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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Ryo_08 at 11/12/20 12:55 PM : RE: Hot Strategy Right Now--116% Annualized with 67% win " I like to add a liquidity screen to everything to eliminate thinly trade stuff where I'd either have a hard time getting filled at all at Zacks fill price or wouldn't be able to get a materially large position on without pushing the price up.  When I added a minimum avg $ volume ([c]i22*i5>=2,500,000 the CAGR dropped to 19% (since ..."

DocG at 11/21/20 9:22 AM : RE: Hot Strategy Right Now--116% Annualized with 67% win " I don't backtest for long periods of time starting years ago, but am more interested in what's working over the past few months.  I also backtest using dates going into market declines to see how the strategies do (they don't do well!).  Varying the price range of the stocks seems to get better results with backtesting...."

mrbcpa at 12/01/12 6:39 PM : RE: Hot Strategy Right Now--116% Annualized with 67% win " to:   anybody   I am brand new to the RW.  How do I add this or any screening strategy to the screens so I can access it with the RW ..."

MAGE at 12/04/12 1:06 PM : RE: Hot Strategy Right Now--116% Annualized with 67% win " Download to C:\zir\inputs\   Or, I recommend you add a folder under inputs "trial"   C:\zir\inputs\trial\   MAGE ..."

RCurba2 at 01/25/12 1:50 AM : RE: Hot Strategy Right Now--116% Annualized with 67% win " regarding earlier comments on friction (trading costs and bid/ask spreads).  you should look into folioinvesting.com.  you can trade all you want for a flat fee of $29 per month.  they execute trades at the mid-point between the bid/ask.  so if it's quoting at $10.10 and $10.00, you'd execute at $10.05. ..."

TomPeterson01 at 07/25/11 10:31 AM : RE: Hot Strategy Right Now--116% Annualized with 67% win " 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:..."

yogiM at 10/19/16 12:04 AM : RE: Hot Strategy Right Now--116% Annualized with 67% win " I see this post is from 2011 so by now you would know if your backtest is even 50% of the 1132% return that the backtest  said.  So what have your actual real life returns been using this custom screen? ..."


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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