sp500.a != null
aprc(1) bottom 10
sq2sd.s bottom 5
step0: [S&P 500 Member; lag=1 days] != null
step1: [Actual closing Price; share_lag=1 days; quote_lag=1 days] Bottom 10
step2: [SI Qtrly Surprise-Prior Qtr-Std. Dev.; lag=1 days] Bottom param0; Cash When Fewer
Holding period = 21 mkt days
https://gtr1.net/2013/?h21f0.20000::sp500.a:nenull:aprc(1)bn10:sq2sd.s:bn5
CAGR 31.36
GSD 42.8
Sharpe .85
LDD 20.5
UI 10.6
Beta 1.67
TI 20.7
AT 2.7
So this screen takes the 10 lowest priced stocks in the S&P 500, and selects the 5 that have the least deviation from their expected earnings last quarter?
yes prior quarter’s eps surprise standard deviation, ranking from low to high, picking lowest
I don’t see any stock picks when running the screener.
I get
NWL,AMCR,PCG,HBAN,VTRS
Thanks.
When I run the screener I get the message:
You do not have permission for SI Pro screening.
I haven’t had the problem before. Any idea why?
To make sure people have paid AAII for a subscription to SI Pro Robbie requires you to put in a code you can get when you download SI Pro’s updated software, the MD6 filehash. Usually Robbie will use the end-of-month file that is most recent or the most recent weekly file, though sometimes he does not update the password as fast as SI Pro files are made available on their website. I can no longer recall the MD5 hashtg add-on but several people have made one available online so you can copy and paste the hashtag after reading it in “Properties” from your downloaded file and then paste it into Robbie’s tester in the “password” area.
Well, that explains it. I don’t have an SI Pro subscription anymore.
If you drop the Surprise factor and hold the bottom 10 aprc, the CAGR is 27.3% (starting 20081231), so most of the increase over SPY is from holding the lowest price stocks. But the 4% additional CAGR and 2% increase in SAWR looks very nice.
Craig
Craig