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THE IDEA Suppose we want to build a screener using a set of rules to create a portfolio which meets some criteria. (For example: good performance over the next year.) These rules look like: metric > value or metric < value.  So they divide the stocks into two sets: the stocks we keep and the stocks we reject - hopefully in a way which meets…

A recent question in another thread about how Q V M evolve over time prompted  me to have another look. I have in the past played with 3D representations but it is probably easier to see using good old-fashioned plots.So purely for interest here are the time evolutions of four stocks I have data for, each of which has a different experience over the last…

Stockopedia provides a comprehensive screening capability with hundreds of different ratios that can be combined to select a set of stocks based on set of criteria. But which ratios to use and how do they all interact? When you create a custom screen on Stockopedia you have about 100 different ratios to choose from. But unless you are careful you can fill your screen up…

It is easy to see the merit in a Stock Rank based on high Quality and high ( i.e. cheap) Value. And yet, over the last year or so, it is the expensive but high quality stocks which have performed well: the so-called "high flyers". But even while acknowledging that this is true for now, we can realise that there must come a point where…

These are some notes that arose from the key idea that we should cultivate a "portfolio" approach to investing, rather than trying to live or die on the success of each individual stock pick. For me the conclusions emerged from a understanding the underlying statistics. However the conclusions are also very similar to Stockopedia's "NAPS" approach. NAPS uses a QVM ranking whereas I use a…

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IanI had a quick look at the paper and to cut to the chase I couldn't reproduce a benefit. Combining two factors and looking to at their joint probability distribution requires a contingency table. For the median return I got something which looks like this (bigger numbers are better): That clearly shows you want above median earnings momentum and above median "% vs 52w High"…

People have been offering "mining as a service" since the days of GLBSE (the "Global Bitcoin Stock Exchange" which was needless to say not a regulated stock exchange) - and indeed they have been failing to turn a profit doing it since then too! The problem is that there are only a fixed number of bitcoins to be mined every ten minutes. If people create…

Your comments about the 52-week-high rule not working when the market is down is interesting. There is a lot to be said for using relative values rather than absolute values - you just want your stocks to be performing better than their peers. I explored this a bit in a recent post where I looked at the curious fact that the median is very often…

A couple of thoughts...1. Another way to encourage "stable" momentum is to include a rule like"% Price Chg 1y" > k * "1y Volatility %"where you choose 'k' to suit your style somewhere in the range 0.5 to about 3 depending on how aggressive you want to be. This is a rough simulation of the Sharpe Ratio which is not provided in the set of…

NAPS has had a hard time since about mid-June. Here it is compared with a few indices. (NB: the AIMONLY and FSMALLCAPS are not very accurate - I only track a subset of those categories.)The top performer is AIM100, which in fact has been the top performer for quite a few years now. AIM alone can be quite a risky set to invest in, but…

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