No. of Recommendations: 17
There is much to be said for simplicity.
Simple screen, simple post
Value Line 1700 universe, no crap filters.
The screen:
Sales Growth 5-Year top 300
Stock Price / Low Price 52-Week top 10
That's it.
Really zooms in a strong market, especially during rebounds from a bear.
But also quite decent on average at other times, giving a huge overall return in backtest with risk metrics for a 10-stock portfolio only a little worse than the S&P.
Monthly, 0.4% friction
Year Screen S&P Diff
1997 31.3 27.9 +3.4
1998 86.1 34.5 +51.6
1999 172.5 18.4 +154.1
2000 19.3 -10.8 +30.1
2001 7.3 -8.0 +15.3
2002 -45.9 -18.9 -27.0
2003 154.5 23.0 +131.5
2004 32.0 8.9 +23.1
2005 14.2 7.5 +6.7
2006 28.1 13.8 +14.3
2007 -2.4 1.9 -4.3
2008 -29.9 -32.9 +3.0
2009 144.0 25.5 +118.5
2010 25.5 14.2 +11.4
2011 -1.0 2.5 -3.5
2012 -4.0 17.1 -21.1
2013 106.8 27.6 +79.2
2014 23.8 12.9 +10.9
2015 9.9 1.9 +7.9
2016 28.1 14.4 +13.7
2017 36.8 21.8 +15.0
2018 -8.1 -3.5 -4.6
2019 12.4 29.9 -17.5
2020 127.3 16.9 +110.4
2021 36.5 30.5 +6.0
2022 -10.9 -19.0 +8.1
2023 18.4 17.5 +0.9 (to June, not annualized)
26.5 years 28.8 9.0 +19.9
DDD3 risk 13.3% 11.0%
This backtest is done using the old backtest.org trade dates.
I wouldn't put all my money in this, but it might add a little leavening to the portfolio loaf.
It certainly isn't hard to figure out the picks.
But if doing the momentum step yourself from scratch, recall that VL's "Low Price 52-Week" field is calculated only on data to the end of the prior calendar month, and is available only a couple/few days later.
Jim
