No. of Recommendations: 9
This is a simple Low PS based screen intended for the SI universe, but also works well (short backtest) in the VL world. Here's the results of a 5 stock monthly hold from the SI backtester run 188080 (second column is for mcp>200 and $vol>2000). Run 188087 has the results for 10 stocks.

Define {LowPSimple2.5}
Uses [SI Price] [SI Market Cap Q1] [SI Volume--Average Daily 10d] [SI Price as % of 52 Week High] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly 3m] [SI Price/Sales] [SI Price/FCFPS]
Deblank [SI Price] [SI Market Cap Q1] [SI Volume--Average Daily 10d] [SI Price as % of 52 Week High] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly 3m] [SI Price/Sales] [SI Price/FCFPS]
Keep :[SI Price]>5
Keep :[SI Market Cap Q1]>100
Keep :[SI Volume--Average Daily 10d]*[SI Price]>1000
Keep :[SI Price as % of 52 Week High]>90
Keep :[SI Price/FCFPS]>0
Keep :[SI Price/Sales]<2.5
Create [VolRatio] :[SI Volume--Average Daily 10d]/[SI Volume--Average Monthly 3m]
Sort Descending [VolRatio]
End

CAGR 46 39
GSD 22 23
Cycles 127 127
Ups/downs 72 75
Turnover 100 99
Avg.held 5 5
cagr/gsd 2.13 1.67
mar 1.00 1.00
up 0.03 0.03
dd 0.02 0.04
upr 1.37 0.81

I arrived at the 2.5 limit in a Mound of Toast fashion; look at runs 188075 and 188068. Also, run 187634 was tried with pri/h52>.95 and that was inferior to the typical .9 value. Note that these don't have the free cash flow statement in them. I decided to include that for 2 reasons: It seems to lower the volatility a bit, plus over in the VL world it seems to help a fair amount. Here's an equivalent screen in VL, but you can only go back to 2002:

Stock Price / High Price 52-Week > .9; Market Cap $ (Mil) / Reported Annual Sales < 2.5; Free Cash Flow > 0; Avg Trading Volume Last 2 Weeks / Avg Trading Volume Last 3 Months top 5
http://www.backtest.org/0207SBpriDh52G.9XmcpDslsL2.5XfcflG0Xav2wDav3mT5

Screen S&P

CAGR 29 7
GSD 17 12
Sharpe 1.51 0.40

2002 11 -22
2003 53 28
2004 34 10
2005 21 8
2006 29 14
2007 30 9


Comments? I think this might be a good one to include in the SI rankings. Maybe call it LowPSvol.

Larry
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