Amir writes,
"Thank you very much for your very interesting Blog. I am learning a lot by reading it.
"Thank you very much for your very interesting Blog. I am learning a lot by reading it.
I am wondering if you can help me,either by commenting on your blog or here by email. I am trying to make sure I understand your method of Relative Strength with AAII Stockpro and Zweig.
My question to you is how do you define Relative Strength and over what time frame do you compute it?
Reason I ask is I downloaded several older sets of data from AAII AtockPro and used their internal Relative Strength to rank the stocks and pick the top 5, but when I looked at the performance a month out, I did not see such an advantage in performance.
I am thinking I did not do something right or did not do this with enough different weeks perhaps? Not sure.
Also, do you find that in Zacks that you can implement the Zweig screen so you can do the whole process and also add backtesting in Zweig. Or do you have to do 2 step process of AAII and then Zweig?"
Scott Responds:
That's a great question, Amir. A lot of claims about performance don't look as good when you investigate them for yourself. Backtesting is more art than hard science when you look at the constant flux of the market. For that reason, I only trust the screens that I've been tracking in real time on a day to day or week to week basis.
I've followed my top 5 Relative Strength idea for close to two years on a daily basis so I know that the returns are real. I've followed the top 1 relative strength idea on a daily basis for the last 3 years so I am certain about those numbers as well.
Beyond that, I've done what you did and downloaded historical stock information and laboriously checked how stocks meeting certain criteria performed over time.
It seems that Relative Strength is calculated in different ways and means different things to different people. Relative Strength is supposed to compare a particular stock's return with the return of the stocks in the S&P 500. If a stock's relative strength is 90, that means the stock's return is better than 90% of the stocks in the S&P 500. I use the 26 week relative strength that Stock Investor Pro calculates each week.
As far as Zack's is concerned, I have not been able to replicate a Zweig screen that delivers results similar to AAII's Zweig screen. The staff at Research Wizard said they will put one together for me and I've given them the criteria. I'm not sure if I'll be able to do much analysis with it because Zack's backtesting won't work with certain criteria. I'll keep everybody informed about how that all comes out.
Right now, I take the weekly information from AAII and type it into a Zack's portfolio. Zacks will then give me the Zacks rating on each of those stocks which I use to make decisions that week.
Scott Responds:
That's a great question, Amir. A lot of claims about performance don't look as good when you investigate them for yourself. Backtesting is more art than hard science when you look at the constant flux of the market. For that reason, I only trust the screens that I've been tracking in real time on a day to day or week to week basis.
I've followed my top 5 Relative Strength idea for close to two years on a daily basis so I know that the returns are real. I've followed the top 1 relative strength idea on a daily basis for the last 3 years so I am certain about those numbers as well.
Beyond that, I've done what you did and downloaded historical stock information and laboriously checked how stocks meeting certain criteria performed over time.
It seems that Relative Strength is calculated in different ways and means different things to different people. Relative Strength is supposed to compare a particular stock's return with the return of the stocks in the S&P 500. If a stock's relative strength is 90, that means the stock's return is better than 90% of the stocks in the S&P 500. I use the 26 week relative strength that Stock Investor Pro calculates each week.
As far as Zack's is concerned, I have not been able to replicate a Zweig screen that delivers results similar to AAII's Zweig screen. The staff at Research Wizard said they will put one together for me and I've given them the criteria. I'm not sure if I'll be able to do much analysis with it because Zack's backtesting won't work with certain criteria. I'll keep everybody informed about how that all comes out.
Right now, I take the weekly information from AAII and type it into a Zack's portfolio. Zacks will then give me the Zacks rating on each of those stocks which I use to make decisions that week.
Posts
No comments:
Post a Comment