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I am looking to do some back testing on James O'Shaughnessy's
Reasonable Runaways long term stock strategy which is covered in his
recent book "How to Retire Rich".
The stock selection criteria are as follows:
1. Market Cap > $150 million
2. Price - Sales Ratio < 1
3. Buy the 25 to 50 stocks from 1 and 2 above that have the best one
year price appreciation.
4. Rerun the selection process once a year.
This is a buy and hold strategy. I want to add a equity curve based
switch to this simple system. I am having trouble finding historic data
for market cap and the price to sales ratio. One set of data per year
would be acceptable. Any suggestions on where to find this historic data
for US stocks.
Thanks for any suggestions.
Matt Samojeden
Matt,
Check Barron's or the Journal for some of James O'Shaughnessy's
funds based on his theories. See how they have performed. Last I
heard, not that great. He has already done the backtesting, seems silly
to reinvent the wheel.
Thad
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