Relative strength stock screen

Here's a stock screen from the Motley Fool Mechanical Investing boards which uses relative strength as it's sole criteria. This is a market crushing strategy for people with little time to trade, since it is rebalanced every 3 months. 30% annual return is not too shabby...

Actual screen code:
Define {RS13WKT12}
Uses [Timeliness Rank] [Total Return 13-Week]
Deblank [Timeliness Rank] [Total Return 13-Week]
Keep :[Timeliness Rank]<=2 Sort Descending [Total Return 13-Week] ; Top :10 End   Results from backtest.org from holding the top 10 stocks for 3 months at a time:

CAGR	30	12
GSD	38	16
Sharpe Ratio	0.83	0.54

Screen		S&P
1986		22	24
1987		17	6
1988		17	10
1989		37	35
1990		-2	-5
1991		107	31
1992		11	7
1993		31	10
1994		13	2
1995		48	39
1996		56	23
1997		-5	28
1998		37	35
1999		209	18
2000		21	-11
2001		-33	-9
2002		-1	-22
2003		114	28
2004		57	10
2005		12	8
2006		33	14
2007		11	6

Trend Weaver diversified futures trading strategy

Trend Weaver is a diversified trend-following futures trading strategy created by Shay Campbell.

The strategy uses diversified markets such as: British Pound, Coffee, Crude oil, Cotton, Dollar Index, Eurodollar, T-Note 5 yr, Gold, Heating Oil, Japanese Yen, Lumber, Lean Hogs, Natural Gas, Nikkei Index, Palladium, Rough Rice, Soybeans, Swiss Franc, T-Note 10-yr and 30-yr T-Bond.

On Shay's website, he shows 3 different portfolios, which shows the effect of of using a different group of futures according to your account size. The large strategies use a wider variety of futures than the small strategy. However, any combination of futures can be used.

Shay has applied position sizing to simulate these real-world results, which are backtested from Jan 1987 to Dec 2006:

Small account (starting with $10,000)
Position size: 7% per trade
Compounded annual growth rate: 31.4%
Max drawdown: 32.6%

Medium account (starting with $20,000)
Position size: 6% per trade
Compounded annual growth rate: 57.4%
Max drawdown: 33.7%

Large account (starting with $50,000)
Position size: 4% per trade
Compounded annual growth rate: 75.6%
Max drawdown: 42.4%

Equity curve of large portfolio using 1 contract:
The system has a win rate of about 40%, with winning trades being over twice as large as losing trades.

The nice thing about this market crushing strategy is the variety of contracts traded. It's probably not correlated to the stock market, so it would make a nice supplement to a stock trading account. Also, this is a working system that has been in use for several years. Also, Shay tells me that this system is tracked by Futures Truth Magazine starting this year. As of Jan 08, it was ranked #1 out of 271 systems for trading crude oil. If you decide to purchase this system, please tell them Crush the Market sent ya!

Portfolio 123 - GARP (Growth at a reasonable price)

Portfolio123 is a platform for developing and executing quantitative stock strategies.

From their website: "Portfolio123's breakthrough platform allows you to create, backtest and put into production your quantitative strategies."

One of the characteristics that helps Portfolio123 rise above other screening programs is the ability to rank stocks. Ranking is a better way to pick stocks than screening.

Today, we are going to feature a model portfolio strategy called "GARP $100K " Here's the description from their website:

This strategy finds GARP (Growth At a Reasonable Price) stocks with SmallCap concentration. It holds aproximately 20 stocks, has a relatively low yearly turnover of around 150%, and is liquid for investment amounts of $100K and more.

The top ranked stocks are picked based on a ranking system that combines several factors, such as: technical, valuation, earnings quality, and industry leadership. The highest ranking stocks must also pass these conditions:

- Have low PEG (Price to Earnings Growth)
- Pass liquidity tests
- Market cap between $50M and $1B
- Sector does not exceed 20% of total
- Have low correlation with other holdings

Rebalancing is done weekly: if a stock's rank drops below a certain threshold or if the market cap exceeds $2B it is replaced by a higher ranked stock.

This model returns an average of 32% per year with a max drawdown of 28%, which crushes the market quite easily. Details of the results of the model are shown here.

Jamie Gritton's MI Stock Screen Backtester

To show that there are numerous ways to Crush the Market using a free trading strategy, we present the following stock screen, backtested on Jamie Gritton's MI Backtester:

SOS_A screen, originally from from the Motley Fool Mechanical Investing discussion board. This is a 'screen of screens' which runs several stock screens and picks the highest ranking stocks. Seems to work pretty well:

Year SOS_A return

1986	31
1987	31
1988	32
1989	36
1990	8
1991	84
1992	34
1993	52
1994	27
1995	110
1996	63
1997	34
1998	62
1999	212
2000	-40
2001	-36
2002	-14
2003	61
2004	2
2005	30
2006	9
2007	35

You can learn more about the stock screens derived from the Motley Fool boards (and alot about stock screening strategies) here.