No. of Recommendations: 8
I looked at buying on a surprise after the prior report being negative, and it was not as good as when both were positive.
Here is a new monthly screen using the last two eps surprise periods that trades monthly and substantially outperforms the S&P since 12/17/2008 (the date gtr data exists. It outperforms on:
CAGR, by 10.7% (25.88% to 15.1% for the S&P) ,
sharpe (1 to .81 for the S&P),
beta (1 to 1.1 for the S&P),
LDD (10.9 to 12.7 for the S&P),
Treynor (23.5 to 13.3 for the S&P)
but not
GSD (29 to 20 for the S&P)
or max drawdown (-45.3% to -39.5% for the S&P)
CAGR 25.88
GSD 28.97
SHARPE 0.99
BETA 1
price > 2
ave dollar volume adv (1,63)>$500,000
[[SI Quarterly Surprise-Est; lag=1 days]/[SI Qtrly Surprise-Prior Qtr-Est; lag=1 days]] > 1.2 ratio(qseps.s,sq2eps.s) > 1.2
[SI Qtrly Surprise-Prior Qtr-Est; lag=1 days] > 1 sq2eps.s>1
top 30 by price change last 200 days tr(1,200) top 30
5 day simple moving average>1,1 x 200 day sma ratio(aprc(1),sma(1,200))>1.1
5 day return bottom 5 tr(1,5) bottom 5
It performs even better with price>5 and adv>1,000,000 if you want even more liquid stocks
https://gtr1.net/2013/?aprc%281%29gt5:adv%281,63%2... cagr 26.6
v.
https://gtr1.net/2013/?aprc%281%29gt2:adv%281,63%2...cagr 25.8
