No. of Recommendations: 4
Having thought about this for a while, here is the method I settled on for implementing the overlap picks.
As a result of generating the picks for the RS and PHL screens, I have the top 12 of each, in rank order. (Both those screens are 5-HTD-12.) It would be easy enough to do a ranked sum as a figure of merit, but I really like the idea of taking the true overlaps, the stocks that are in the top 6 of both screens.
This gives you anywhere from 0 to 6 stocks. The 6 could be any number. Even up to 12 to catch all the common stocks.
Various reported methods of picking overlaps seem to average about 3 stocks, with a significant number of months coming up with 0 or 1 stock. That's too few for me; just too risky.
If that is too few stocks for you, fill in with stocks from each screen alternately. As these are in rank order, it naturally takes them in order. This was easy to do in my script, just 2 greps and a merge. This will result in a final list of 12 to 24 stocks.
Take the top N as the overlap screen list.
Since I view this list as a conglomeration of the two momentum screens I feel more comfortable with more then 5 stocks, so I arbitrarily chose N to be 7. Taking the top 8 or even 10 would be reasonable. No HTD for this screen.
I am operating kind of blind here, because I don't know how this could be backtested with GTR1. Which is why I chose a larger number than 5 for the number of stocks to hold.
This method takes the stocks in the order that each screen sees as best, regardless of where the stock is ranked by the other screen. Using a ranked sum method penalizes any stock that appears in one screen but not the other. Which does not seem reasonable to me. (Remember, I only have the top 12 of each, not the entire 100.)
