ࡱ> M jbjbj== "hWWjlXF0F0F0F00X'=15555555<<<<<<<$> 7@b<55555<;55<;;;555<;5<;;<<51 ev X+F0@:<<<0'=<@;@<;<Backtest Hall of Fame The screens below have all achieved some degree of notoriety, mainly on the Motley Fool or Microsoft Investor sites. They are not all good or appropriate for all investors. Caveat investor. For each screen, I list the "originator" of the screen. Many screens do not have a single author. Where one screen is based on another, I say so. If I have slighted anyone, please  HYPERLINK "mailto:jjackel@bmmdc.com" let me know so I can correct the page. Each screen starts with a "Universe" of stocks. Many screens require the Value Line Investment Survey; in those cases, the 1700 stocks in Value Line's database (generally, the S&P 500 plus the next largest 1200 companies) is the universe. The 30 stocks in the Dow Jones Industrial Average is another popular universe. In most other cases, start with all stocks. Each of the descriptions includes a series of "steps." In many cases, it makes no difference what order you do the steps. Sometimes it does make a difference, particularly where a list of stocks is sorted and the top stocks in the sort are the only ones carried over to the next step. Following the steps in order is the sure-fire way to reproduce the screen. Terminology varies from one author to another, and different stock screening engines call different parameters by different names. One of my hopes is to standardize the language used to describe stock screens so that it is less ambiguous and easier for an investor to implement. "Rebalancing" is the process of reviewing the portfolio every so often to eliminate stocks that no longer meet the screen's criteria and buying new ones that do. For most screens, you start with equal dollar amounts of each stock to the extent possible. In other words, you buy fewer shares of the higher priced stocks. Take the amount of money in the portfolio, divided it by the number of stocks in the screen, and buy that amount of each stock. Divide that amount by a stock's current price to figure out how many shares to buy. When you rebalance the screen, you do exactly the same thing. You sell stocks that have dropped out of the screen and buy the new stocks. For stocks that carry over from the previous period, buy or sell enough stock so that the dollar value of all your positions is roughly the same. The idea is to avoid one stock becoming a huge proportion of the portfolio. Between rebalancings, leave the portfolio alone. You'll never get the dollar amounts exactly identical for all your stocks; just try to get reasonably close. Warning: These screens have not been tested by me. Some of them have not been tested at all. If backtesting information is available, I've included it after the Backtest heading. Otherwise, assume the model is untested. This is version 2.10 of The Backtest Hall of Fame. Updated 4/4/99 10:29 p.m. Beating the Dow aka Dow Dividend 5 Originator: Michael O'Higgins,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackel" Beating the Dow Abbreviation: DD5, BTD Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Keep the top 10 stocks. Step 2: Sort the remaining stocks in ascending order of price. Step 3: Buy the top 5 stocks. Rebalance: Annually Backtest: CAGR 15.96%, SD 15.89%, Sharpe 0.41 in 1961-1997 (Motley Fool). Beating the S&P Originator:  HYPERLINK "http://hometown.aol.com/Cormend/index.html" Ethan Haskel ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: BusinessWeek list of 1,000 largest U.S. Companies, published in March each year. Use the most recent list until the next one is published. How It Works: Step 1: Sort the list in descending order by market cap. Step 2: Take the first 30 stocks off the top of the list that are not in the Dow 30, utilities, or dividend-free. In addition, only take the first three stocks in any sector. Step 3: Sort the remaining 30 stocks in descending order of dividend yield. Keep the top 10 stocks. Step 4: Sort the remaining 10 stocks in ascending order of price. Eliminate the top stock. Step 5: Buy the top 5 remaining stocks. Rebalance: Annually Backtest:  HYPERLINK "http://hometown.aol.com/Cormend/index.html" CAGR 19.96%, SD 14.35%, Sharpe 1.05 in 1987-1997. Beta Originator:TMFBogey ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: Sort remaining stocks in descending order by beta Step 3: Buy the top 5 or 10 stocks. Rebalance: Monthly(?) CANSLIM Originator:William O'Neil,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0070480176/thejonathajackel" How to Make Money in Stocks , p. 78. This is not really a screen so much as an approach to narrowing the field of choices for investment. It's so famous I feel compelled to include it anyway. Universe: All stocks How It Works: C: Current quarterly EPS up 18-20% or more A: Annual EPS shows meaningful growth for the last five years. N: New stuff. It could be a new product, new management, or changes in the company's industry. Also, a stock making new highs. S: Supply and demand. Look for stocks with a small number of shares outstanding. Also, look for stocks moving up on increased volume. L: Leaders. Buy market leaders, avoid laggards. I: Institutional Sponsorship. Buy stocks with at least a few institutional holders and better-than-average recent price performance. M: Market. Don't fight the market's general trend. Rebalance: Not applicable CANSLIM Mechanical Version Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0079137547/thejonathajackel" Invest Like the Best , p. 197 (based on  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "CANSLIM" CANSLIM in William O'Neil,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0070480176/thejonathajackel" How to Make Money in Stocks , p. 78). Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Last quarter EPS % change >= 20% Step 2: Five-year EPS growth > 15% Step 3: Percentage of 52-week high price >= average Step 4: Shares outstanding <= 25 million Step 5: % Institutional Ownership <= 60% Step 6: Sort remaining stocks in descending order by projected 26-week % price change Step 7: Buy the top 10 stocks. Rebalance: Semi-annually. Backtest: Average annual return 30.06% with standard deviation of 18.39% in 7 years ending 12/31/92. Combo Originator: KnoxFool (Motley Fool) Abbreviation: None Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Follow step 1 of Dogs of the Dow to get your "yield list." Step 2: Follow steps 1 and 2 of Beating the Dow to get your "price list." Step 3: Discard the top stock on the price list. Discard any stock on the yield list that is not also on the price list. Step 4: For each remaining stock, add together its rank on each list. If a stock is #4 on the yield list and #3 on the price list, it gets 7 "combo" points Step 5: Sort the remaining list in ascending order of combo points. Step 6: (Tiebreaker) For stocks that have the same number of combo points, sort them in the same order as they appear on the yield list. Step 7: Buy the top 4 stocks. Rebalance: Annually Backtest: CAGR 17.76%, SD 20.46%, Sharpe 0.62 in 1961-1997 (Motley Fool). Variation: Combo 5 buys the top 5 stocks (CAGR 17.09%, SD 17.77%, Sharpe 0.66 in 1961-1997 (Motley Fool)). Core Value Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel" How to Retire Rich, p. 71. Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Financial Strength Rating = A++ Step 2: Determine the average dividend yield of the remaining stocks. Keep those that are above average. Step 3: Sort remaining stocks in descending order by projected 3- to 5-year dividend growth rate. Step 4: Buy the top 10 stocks. Rebalance: Annually. Backtest: CAGR 21.17% for 12 years ending 12/31/96. Cornerstone Growth Originator:James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0070482462/thejonathajackel" What Works on Wall Street, p. 298. Universe: All stocks How It Works: Step 1: Year-over-year earnings growth > 0 Step 2: Price/sales ratio < 1.5 Step 3: Sort the remaining stocks in descending order by one-year price performance Step 4: Buy the top 50 stocks Rebalance: Annually Backtest: CAGR 18.52%, Standard Deviation 25.41%, Sharpe ratio 0.61 in 1954-96. Cornerstone Value Originator: James O'Shaughnessy, What Works on Wall Street, pp. 279-293. Universe: All stocks How It Works: Step 1: Market cap > average Step 2: Shares outstanding > average Step 3: Cashflow/share > average Step 4: Sales > 1.5 * average Step 5: Eliminate utilities Step 6: Sort the remaining stocks in descending order by dividend yield Step 7: Buy the top 50 stocks Rebalance: Annually Backtest: CAGR 15.06%, Standard Deviation 16.47%, Sharpe ratio 0.62 in 1954-96. CUVY Originator: TMF Sandy (Motley Fool) Abbreviation: None Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Follow step 1 of Dogs of the Dow to get your "yield list." Step 2: Follow steps 1 and 2 of Unemotional Value to get your "price list." Step 3: Discard the top stock on the price list. Discard any stock on the yield list that is not also on the price list. Step 4: For each remaining stock, add together its rank on each list. If a stock is #4 on the yield list and #3 on the price list, it gets 7 "CUVY" points Step 5: Sort the remaining list in ascending order of CUVY points. Step 6: (Tiebreaker) For stocks that have the same number of combo points, sort them in the same order as they appear on the yield list. Step 7: Buy the top 4 stocks. Rebalance: Annually. Backtest: CAGR 17.599%, SD 20.67%, Sharpe 0.61 in 1961-1997 (Motley Fool). Variation: CUVY 5 buys the top 5 stocks (CAGR 17.51%, SD 17.76%, Sharpe 0.68 in 1961-1997 (Motley Fool)). Defensive Growth Originator: Jon Markman ( HYPERLINK "http://moneycentral.msn.com/articles/invest/models/2890.asp" Microsoft Investor) Universe: All stocks How It Works: Step 1: Market cap > $5 billion. Step 2: Five-year annualized EPS growth > 10% Step 3: Five-year annualized revenue growth > 10% Step 4: Five-year return on equity > industry average Step 5: Five-year net profit margin > industry average Step 6: Debt/equity ratio > industry average Step 7: Dividend yield > 0.1% Step 8: Sort the remaining stocks in descending order by  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "FogIndex" FOG index Step 9: Buy the top 10 stocks Rebalance: Quarterly Dogs of the Dow, aka Dow Dividend 10, High Yield 10 Originator: Disputed. Michael O'Higgins,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackel" Beating the Dow; James O'Shaughnessy, 1992 article in Barrons; Also in  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel" How to Retire Rich, p. 64. Abbreviations: DOD, DD10, HY10 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Step 2: Buy the top 10 stocks. Rebalance: Annually. Backtest: CAGR 12.7% in 12/31/29-12/31/96. Douglas Theory Originator: Leslie Douglas, Folger Nolan Fleming Douglas Inc., Washington, D.C. (see James Glassman,  HYPERLINK "http://search.washingtonpost.com/wp-srv/WPlate/1998-12/23/081l-122398-idx.html" Triumph of the Monster Caps, Washington Post, Wednesday, December 23, 1998; Page D09) Universe: Nasdaq Stock Market stocks How It Works: Step 1: Sort the Nasdaq stocks in descending order of market cap. Step 2: Buy the top 5 stocks. Rebalance: Annually. Backtest:  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/DouglasTheory.zip" 23.58% CAGR, 25.73% standard deviation in 1986-1998 for all possible starting months, accordinging to QInvestor backtest by Jonathan Jackel. Dow 30 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Buy equal dollar amounts of the 30 Dow stocks. Rebalance: Annually. Backtest: CAGR 12.07%, SD 15.89%, Sharpe 0.41 in 1961-1997 (Motley Fool). Dow Dividend 4 Originator: Ann Coleman (Motley Fool) Abbreviation: DD4 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Keep the top 10 stocks. Step 2: Sort the remaining stocks in ascending order of price. Step 3: Discard the top stock, i.e., the stock with the lowest price. Step 4: Buy the top 4 remaining stocks. Rebalance: Annually. Backtest: CAGR 16.66%, SD 21.43%, Sharpe 0.55 in 1961-1997 (Motley Fool). Variation: DD2-6 buys the top 5 remaining stocks (positions 2 through 6 before discarding the lowest priced stock (CAGR 16.75% in 1961-1997). EG5 Originator: Morris Chernick ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating < 3 and is not N/A Step 2: Sort remaining stocks in descending order by 26-Week Total Return. Keep the top 25. Step 3: Sort remaining stocks in descending order by Projected EPS Growth Rate Step 4: Buy the top 5 stocks. Rebalance: Annually Flare-Out Growth Originator: Ford Investor Services (see  HYPERLINK "http://moneycentral.msn.com/articles/invest/models/2890.asp" Microsoft Investor) Universe: All Stocks How It Works: Step 1: Market cap > $1 billion. Step 2: Current price > 200 day moving average. Step 3: 3-month price gain > 0. Step 4:Sort by descending by "FOG Index," which equals (12-month price gain) - (3 month price gain) - 3 * (1-month price gain). Step 5: Buy the top 10 stocks. Rebalance: Quarterly Backtest: 27% average annual gain 1986-1998 Link:  HYPERLINK "http://moneycentral.msn.com/articles/invest/models/2890.asp" http://moneycentral.msn.com/articles/invest/models/2890.asp Foolish 4 (Original Version) Originator: Ann Coleman (Motley Fool) Abbreviation: OF4 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Keep the top 10 stocks. Step 2: Sort the remaining stocks in ascending order of price. Step 3: Discard the top stock, i.e., the stock with the lowest price. Step 4: Buy the top 4 remaining stocks, buying twice as much of the top remaining stock as of the other 3, i.e., $2x on the first position and $1x on each of the other 3 positions. Rebalance: Annually. Backtest: CAGR 17.36%, SD 24.35%, Sharpe 0.53 in 1961-1997 (Motley Fool). Foolish 8 Originator: David & Tom Gardner,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0684827034/thejonathajackel" The Motley Fool Investment Guide, pp. 129-144. Note: Like  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "CANSLIM" CANSLIM, this is not really a screen so much as an approach to narrowing the field of choices for investment. But it's very famous so I feel compelled to include it anyway. Although this is often referred to as the "Foolish 8" method, there are really nine distinct criteria. The Gardners combined steps 6 and 7 in their description of the method. Universe: All stocks How It Works: Step 1: Sales < $200 million Step 2: Daily dollar volume <= $3 million Step 3: Price between $5 and $20, inclusive Step 4: Net profit margin >= 10% Step 5: Relative strength rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily >= 90 Step 6: Year-over-year earnings growth >= 25% Step 7: Year-over-year sales growth >= 25% Step 8: Insider holdings >= 15% Step 9: Cashflow from operations > 0 Rebalance: N/A Formula 90 Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: EPS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily >= 90 Step 3: Sort remaining stocks in descending order by by RS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily. Step 4: Buy the top 5 or 10 stocks. Rebalance: Annually Backtest: Five stock version 33% CAGR 1987-1997, 10-stock version 34% CAGR 1987-1997 High Yield 5 Originator: Michael O'Higgins,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackel" Beating the Dow Abbreviation: HY5 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Step 2: Buy the top 5 stocks. Rebalance: Annually Backtest: CAGR 15.65%, SD 18.25%, Sharpe 0.56 in 1961-1997 (Motley Fool). Investing for Growth - Classic Originator: Robert Sheard,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0684845903/thejonathajackel" The Unemotional Investor, pp. 141-142 Universe: Stocks listed on page 39 of Value Line's Summary & Index (High Growth Stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: Sort remaining stocks in descending order by Value Line Industry Ranking Step 3: (Tiebreaker #1) Sort stocks with identical Industry Rankings by Estimated 3-5 Year Growth Rate. Step 4: (Tiebreaker #2) Sort stocks with identical Estimated 3-5 Year Growth Rate by 10-year Historical Growth Rate. Step 5: Buy the top 10 stocks. Rebalance: Quarterly Backtest: 24% CAGR in 1980-1997 Investing for Growth - Relative Strength Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Stocks listed on page 39 of Value Line's Summary & Index (High Growth Stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: Sort remaining stocks in descending order by 26-week total return Step 3: Buy the top 10 stocks Rebalance: Quarterly Keystone Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Eliminate all foreign stocks Step 2: Value Line Timeliness Rating < 3 and is not N/A Step 3: Sort remaining stocks in descending order by market capitalization. Keep the top 30 stocks. Step 4: Sort remaining stocks in descending order by 26-week total return Step 5: Buy the top 5 or 10 stocks Rebalance: Annually Keystone/EPS Originator: Jim Lynn ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Top 10  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Keystone" Keystone stocks How It Works: Step 1: Sort the stocks in descending order of 26-week relative strength. This is the "RS list." Step 2: Resort the stocks in descending order of EPS growth in the last 12 months. The is the "EPS list." Step 3: For each stock, add together its rank on the RS list and its rank on the EPS list. Step 4: Resort the 10 stocks in ascending order by combined ranking from Step 3. Step 5: Buy the top 5 stocks. Rebalance: Annually Backtest: CAGR 32.23%, SD 23.50% in 1987-1998. Sharpe 1.14 in 1987-1997. Keystone Growth Plus Originator: Jon Markman (Microsoft Investor) Universe: All stocks How It Works: Step 1: Market cap > $12 billion Step 2: EPS growth in the past year > 15% Step 3: EPS growth in the past quarter vs. year ago quarter > 15% Step 4: Projected one-year EPS growth > 15% Step 5: Projected five-year annualized EPS growth > 15% Step 6: Sort remaining stocks in descending order by 6-month price gain. Step 7: Buy the top 15 stocks. Rebalance: Quarterly Keystone Veterans Originator: Kevin Louche (original Motley Fool  HYPERLINK "http://boards.fool.com/registered/Message.asp?id=1030013002790000&sort=id" post) Universe: Top 10  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Keystone" Keystone stocks How It Works: Step 1: Rate each stock based on how many consecutive months it has appeared in the Keystone 10. This is called the "longevity rating." Step 2: Sort the stocks in descending order by longevity rating. Step 3: (Tiebreaker) Sort stocks with identical longevity ratings in ascending order of price. Note: This is the actual trading price, not a split-adjusted price. Step 4: Buy the top 5 stocks. Rebalance: Monthly Backtest: 162% in first 10 months of 1998. Leaders with Luster Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel" How to Retire Rich, pp. 62-63; Virtually identical to  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Cornerstone%20Value" Cornerstone Value except it allows non-electric utilities and has a 25-stock version. Universe: All stocks How It Works: Step 1: Market cap > average Step 2: Shares outstanding > average Step 3: Cashflow/share > average Step 4: Sales > 1.5 * average Step 5: Eliminate electric utilities Step 6: Sort the remaining stocks in descending order by dividend yield Step 7: Buy the top 25 or 50 stocks Rebalance: Annually Backtest: 50-stock average annual return 16.68% in 12/31/51-12/31/96 Low Price/Sales Originator: Robert Sheard (based on  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Cornerstone%20Value" Cornerstone Value) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: 12-Month EPS Growth > 0 Step 3: Price/Sales Ratio < 1.5 Step 4: Sort the remaining stocks in descending order by 26-week relative strength. Step 5: Buy the top 5 or 10 stocks. Rebalance: Annually Low Price/Sales 1+2 Originator: Jim Lynn (Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating <3 and is not N/A Step 2: 12-Month EPS Growth > 0 Step 3: Price/Sales Ratio < 1.5 Step 4: Sort the remaining stocks in descending order by 26-week relative strength. Step 5: Buy the top 5 remaining stocks (note: Jim Lynn says do NOT drop the top stock as originally reported). Rebalance: Annually Momentum Growth Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0079137547/thejonathajackel" Invest Like the Best, p. 74. Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness is not N/A Step 2: 26-week Price Change >= 20% Step 3: 12-Month EPS% Change >= 20% Step 4: Last Quarter EPS % Change >= 20% Step 5: Estimated % Change EPS Fiscal Year >= 29.3% Step 6: Sort remaining stocks in descending order by Estimated % Change EPS Fiscal Year. Step 7: Buy the top 10 stocks. Rebalance: Semi-annually Backtest: CAGR 42.07% in 12/31/85-12/31/90 PEG5 Originator: Morris Chernick (Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating < 3 and is not N/A Step 2: Price/Earnings Last 12 Months > 0 Step 3: Sort the remaining stocks in descending order by 26-week total return. Keep the top 25 stocks. Step 4: Sort the remaining stocks in descending order by Projected EPS Growth Rate. Keep the top 10 stocks. Step 5: Sort the remaining stocks in ascending order by PEG ratio ((Price divided by Earnings for the last 12 months) divided by Projected EPS Growth Rate). Step 6: Buy the top 4 or 5 stocks. Rebalance: Annually Penultimate Profit Prospect Originator: Michael OHiggins, Beating the Dow. Abbreviation: PPP Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Keep the top 10 stocks. Step 2: Sort the remaining stocks in ascending order of price. Step 3: Buy the second stock on the list. Rebalance: Annually. Backtest: CAGR 18.42%, SD 41.13%, Sharpe 0.41 in 1961-1997 (Motley Fool). Variation: The top stock on the list, called the Ultimate Profit Prospect (UPP) is historically the worst performer in the high-yield group (CAGR 10.22%, SD 24.89, Sharpe 0.26 in 1961-1997 (Motley Fool)). Ratio Procedure Originator: Elan Caspi (Motley Fool) Abbreviation: RP Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: For each Dow stock, multiply its dividend yield by itself, and the divide that number by the price of the stock. In other words, (yield * yield)/price or yield2/price. This is sometimes called the Elan Ratio, or ER. Step 2: Sort the 30 stocks in descending order of ER. Step 3: Discard the top stock. Step 4: Buy the top 4 remaining stocks from the list in step 2. Rebalance: Annually. Backtest: CAGR 19.64%, SD 19.55%, Sharpe 0.74 in 1961-1997 (Motley Fool). Variations: RP2 buys the top 2 remaining stocks instead of 4 (CAGR 21.40%, SD 24.01%, Sharpe 0.70 in 1961-1997 (Motley Fool)). RP4+ double-weights the top 2, i.e., $2x on the first 2 positions and $1x on each of the other 2 positions (CAGR 20.31%, SD 20.61%, Sharpe 0.74 in 1961-1997 (Motley Fool)). RP9 buys the top 9 remaining stocks (CAGR 15.37%, SD 16.06%, Sharpe 0.60 in 1961-1997 (Motley Fool)). Reasonable Runaways Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel" How to Retire Rich, p. 57 Universe: All stocks How It Works: Step 1: Market cap > $150 million Step 2: Price/sales ratio < 1 Step 3: Sort the remaining stocks by 1-year price appreciation Step 4: Buy the top 25 or 50 stocks. Rebalance: Annually Backtest: 50-stock CAGR 18.81% in 12/31/51-12/31/96. Redwood Growth Originator: Jon Markman ( HYPERLINK "http://moneycentral.msn.com/articles/invest/models/2890.asp" Microsoft Investor) Universe: All stocks How It Works: Step 1: Market cap > $10 billion Step 2: EPS growth in the past year > 15% Step 3: Revenue growth in the past year >15% Step 4: Projected one-year EPS growth > 15% Step 5: Projected three- to five-year annualized EPS growth > 15% Step 6: Eliminate all remaining stocks that failed to beat analysts' estimates in the past quarter. Step 7: Sort remaining stocks in descending order by 12-month price gain. Step 8: Buy the top 10 stocks. Rebalance: Quarterly, but only sell stocks that drop out of the top 20 in Step 7. Relative Strength - 26 Week Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating =1 Step 2: Sort remaining stocks in descending order by 26-week Total Return Step 3: Buy the top 5 or 10 stocks (Note: Dropping the top stock may improve returns) Rebalance: Monthly or Annually (no definitive test) Relative Strength - IBD Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool). Rejected in favor of  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Unemotional%20Growth" Unemotional Growth. Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: Sort remaining stocks in descending order by RS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily. Step 3: (Tiebreaker) Sort stocks with identical RS ranks in descending order by EPS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily. Step 4: Buy the top 5 or 10 stocks. Rebalance: Monthly or Annually (no definitive test). RSW Originator: Elan Caspi ( HYPERLINK "http://www.fool.com/" Motley Fool) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating =1 Step 2: Sort remaining stocks in descending order by RSW, which is (0.4 * 13-Week Total Return) + (0.3 * 26-Week Total Return) + (0.3 * 52-Week Total Return). RSW is an attempt to emulate IBD's RS rankings. Step 3: Buy the top 5 or 10 stocks. Rebalance: Monthly or Annually (no definitive test) Spark5 Originator: Sparfarkle (Motley Fool) (based on  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524" \l "Momentum%20Growth" Momentum Growth) Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating < 4 and is not N/A Step 2: 26-week total return >= 20% Step 3: 1 year EPS growth >= 20% Step 4: % EPS change from last quarter >= 20% Step 5: Estimated 1 yr. EPS change >= 29% Step 6: Sort remaining stocks in descending order by market cap. Step 7: Buy the top 5 stocks. Rebalance: Annually Sparkling Splits Originator: Ford Investor Services (Microsoft Investor) Universe: All stocks How It Works: Step 1: Stock split in last 1 month Step 2: Beaten estimates last 2 quarters Step 3: Mean earnings estimate increased in last 1 month Step 4: Sort remaining stocks by 6-month price appreciation. Step 5: Buy the top 10 stocks. Rebalance: Quarterly? Backtest: 27% average annual gain 1986-1998 Trouncing the Dow, aka Benchmark Investing Originator: Kenneth Lee,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0070383014/thejonathajackel" Trouncing the Dow, pp. 78-79 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Trouncing the Dow is different from most other mechanical methods. You establish a target price range using the following steps for each of the 30 stocks in the Dow, and then buy or sell based on where a stock is in relation to the target price range. Note: Whenever you compute a multi-year average in this model, completely disregard years in which the figure was zero or negative or otherwise "not meaningful." If you are computing a 10-year average return on equity but ROE was positive in only 8 years, add up the 8 positive numbers and divide by 8. Step 1: Divide current return on equity by average return on equity over the past 10 years to get the "adjusted ROE ratio." Step 2: Determine the average book value for the past 10 years. Step 3: Determine the average yearly low price for the past 10 years. Divide by average book value from Step 2. Step 4: Multiply the number from Step 3 by the adjusted ROE ratio from step 1, and then multiply by the current book value. This is the short-term downside target. Step 5: Repeat steps 3 and 4, but substitute the average yearly high price forthe past 10 years. This is the short-term upside target. Step 6: Repeat steps 1-5, but substitute Value Line's 3- to 5-year estimated return on equity for current return on equity, and Value Line's 3- to 5-year estimated book value for current book value. This gives you your long-term downside and upside targets. Step 7: Buy any stocks that are current trading below their short-term downside target, so long as Value Line predicts that the companys earnings will grow by 10% or more. Rebalance: Unlike other screens, this one is not rebalanced periodically. Stocks are bought whenever they trade below their short-term downside targets and meet the earnings bogey.Ӡ Stocks are sold whenever they trade above their long-term upside targets. Backtest: CAGR 28.21% 1991-1996 in real-time (not a backtest). An annually rebalanced version would have returned an average 27.98% with a standard deviation of 9.47% in 10 years ending 1996, for a Sharpe ratio of 2.38. Unemotional Growth Originator: Robert Sheard ( HYPERLINK "http://www.fool.com/" Motley Fool),  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0684845903/thejonathajackel" The Unemotional Investor, p. 147 Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Timeliness Rating = 1 Step 2: Sort in descending order by EPS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily. Step 3: (Tiebreaker) Sort stocks with identical EPS ranks in descending order by RS rank from  HYPERLINK "http://www.investors.com/" Investors Business Daily. Step 4: Buy the top 5 or 10 stocks Rebalance: Monthly Backtest: 5-stock CAGR 36.73 in 12 years ended 1998; 10-stock CAGR 26.33% over same period. Unemotional Value Originator: Robert Sheard (Motley Fool) Abbreviation: UV, UV4 Universe: 30 stocks in the Dow Jones Industrial Average How It Works: Step 1: Sort the Dow stocks in descending order of dividend yield. Keep the top 10 stocks. Keep this list handy for step 3. Step 2: Sort the remaining 10 stocks in ascending order of price. Step 3: If the top stock on both lists is the same (i.e., the highest yielding stock is also the lowest priced stock), discard it. Otherwise keep it. Step 4: Buy the top 4 remaining stocks from the list in step 2. Rebalance: Annually. Backtest: CAGR 18.20%, SD 20.71%, Sharpe 0.63 in 1961-1997 (Motley Fool). Variations: UV2 buys the top 2 remaining stocks instead of 4 (CAGR 21.69%, SD 25.84%, Sharpe 0.67 in 1961-1997 (Motley Fool)). UV4+ double-weights the top 2, i.e., $2x on the first 2 positions and $1x on each of the other 2 positions (CAGR 19.46%, SD 21.92%, Sharpe 0.66 in 1961-1997 (Motley Fool)). Unique 3 Originator: Jonathan Jackel (The Backtesting Page) Abbreviation: U3 Universe: Stocks in the Workshop Rankings at the Motley Fool How It Works: Step 1: For each stock, count how many times it appears in all of the screens. Step 2: If a stock appears on two screens that are very similar, subtract one from its count. For instance, if a stock appears in Unemotional Growth, Keystone, Relative Strength - IBD and Relative Strenghth 26-Week, it should get 3 points because the two RS screens both look for price momentum in Value Line Timeliness 1 stocks. Step 3: Buy all stocks that have a count of 3 or more. Rebalance: Monthly. Backtest:  HYPERLINK "http://www.geocities.com/WallStreet/District/2148/Unique3.html" 87.19% in 1998. Utility Strategy Originator: James O'Shaughnessy,  HYPERLINK "http://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel" How to Retire Rich, pp. 68-69. Universe: Value Line Investment Survey (1700 stocks) How It Works: Step 1: Value Line Safety Rating = 1 Step 2: Sort the remaining stocks in descending order by dividend yield. Step 3: Buy the top 10 stocks. Rebalance: Annually. Backtest: CAGR 14.74% for 12 years ending 12/31/96.   Npq| DQSZ  *jyz ZB* OJQJ^JphB* OJQJ^Jph 56\]5\0J jU6]B*OJQJ^Jph5CJ0\aJ0LZ  Nq DS  jz [$\$]^dd[$\$]^ ]^dd[$\$]^$a$jZb 0FNdd[$\$]^ [$\$]^ ]^dd[$\$]^ ]^Za  %/0RS^_bk 0:FMNYij QS(BCOdeDELMab 'KB* OJQJ^Jph0J jU5\\Q(C KpTs ]^dd[$\$]^ [$\$]^ ]^dd[$\$]^KRpwT[s}+09huv} | \ c ! !!"!c!m!!!!!!!K"L"^"_"i"r"""""""L#T#######$,$-$8$M$N$$$$$$$$$$$%0J jUB* OJQJ^JphB* OJQJ^Jph5\X0hv| \ !!c!!!i""""dd[$\$]^ ]^^^dd[$\$]^dd[$\$]^"L####$-$$$$%6%%%%& &j&&&&&dd[$\$]^dd[$\$]^ ]^ [$\$]^ ]^%%6%>%%%%%%%&& &,&j&t&&&&&&&&&&&''1'8'z'''''''(( ('(5(;(D(t(((((())))**2*n*u***+ +,+6+x++++++ , ,V,W,i,j,m,w,,,,,,,,,--M-0J jUB* OJQJ^JphB* OJQJ^Jph5\X&&'1'z''''('(;(t((())**n**+,+ ]^ [$\$]^dd[$\$]^ ]^ [$\$]^ ]^,+x+++m,,,,,-M----~.....0:0s0 [$\$]^ ]^dd[$\$]^dd[$\$]^ ]^M-T------- . .q.r.{.|.~.........//b/c/r/s/////000)0:0C0s0000000001*18191D1111122V2_2|222222223 3 33_3`3333333-4:4;4B4r4|444B* OJQJ^JphB* OJQJ^Jph0J jU5\Xs00000*191V2|2222333-4;4r44^dd[$\$]^dd[$\$]^ [$\$]^ ]^dd[$\$]^ ]^44455Q5_555?6g6|66U7Y7777'88 ]^dd[$\$]^ ]^^dd[$\$]^dd[$\$]^^44444555"5Q5^5_5f5555666?6F6g6q6|6666U7X7Y7e7t7u7v7w77777777777'8.8888888999#9?9@9999999999999::9:@:::::::;";#;l;m;0J jUB* OJQJ^Jph >*OJQJ5\B* OJQJ^JphU888999999:9::::;;;;;7<E<dd[$\$]^ ]^dd[$\$]^ [$\$]^ ]^m;;;;;;;;;;<7<D<E<L<<<<<<=%=,=======:>C>D>P>f>g>>>>>>>Y?Z?a?b?@@@@@@@A+A2AYA`A|AAAAAAAAAAB#BIBPBkBrBBBBBBBBBBBBBBB* OJQJ^Jph >*OJQJ5\B* OJQJ^Jph jU0JUE<<<%===:>D>@@@@+AYA|AABIBkBB ]^dd[$\$]^ ]^dd[$\$]^^^dd[$\$]^BBBB/C>ChCCRDvDDDDpEEEE F)Fdd[$\$]^ ]^dd[$\$]^ ]^dd[$\$]^ [$\$]^BC/CCEChCpC~CCCCCCCC DD5D6DNDODRDZDvDDDDDDDD EE^E_EnEoEpE~EEEEEEE FF)F3F>FHFFFFFFFGG,G-GFFF*OJQJH*B* OJQJ^Jph5\TaawaaaaAbc!cFcWccc}ddde(esegggg ]^^^dd[$\$]^dd[$\$]^ggghOhuhhhhIi_iniiiijYjj k ]^ [$\$]^dd[$\$]^ [$\$]^ ]^dd[$\$]^ ]^uhhhhhhhhhh2i3iEiFiIiSi_iliniviiiiiiijjYjajjj kk(k3kzkkkkkkkkkkkkl'l)l0lRlYlllll'm>m?mKmZm[m}m~mmmmmnn(n)n,n5nbnonqnxnnnnnoooo"o)oooo0J jUB* OJQJ^Jph5\\ k(kzkkkl)lRlll'm?m,nbnqnn"ooop"p ]^dd[$\$]^ ]^dd[$\$]^ [$\$]^ ]^oooooooop!p"p.p:p;p]p^pipjpmpvpppppppqqqqr r rr:r;rrrrrrrrss s;sCs`shssssssst&tKPW'1<FG׈؈();<JS'3<j6]B* OJQJ^Jph0J jUB* OJQJ^Jph >*OJQJ5\E$:>P'<Jdd[$\$]^ ]^dd[$\$]^^^^^dd[$\$]^3ij ]^ [$\$]^ ]^ 1h/ =!"#$% iN@N Normal-B*CJOJQJ^J_HaJmH phsH tH \`"\ Heading 2dd@&[$\$#5B*CJ$OJQJ\^JaJ$ph<A@< Default Paragraph FontP^`P Normal (Web)dd[$\$B*OJQJ^Jph.U`. Hyperlink >*B*phjh z z z z z z z z z z z z z z z z z z z z z z z z z z z z ij"*&*/37|=A3F|JNlS{W[_d'inr+z jV^f5D4 6 & p C *\Ez6BZ N q D S j z Zb 0FNQ(C KpTs0hv|\ciL - !6!!!!" "j""""""#1#z####$'$;$t$$$%%*&n&&','x'''m((((()M))))~*****,:,s,,,,,*-9-V.|....///-0;0r000011Q1_111?2g2|22U3Y3333'44445555556966667777778E888%999::D:<<<<+=Y=|==>I>k>>>>>/?>?h??R@v@@@@pAAAA B)B>BBBP'<J3il0000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000ZK%M-4m;BIHOWW^uhovj"&,+s048E<B)FJ]OSTX\ag k"pt+~jj  /R^idDLaK^M (V(i( *q*{*+b+r+++,--. /_//v333?555"7l77f::::Y;a;===>>>~??? @5@N@ A^AnABC,CEEEF"G.GHII%IIIMN"N8NNNPQ+QPQQQSVThTWWX:cccd2eEegggZi}iiij(jjkkkkk:l]lil:nnn.rrr6{Y{e{i{{{|||"}J}c}Fׄ(;jXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX| z  ^ a ( -N`Ub - = > K !!2"?"""##,'4'( (**++{++++,-V-\---`.f.../ /////////00|22l3t36699v<~<t>|>>>??@@A A>BFBBB4Ewxyyy+z3z_zgz.{4{}}~%~:BρՁہfo<DȄՄ3;l-X! I U$-;CX`s,>@Nq37qt7 = E&I&&&((4,8,--5599c:f:==/C1C__`L`lymyy+ziz{{AIHNl:::::::::::::::::::::::::::::::::::JimNC:\Documents and Settings\Jim\My Documents\Metastock\Backtest Hall of Fame.doc@dtj@@UnknownGz Times New Roman5Symbol3& z Arial9CG Times"qhŜƱŜqn820Y2Backtest Hall of Fame JimJimOh+'0t  0 < HT\dlBacktest Hall of Fame ackJimimim Normal.dotlJim1mMicrosoft Word 9.0m@F#@(x @n; qn՜.+,D՜.+,T hp  Your Company Namel8 Backtest Hall of Fame Title" 8@ _PID_HLINKSA"JugChttp://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel>k?http://www.geocities.com/WallStreet/District/2148/Unique3.htmlUhttp://www.investors.com/Uhttp://www.investors.com/}oChttp://www.amazon.com/exec/obidos/ASIN/0684845903/thejonathajackel]Lhttp://www.fool.com/}lChttp://www.amazon.com/exec/obidos/ASIN/0070383014/thejonathajackelJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524Momentum%20Growth]Lhttp://www.fool.com/Uhttp://www.investors.com/Uhttp://www.investors.com/VOJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524Unemotional%20Growth]L~http://www.fool.com/]L{http://www.fool.com/}zx<http://moneycentral.msn.com/articles/invest/models/2890.aspuguChttp://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackelyorChttp://www.amazon.com/exec/obidos/ASIN/0079137547/thejonathajackel)&oJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524Cornerstone%20Value)&lJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524Cornerstone%20ValueugiChttp://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackelRfJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524 KeystonecJhttp://boards.fool.com/registered/Message.asp?id=1030013002790000&sort=idR`Jhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524 Keystone]L]http://www.fool.com/]LZhttp://www.fool.com/]LWhttp://www.fool.com/}oTChttp://www.amazon.com/exec/obidos/ASIN/0684845903/thejonathajackel1eQChttp://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackelUNhttp://www.investors.com/UKhttp://www.investors.com/]LHhttp://www.fool.com/UEhttp://www.investors.com/m5BJhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524CANSLIMun?Chttp://www.amazon.com/exec/obidos/ASIN/0684827034/thejonathajackel}z<<http://moneycentral.msn.com/articles/invest/models/2890.asp}z9<http://moneycentral.msn.com/articles/invest/models/2890.asp]L6http://www.fool.com/kj3Dhttp://www.geocities.com/WallStreet/District/2148/DouglasTheory.zipft0Ohttp://search.washingtonpost.com/wp-srv/WPlate/1998-12/23/081l-122398-idx.htmlug-Chttp://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel1e*Chttp://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackelT'Jhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524 FogIndex}z$<http://moneycentral.msn.com/articles/invest/models/2890.aspm!Chttp://www.amazon.com/exec/obidos/ASIN/0070482462/thejonathajackelugChttp://www.amazon.com/exec/obidos/ASIN/0767900723/thejonathajackel~nChttp://www.amazon.com/exec/obidos/ASIN/0070480176/thejonathajackelm5Jhttp://www.geocities.com/WallStreet/District/2148/HallofFame2.html?200524CANSLIMyoChttp://www.amazon.com/exec/obidos/ASIN/0079137547/thejonathajackel~nChttp://www.amazon.com/exec/obidos/ASIN/0070480176/thejonathajackel]Lhttp://www.fool.com/a| +http://hometown.aol.com/Cormend/index.html]L http://www.fool.com/a|+http://hometown.aol.com/Cormend/index.html1eChttp://www.amazon.com/exec/obidos/ASIN/006098404X/thejonathajackel. mailto:jjackel@bmmdc.com  !"#$%&'()*+,-./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_`abcdefghijklmnopqrstuvwxyz{|}~Root Entry F‹ 1Table@WordDocument"hSummaryInformation(DocumentSummaryInformation80$CompObjjObjectPool‹ ‹   FMicrosoft Word Document MSWordDocWord.Document.89q