Subject: Re: Max CAGR for 3 step Screens
Pure momentum screen with a penalty for recent good performance and reward for recent poor performance

Ah.

These was a similar screen back in the late 90's called FlareOutGrowth, from a writer on MSN Money. IIRC, that was 12 month momentum + 6 month momentum MINUS 3 (or maybe 1) month momentum. Same rationale.

It's more like what I do with the 6/3 options. Eliminate the top 10% of stocks with the highest 5 day return, then sort the remaining stocks by Regression Relative Strength. So it's eliminating the very short term price pops, not the recent 3 or 1 month top performers.

Elan