1995 58.1 38.7
1996 34.6 23.2
1997 22.9 27.9
1998 45.8 34.5
1999 18.0 18.4
2000 56.1 -10.8
2001 19.5 -9.3
2002 -6.8 -22.1
2003 38.1 28.5
2004 29.4 10.2
2005 -2.9 7.5
2006 19.8 13.8
2007 -10.1 5.6
2008 -8.1 -11.9 (first half)


My speculation is that this should do well right after a market bottom.
Like, maybe, now?
These probably won't bounce as well as a growth stocks, but then this
won't usually have you in stocks that crash either. This past year
is probably the perfect torture test, when tons of "safe" stocks have
fallen without end---FRE anyone?---but that isn't usually the case.

Anyone think it might be a keeper?

Jim
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