March 23, 2017

What happens when you eliminate the 10%

Getting rid of the top 10% of performers

We’ve been making a lot of assumptions recently, so why stop now? I was speaking with someone the other day and they made the statement that since the majority of the market doesn’t really perform that well, and the general market only increases so much as a result of a few superstars. This got me thinking. What would happen if we eliminated the top 10% of last year’s performers from our screener and ran a backtest.

Firstly, let’s go ahead and get our baseline in. How have all companies done when put in the same pool over the past 17 years?…

March 22, 2017

What is the Piotroski F-Score?

Piotroski F-Score

We mention the Piotroski F-Score in a lot of our articles, videos, and even within a lot of our prebuilt screens. So, it poses the question, what exactly is the Piotroski F-Score?

Created by a professor of Accounting at the University of Chicago named Joseph Piotroski, the score is used to identify possible investments.

 

clip_image002

Here is the score built within the Equities Lab system using the Equihack language. For each line item that is deemed true a point is added to the score. For every line item that is not true, nothing is added to the score. The score itself is broken up into three different parts –

· Profitability – though not outlined in the editor, this contains the first four items of the score.…

March 20, 2017

Are Solid Companies Really that Solid?

Firing on all four Cylinders

The world is run by computers. Almost every field has been automated to a degree that the workplace wouldn’t be able to really function without technology, and finance is no exception. With HFT firms and algorithms dictating how we trade, let’s take a step back and assess the fundamentals. How integral is strong corporate performance, through the relationships between profit margin, income growth, revenue growth, and profit margin growth, to being a successfully traded company on the market.

clip_image001

For this, we will be exploring the recently designed “Firing on all four cylinders” screen which can be found under the informative section of the Equities Lab software.…

March 17, 2017

Traditional Technical Analysis Kinda Working

Why it’s hard to Trust Technical Analysis

Over this past month or so we‘ve been writing a lot of articles that are very pro-technical analysis. Personally, I was fascinated by technical analysis when I first started investing, but I have to say, my tastes have changed. Either way, our most recent featured screen is actually based off of the SCTR designed by StockCharts, and it works amazingly. This led me on a little excursion to find other technical indicators to test and program into our system.

 

After a short period of time I found ABG Analytics, a Quantitative investment site, and in their technical analysis section there is something known as the “Traditional Scoring Technique” This technique looks good on the surface and hits all of the basic technical analysis points, but let’s see how it fairs.…

March 13, 2017

Chasing the Market Never Works

Chasing Never Works

 

Momentum based investing is everywhere, and there’s nothing we can do about it. From investing in trend lines or price oscillations, it’s an investment philosophy that is here to stay. Though it isn’t my favorite style of investing, it’s at least worth a look.

 

Recently I was approached with the investment idea that, if you invest in the top performing industry, you are likely to make money. So, I went and created a simple industry rotation screen.

 

clip_image002

clip_image004

 

For this screen you need two tabs, the editor and industry change. In the industry change tab we look for the average of the change of close over the past year broken up into each industry.…

March 10, 2017

Be Careful What you Short

Using the Right “Close”

 

When I’m going through a testing process to check over a new update, my go to screen is “Close > 444”. This seems all fine and well, and will return companies that have a close greater than 444, but, believe it or not, this usage of “close” is incorrect.

 

Within the Equities Lab system, there are two types of close – Close and RawClose.

 

· Close is the split adjusted closing price

· RawClose is the unadjusted closing price.

 

This differentiation is important when you are looking at a static line using close as a parameter.

 

Does it really make that big of a difference?

March 7, 2017

Cash is King – Featured Screen

New Featured Screen – Cash is King

By this point, most of our users have become pretty good at building successful screens for their accounts. These screens can beat the market at a reasonable rate of volatility and match up pretty well to that individual’s investment philosophy. However, there is always room for improvement, and that improvement is exactly what Mr. Manzitti found when he reached out to discuss having a couple of his personal strategies featured to allow all users to have access to them. One of these screens is his “Cash is King” screen.

clip_image001

I know you don’t have all of the information of the screen right here; but, without diving into it, what do you think this screener returns over the past 20 years?…

March 1, 2017

When Your Screener “Blows up”

When Strategies go Bust

clip_image001

What would you do if I told you that you could have earned an average of about 50% annually over the past twenty years? Would you believe me? Would you go out and invest in the strategy? Above we have a screen that has increased by over 600,000% over the past 20 years. We’ve gone through and verified the trades and these results are actually legitimate.

I haven’t been building investing strategies for long – roughly two years. And when you first begin learning about Quantitative investing, you’re told one thing more than anything else. One day, your strategy will die.…

February 27, 2017

Private to Public: The IPO


 The IPO Wall Street has been salivating over for months is finally becoming a reality. Snap Incorporated, the parent company of Snapchat, officially announced it will be going public. The company will have its first day of trading at the New York Stock Exchange sometime in March (No specific date as of yet) with Goldman Sachs and Morgan Stanley as the underwriters. Snapchat is a unique company with the majority of its user base coming from a very young demographic. The company’s SEC filings revealed steady revenue growth over the past couple of years, but will this growth continue as the company competes in a sink or swim business environment?…

February 25, 2017

About Rebalance Periods

What is rebalancing?

When you first start screening and backtesting for companies you are going to be presented with a number of different variables that need to be decided. One such variable is the rebalance period. Think of a rebalance as the following.

– When a portfolio is rebalanced it is assumed that all positions within that portfolio are sold, and all companies that are returned by the screener are purchased at the same weight at the same time. This activity is portfolio wide and doesn’t include individual position management.

Within the Equities Lab system, you can adjust the rebalance period within the trading rules tab.…