Subject: Re: Mungofitch Counterintuitive
TAZ, I ran your screen from 1/1/2002. You didn’t specify the universe of stocks you are considering but:

Using SP500 Large cap The Screen did 9.88% vs SP500 9.61 there were few stocks passing before mid 2011
Using SP1500 the screen 10.73% SP1500 9.58 still few stocks chosen before mid 2011
Using P123’s EasyTrade universe Screen 12.54% Total Market 9.87%, no stocks chosen before early 2002.

A standard P123 example screen Weighted Value might be a good example to start with. Over the same 2002 till present using the SP1500 universe it has a CAGR of 18.24% compared to the SP1500 9.58 holding 20 stocks.

I’m taking an investing time out for a few months but within a couple of months be committed to using Machine Learning for stock selection.