Post #1952 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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If you're willing to countenance one more step, adding a final "bottom 15 by beta" is nice...

Another good final sort would be Top N by [Sales Growth 5-Year].
Yes, it's already in the main step, but it seems to give a nice final sort...good apparent falloff in returns by depth down to "top 4".
I noted this at the time but neglected to mention it in the first post about the screen.

Off to a nice little start--
First four months of this year, top 4 with two month holds after friction, up 26.5% versus 10.3% for the S&P.
Not that I would recommend running a 4-stock screen. Or placing any weight on a four month anecdote. But it works nicely in a long backtest too, e.g. top 15 2 months after friction beat S&P by 6.5%/year 2000-2023. In backtest.

Note, it's a screen that goes down along with the market in bears.

Jim

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