Subject: Re: ROE Cash LT Debt Screen
I tested a P123 version. Over the past 5 years it backtested well. However, I couldn't figure a way to do the original 39 stock 'dozens' portfolio in P123 where you pick 13 stocks each month and hold them for 3 months, so I just picked 13 and held them for 3 mos.

13 stock, 3 mo. hold version
Total return: 132% vs S&P: 68%
Max DD: -33% vs S&P: -33%
StdDev: 23% vs S&P: 18%
Beta: 1.09

If anything knows how to script the 39 stock rotation in P123, I would love to know it.

Taz