Post #626 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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(2.5) (Optional) Take the 50% of stocks closest to their 52 week high.
Jim - were you implementing step (2.5)? If so, does that change the percentages in step (3)? I was never clear how 2.5 might affect 3.

Not in this post, I was just trying to duplicate precisely what the old primary suggestion was.
I saved 22 variations, so p<.05 isn't much of a hurdle if you don't stick to whatever you consider the original : )
The rest of your steps seem to match my test.
I used ROE top 32% for the with-dividend version and top ROE 26% for the don't-care version.

A quick glance suggests that adding the "off high" test didn't make things better for the with-dividend version post discovery.
The version which did not require a dividend was fine with the "off high" test was improved a hair, but it's a very short post discovery period.
I would be hesitant to draw conclusions one way or the other. There is much to be said for KISS.

Jim

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