To The Moon Laid To Rest
I've tracked my To the Moon screen for a few years now and it's time to let it go. My intent in creating the screen was to show that even a simpleton like myself could put together a winning screen if it was followed without emotion. Since September of 2005 the screen has made over 300% compounded.
The screen was made up of the highest Relative Strength stocks in four different screens I ran. One screen was AAII's Zweig screen and the other three were Screens from Zacks Research Wizard. I just took the highest Relative Strength stock of these three screens:
bt sow best buys
bt sow big money
bt sow filtered zacks
This was a "buy on Monday sell on Friday" stock screen that did very well in a pretty lame market. I wanted to show that there are opportunities in the market for individual traders who don't have a lot of time and who don't want to have to monitor the market on a consistent basis.
My subscription to Research Wizard runs out this summer and I don't intend to renew. I think Research Wizard is a great product, but for me it is too pricey and I don't like that it doesn't have an established community of users who share ideas and information.
I will continue to use AAII's Stock Investor Pro as I work on new ideas while following the simple screens that I've been watching for the last several years.
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8 comments:
Scott,
Have you looked at the "Est Rev 5%" screen from AAII? During the last 4 years, it has performed better than Zweig. That screen produces quite a few stocks but that list can be shortened by RS ranking.
Andy
Andy,
I have been looking at that screen more recently (I have this weeks copy sitting right next to me). It pulls stocks very similar to the ones Zacks rates 1 & 2 on their website.
I might start tracking some of the top Relative Strength stocks in that screen as well. Right now I looking at most of them using tech analysis to see if any match my criteria.
If there are any StockPunk readers out there who have been tracking this screen for a while let us know. I'd be interested to see how some of the higher RS stocks perform over time.
Scott,
Some of the Est Rev 5% screen's charts have nice trends. Makes it easier to pick stocks. The only problem might be the 92% average turnover (compared to 47% for Zweig).
I just ranked (in one ranking) all the stocks for this week in the following AAII screens:
- Zweig
- Est Rev 5%
- PEG Est Growth
- O'Shaugnessy Small Growth and Value
All seem to be a variation of growth/value blend with a little momentum thrown in.
What I noticed is that Ext Rev 5% stocks make up around 5 of the top 10 stocks in the ranking. I ranked by 1 week, 2 weeks, 1 month. For 3 and 6 month RS ranking, the results were not so favorable for Est Rev 5% stocks, but that's probably because of the high turnover (i.e. so the stocks perform well in the recent past, not distant past).
Andy
I am reviewing a version of it that is up 30%+ in last year based on 26wk Rel Str; hold top 5; rebalance weekly. Have not personally implemented. It's current picks are: ZEUS, BEXP, EAC, MEE, COG
A momentum weighted version gives many of the same picks in the top 10.
If anyone has good ideas about momentum ranking I would like to hear them.
Rick,
88% right -- that's a remarkable hit rate (even considering it has been only 3 months).
1 ATR on these stocks is on average, around 5%. So your 2ATR stop is costing you a 10% loss on 8% of your trades. I wonder if the result would improve if you let you profits run instead of selling at 7%. I bet it would.
Andy
The Zack's Big Money screen can be recreated with the MSN stock screener.
Using RS to pick the top 1 for 4 different screens. Simple and effective.
Have you tried doing the same thing with different AAII screens. My guess is results would be good.
Regarding the ack of community for Zacks - This is a major downside. There is however some discussion of Zacks RW on the Motley Fool Mechanical Investing and Market Screens boards. Lots of bashing of Research Wizard primarily because of survivorship bias
Scott,
Great work on the screen. Did you ever execute trades based on it, or were you paper trading it? It seems like, at a 300% return, it could have paid for the Research Wizard subscription.
Any, all,
Unrelated to that question, a fascinating bit I heard in a recent talk by Michael Carr (author, Smarter Investing in Any Economy) was his use of an "equity curve" to determine when to trade a particular methodology. Starting with some amount, he paper trades a methodology, charting the resulting equity value of the trades. When the equity curve is above, say, a 30 day moving average of the value, he's performing actual trades. When it is below that average, he's back to paper trading. Something I'll be playing around with.
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