I am feeling generous today, and decided I would give those in the community a freebie. Even though this isn't even my best screen, this strategy is hot right now and from 1/1/2010 through 4/22/2011 it backtested a coumpounded growth rate of 116.5%, 67% win and -12.6% drawdown on a 1 week hold. I built upon the zacks filtered rank screen and added parameters from the famous Benjaman Graham and Joel Greenblatt (Greenblatts Magic Formula). The additional parameters consist of valuation using EBIT/Enterprise Value and EBIT/Debt & Equity.



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thanks for the great Screen "ilikemyodds".  I've been playing with one of the Zacks predefined screens "bt_sow_big money_zacks"; and i've come up with some Awesome Results. 

I'd love for you to check it out and verify the results.  Here is what i came up with when I backtested it from 6.19.09 to 07.08.11 rebalancing it every week:

Total Compounded Return: 1,132.9%

Compounded Annual Growth Rate: 235.2%

Win Ratio: 66

Max. Drawdown: -29.3%

Largest Losing Period: -14.3%

 

What i did to modify Zacks predefined screen was the following:

Lowered the 20 Day Avg Vol from 50,000 to 25,000

Change the % Change Price 24 weeks up to the Top# 20

Change the % Change Price 12 weeks up to the Top# 15

Change the % Change Price 4 weeks up to the Top# 2

and I added Current Price be >= $4.

 

And i then exported the backtested results to a spreadsheet and then applied a 5% Stop Loss to the results (added via my own formulas) and the results are pretty staggering. 

I would love to have your thoughts on these mods.

Thanks.

Tom

 

 


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