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Hi,
I found this screen using P/E and Price to book value
that seems to give good returns. I don't have P/E or PTB data but thought those
that do might want to try doing some backtests. There are some variations that
give better results and I wanted to include them, but I am having trouble
downloading them. it would be interesting to see what market cap range gives the
best returns. I'm not sure if Valueline Timeliness ratings were part of the
attached backtest results so your results may be different from those below. I
started an afl to give you an idea of what parameters to plugin. Looks likeI'm
going to have to use QP2 data , if I want to test this and the float analysis
afl. Maybe I'll subscribe in August.
Greg
/* MI PEBsize */
//Current P/ERatio
bottom 30%//<FONT
face="Courier New" color=#000000 size=1>
//Book Value per share
!= 0//<FONT face="Courier New"
color=#000000 size=1>
//Price / Book Value per
share bottom 50%//<FONT
face="Courier New" color=#000000 size=1>
//Price / Book Value per
share top 60%//<FONT
face="Courier New" color=#000000 size=1>
//Market Cap $ (Mil)
bottom 5//<FONT face="Courier New"
color=#000000 size=1>
//Buy on first Monday of month,h old for One Month//
Jamie Gritton's Backtest Engines <A
href="">Screen Builder
"7bpeb73697a65"Current P/E Ratio bottom 30%Book Value per share!=
0Price / Book Value per share bottom 50%Price / Book Value per share top
60%Market Cap $ (Mil) bottom 5URL: <A
href="">SBv86010101Q7bpeb73697a65QXcpeB30HXbvsNE0XpriDbvsB50HXpriDbvsT60HXmcpB5UUUUU
through
Starting in
JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecember
Holding Period: months
List picked stocks
Show all months
<A
href="">URLs
<A
href="">trading
simulator
Timeliness<FONT
size=-1>TM -
Timeliness(tm) RankSafety RankFinancial
StrengthIndustryIndustry
RankPrice Stability RankBetaCurrent EPSCurrent DividendTechnical
RankPriceHigh Price
52-WeekLow Price 52-WeekCurrent P/E Ratio% Current
YieldPrice to Book ValueTotal Return 13-WeekTotal Return
26-WeekMarket Cap $ (Mil)Options ListingSales% Earned Net Worth% Retained to
Common EquityBook Value per shareDebt as % Capl Latest Qtr% EPS
Chg from Last Qtr% EPS 12-Month ChgLatest
QtrEPS Growth 5-YearDividend Growth 5-YearBook Value
Growth 5-YearEst % EPS Chg 1 Qtr
OutEst % EPS Chg 2 Qtrs OutEst % EPS Chg Fiscal YearProj
3-5 Yr % AppreciationProj EPS Growth
RateProj Dividend Growth RateProj Book Value Growth RateProj
3-5 Yr Avg ReturnCashTotal Current AssetsTotal
AssetsCurrent LiabilitiesLong-Term DebtNet WorthCash FlowNet IncomeIndustry NameExchange
Code% Institutional HoldingsCommon Shares
Outstanding =!=><>=<=topbottom
Timeliness(tm) RankSafety RankFinancial
StrengthIndustryIndustry
RankPrice Stability RankBetaCurrent EPSCurrent DividendTechnical
RankPriceHigh Price
52-WeekLow Price 52-WeekCurrent P/E Ratio% Current
YieldPrice to Book ValueTotal Return 13-WeekTotal Return
26-WeekMarket Cap $ (Mil)Options ListingSales% Earned Net Worth% Retained to
Common EquityBook Value per
shareDebt as % Capl Latest Qtr% EPS Chg from Last Qtr% EPS
12-Month Chg Latest QtrEPS Growth
5-YearDividend Growth 5-YearBook Value Growth 5-YearEst %
EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs
OutEst % EPS Chg Fiscal YearProj 3-5 Yr % AppreciationProj
EPS Growth RateProj Dividend Growth
RateProj Book Value Growth RateProj 3-5 Yr Avg ReturnCashTotal Current AssetsTotal AssetsCurrent
LiabilitiesLong-Term DebtNet WorthCash FlowNet IncomeIndustry NameExchange Code% Institutional
HoldingsCommon Shares
Outstanding =!=><>=<=topbottom
Timeliness(tm) RankSafety RankFinancial
StrengthIndustryIndustry
RankPrice Stability RankBetaCurrent EPSCurrent DividendTechnical
RankPriceHigh Price
52-WeekLow Price 52-WeekCurrent P/E Ratio% Current
YieldPrice to Book ValueTotal Return 13-WeekTotal Return
26-WeekMarket Cap $ (Mil)Options ListingSales% Earned Net Worth% Retained to
Common EquityBook Value per shareDebt as % Capl Latest Qtr% EPS
Chg from Last Qtr% EPS 12-Month ChgLatest
QtrEPS Growth 5-YearDividend Growth 5-YearBook Value
Growth 5-YearEst % EPS Chg 1 Qtr
OutEst % EPS Chg 2 Qtrs OutEst % EPS Chg Fiscal YearProj
3-5 Yr % AppreciationProj EPS Growth
RateProj Dividend Growth RateProj Book Value Growth RateProj
3-5 Yr Avg ReturnCashTotal Current AssetsTotal
AssetsCurrent LiabilitiesLong-Term DebtNet WorthCash FlowNet IncomeIndustry NameExchange
Code% Institutional HoldingsCommon Shares
Outstanding =!=><>=<=topbottom
<A
href="">more
rules
<A
href="">Expressions
<A
href="">post-1997
fields
Screen
S&P
CAGR
41
14
GSD
30
18
Sharpe Ratio
1.23
0.58
CAGR+3s
206
85
CAGR+2s
137
57
CAGR+1s
83
34
CAGR-1s
9
-3
CAGR-2s
-16
-17
CAGR-3s
-35
-30
Winning stocks
541
Average gain
11
Losing stocks
379
Average loss
-8
1986
55
24
1987
-14
5
1988
84
11
1989
55
36
1990
21
-5
1991
112
31
1992
35
7
1993
54
10
1994
27
2
1995
84
39
1996
19
23
1997
32
27
1998
14
33
1999
2
20
2000
26
-11
2001
120
-9
January
5
3
February
4
1
March
3
1
April
5
2
May
4
2
June
-0
1
July
3
0
August
2
-0
September
0
-1
October
1
1
November
0
2
December
7
2
971 trades (5.1 / period)
<A
href="">all-months
summary <A
href="">spreadsheet
export 6 Jul 2002
Purchased
Gain
Ann'd
S&P
Total
Pick
Initial
10000
6 Jan 1986
-7
-56
2
9336
3 Feb 1986
12
286
5
10447
3 Mar 1986
15
436
6
12016
30 Mar 1986
-3
-30
-0
11670
5 May 1986
16
466
3
13484
2 Jun 1986
9
168
3
14638
30 Jun 1986
-4
-36
-6
14107
4 Aug 1986
3
44
6
14539
1 Sep 1986
1
15
-7
14708
29 Sep 1986
3
49
7
15208
3 Nov 1986
-6
-54
2
14259
1 Dec 1986
9
177
2
15522
5 Jan 1987
1
13
10
15684
2 Feb 1987
15
443
2
18058
2 Mar 1987
0
1
2
18069
30 Mar 1987
-1
-14
0
17841
4 May 1987
0
1
0
17848
1 Jun 1987
3
35
7
18304
29 Jun 1987
1
14
3
18510
3 Aug 1987
4
68
4
19330
31 Aug 1987
-7
-56
0
18067
5 Oct 1987
-28
-98
-22
13055
2 Nov 1987
-14
-83
-10
11282
30 Nov 1987
19
700
12
13417
3 Jan 1988
8
155
-1
14505
1 Feb 1988
5
72
6
15177
29 Feb 1988
10
217
-4
16709
3 Apr 1988
20
750
2
19970
2 May 1988
-3
-28
1
19432
30 May 1988
11
249
6
21563
4 Jul 1988
-2
-24
-1
21066
1 Aug 1988
-1
-8
-2
20920
5 Sep 1988
4
54
2
21690
3 Oct 1988
-2
-22
3
21237
31 Oct 1988
3
43
-1
21874
5 Dec 1988
13
340
0
24747
2 Jan 1989
0
3
7
24801
30 Jan 1989
4
65
-2
25855
27 Feb 1989
2
25
3
26342
3 Apr 1989
5
77
4
27629
1 May 1989
13
323
5
31160
5 Jun 1989
-3
-34
-1
30100
3 Jul 1989
3
44
9
31031
31 Jul 1989
15
423
2
35619
4 Sep 1989
0
2
-0
35670
2 Oct 1989
2
29
-5
36430
30 Oct 1989
2
22
6
37046
4 Dec 1989
4
52
3
38361
1 Jan 1990
1
12
-8
38727
5 Feb 1990
2
25
1
39453
5 Mar 1990
12
310
2
44378
2 Apr 1990
3
47
-2
45821
30 Apr 1990
3
48
12
47356
4 Jun 1990
2
30
-2
48403
2 Jul 1990
-6
-54
-1
45381
30 Jul 1990
-12
-79
-9
39918
3 Sep 1990
-6
-52
-2
37560
1 Oct 1990
9
166
0
40755
5 Nov 1990
6
93
3
43051
3 Dec 1990
8
152
2
46491
31 Dec 1990
34
3205
6
62226
4 Feb 1991
4
67
6
64933
4 Mar 1991
12
293
1
72771
31 Mar 1991
6
101
1
77128
29 Apr 1991
3
50
4
79778
3 Jun 1991
-7
-57
-2
74426
1 Jul 1991
13
314
2
83781
5 Aug 1991
2
26
2
85387
2 Sep 1991
11
258
-1
94953
30 Sep 1991
3
39
1
97617
4 Nov 1991
-7
-57
-2
91009
2 Dec 1991
8
158
10
98486
6 Jan 1992
16
481
-2
114032
3 Feb 1992
2
29
1
116501
2 Mar 1992
-5
-43
-2
111106
30 Mar 1992
-5
-47
4
105317
4 May 1992
7
115
0
112268
1 Jun 1992
-10
-72
-2
101104
29 Jun 1992
2
20
4
102646
3 Aug 1992
-1
-7
-2
102039
31 Aug 1992
6
95
-2
107876
5 Oct 1992
9
189
4
117863
2 Nov 1992
8
164
2
127788
30 Nov 1992
4
59
1
132835
3 Jan 1993
6
99
2
140658
1 Feb 1993
-2
-17
0
138509
1 Mar 1993
-3
-34
0
133795
5 Apr 1993
3
36
1
137305
3 May 1993
2
20
3
139448
31 May 1993
-0
-1
-3
139366
5 Jul 1993
1
11
2
140593
2 Aug 1993
9
189
2
153572
6 Sep 1993
5
70
1
160484
4 Oct 1993
7
131
2
172074
1 Nov 1993
5
81
-1
180775
29 Nov 1993
13
342
1
204601
3 Jan 1994
13
321
4
230661
31 Jan 1994
11
247
-3
255835
28 Feb 1994
-4
-39
-6
245657
3 Apr 1994
5
72
4
256991
2 May 1994
-2
-26
1
250692
30 May 1994
-4
-41
-2
240050
4 Jul 1994
3
38
3
246541
1 Aug 1994
7
128
3
264056
5 Sep 1994
-8
-61
-2
244055
3 Oct 1994
5
72
3
255332
31 Oct 1994
1
12
-4
257695
5 Dec 1994
1
10
2
259699
2 Jan 1995
8
158
2
281010
30 Jan 1995
8
142
4
302516
27 Feb 1995
8
156
4
327146
3 Apr 1995
6
92
3
345379
1 May 1995
7
114
5
367940
5 Jun 1995
7
120
2
392902
3 Jul 1995
4
61
3
408712
31 Jul 1995
4
53
2
423368
4 Sep 1995
-1
-13
2
418641
2 Oct 1995
1
16
1
423804
30 Oct 1995
6
95
6
448138
4 Dec 1995
6
111
1
476868
31 Dec 1995
-4
-41
4
456384
5 Feb 1996
4
65
2
475850
4 Mar 1996
-0
-4
1
474423
1 Apr 1996
4
62
0
493979
29 Apr 1996
3
45
2
509622
3 Jun 1996
-6
-52
2
479089
1 Jul 1996
10
218
-2
527635
5 Aug 1996
3
45
-1
544228
2 Sep 1996
3
46
5
561596
30 Sep 1996
-4
-35
3
541798
4 Nov 1996
2
29
7
553456
2 Dec 1996
3
42
-1
569789
6 Jan 1997
1
9
5
573740
10 Feb 1997
-5
-45
5
545486
10 Mar 1997
6
111
-7
580589
30 Mar 1997
0
1
10
580914
5 May 1997
15
414
4
665859
9 Jun 1997
-2
-23
6
651569
6 Jul 1997
14
380
4
742534
4 Aug 1997
7
122
-2
793429
8 Sep 1997
3
46
5
818739
6 Oct 1997
-2
-17
-6
805775
10 Nov 1997
-3
-27
7
785098
8 Dec 1997
-4
-39
-5
753137
12 Jan 1998
-1
-11
8
746161
9 Feb 1998
8
145
4
803985
9 Mar 1998
1
14
6
812771
13 Apr 1998
4
54
-0
842455
11 May 1998
-3
-35
1
813182
8 Jun 1998
2
20
4
825633
5 Jul 1998
-11
-76
-6
732871
10 Aug 1998
-10
-71
-5
660966
7 Sep 1998
-3
-32
-5
639980
5 Oct 1998
25
1349
15
799703
9 Nov 1998
-5
-45
5
761267
7 Dec 1998
13
326
3
859068
4 Jan 1999
-2
-19
4
844538
1 Feb 1999
-4
-38
-3
811743
1 Mar 1999
-2
-23
6
794163
29 Mar 1999
33
2841
3
1052637
3 May 1999
-1
-13
-5
1040139
31 May 1999
-2
-25
3
1015721
28 Jun 1999
5
74
0
1063747
2 Aug 1999
-14
-83
-0
918232
30 Aug 1999
-6
-55
-3
859842
27 Sep 1999
-2
-24
6
840158
1 Nov 1999
1
16
4
850483
29 Nov 1999
3
50
3
879637
3 Jan 2000
-6
-54
-4
825047
31 Jan 2000
-4
-40
-3
790768
28 Feb 2000
2
32
12
809294
3 Apr 2000
2
28
-2
825931
1 May 2000
-4
-40
-3
791594
29 May 2000
1
11
4
798720
3 Jul 2000
18
613
-3
940821
31 Jul 2000
11
232
6
1039697
28 Aug 2000
6
102
-5
1102415
2 Oct 2000
-3
-33
-3
1066435
30 Oct 2000
-2
-19
-3
1048153
27 Nov 2000
6
105
-5
1112671
1 Jan 2001
22
954
7
1353995
29 Jan 2001
13
356
-7
1536626
26 Feb 2001
-3
-35
-10
1483002
2 Apr 2001
2
26
9
1512272
30 Apr 2001
19
741
2
1805944
28 May 2001
0
6
-2
1814599
2 Jul 2001
-1
-11
-3
1797048
30 Jul 2001
2
34
-6
1841483
3 Sep 2001
2
24
-8
1874818
1 Oct 2001
9
188
4
2047578
29 Oct 2001
11
262
4
2279519
3 Dec 2001
7
135
2
2447987
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