Stock Market Student

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Last post I ended up with a screener backtest of short term industry strength defined by

The results were as shown below holding all stocks meeting the screen criteria with weekly rebalance:



After playing around with different ranking systems I ended up settling on one called "Fourth Generation with Unfollowed Smallcaps".  The ranking system is shown below:



For those people that have not been reading past posts, My universe is defined as follows:



The ranking system consists of fundamental and technical formulae combined with user-assigned weightings.  The system applies a ranking from 0 to 100 for each stock in the universe with 100 being the best stock choice and  0 being the worst.  Using the screen backtest I can now select how many stocks I want to hold based on the ranking system.  Below is a consolidation of the backtest results for different numbers of stocks plotted in EXCEL.

This is the magic of Portfolio123 ranking systems.  300% return was turned into several thousand percent returns, not including commissions or slippage, but does include a full dose of 20-20 hindsight.  So you can't expect similar results going forward.  But it does give a nice positive bias to one's trading.  This screen may be useful for short term traders wanting to identify a small number of stocks for further analysis on a weekly basis.

The following can be found on Portfolio123:

Screen:  http://www.portfolio123.com/screen_summary.jsp?mt=1&screenid=20956

Stock Universe:  http://www.portfolio123.com/screen_summary.jsp?mt=7&screenid=20173

Ranking System:  http://www.portfolio123.com/app/ranking-system/59261

Unfortunately this doesn't help me on my quest for a long term trading system... but it was a fun exercise anyways.

Now back to the grind.