Jim, Could you list current stocks in your screen?

I think they would be these
HRB SRPT BKNG NSP RCL CNK IBKR ORCL CCL MELI VVV MSI UAL DVAX ENPH STX SE DK LNTH CELH

[See recent post on garbage data from VL this week on prices...with luck it doesn't affect these specific fields]

However, arguably the screen definition has a bug: it really should start with (yes) another starting step to require the ROE and cash fields both to be positive before doing the math.
Otherwise you could pick a firm with a negative equity and negative cash, but the quotient is positive.
(with those two both positive, the sales growth figures will take care of themselves in the sort)

This makes a difference at rank 22 this week (which has negative equity and negative sales growth) so at least it doesn't affect the tickers above.
In the backtest there is a difference in the top 20 picks in 80% of months by adding the positive field check, but the CAGR difference is within statistical error at 0.64%. Unsurprisingly the win rate goes up a bit. Who wants to buy the "wrong" stock?

Jim

Mechanical Investing FAQ

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