Ranking System Magic
Monday, December 8, 2008 at 9:36PM 
Last post I ended up with a screener backtest of short
term
industry strength defined by
Fmedian("RSI(7)",#Industry)>60.
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.
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.
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