a contest

[Tomyani]

Okay,

Last list. System creates a list of 500 stocks (using quantitative rules only) to filter out ‘bad companies’. The system them ranks the remaining stocks using quant analysis (mostly value and quality factors from bottom up analysis).

All of these below stats are based on running advanced screener every month, holding for 12 months over the 1999 to 1/2017 period.

This system beat the benchmark 71% of the time and returned a positive amount 81% of the time. Largest 12 month loss was 42% over backtest period.

Here are the summary stats for this system running rolling backtest every month with 1 year hold.
Average 20 18.19% 9.97% 8.21% -41.33% 102.05% 35.28%
Up Markets 165 20 26.50% 18.42% 8.09% -33.13% 113.79% 36.63%
Down Markets 57 20 -5.90% -14.47% 8.58% -65.06% 68.06% 31.36%

Liquidity:
AvgDAilyTot(100)>2000000 and close(0)>2 and MktCap>100
&
Forder(“MktCap”)<2000

So, all stocks should be in the top 2000 of stocks from all fundamental universe in terms of market cap.

Given the nature of this ‘1 year hold’ much of the outcome is due to chance. Having said that -

The list:

1
AHL[5D][1Y]
Aspen Insurance Holdings Ltd 55.00 99.89 FINANCIAL INSURANCE 3,311.60 0.54 55.80 40.34 6.59 4.41 18.69 15.10 21.87 14.67 16.25 5.02 0.24 5.73
2
KEP[5D][1Y]
Korea Electric Power Corp 18.48 99.77 UTIL UTILELECTRIC 23,726.99 0.26 28.37 18.40 -2.27 -4.45 -24.08 -27.67 -28.34 -35.54 -11.66 -22.90 0.69 14.51
3
JBLU[5D][1Y]
JetBlue Airways Corp 22.42 99.66 INDUSTRIAL AIRLINE 7,258.09 0.89 23.67 14.76 9.90 7.72 26.95 23.36 36.21 29.01 2.47 -8.77 4.61 126.62
4
DLX[5D][1Y]
Deluxe Corp 71.61 99.23 INDUSTRIAL SERVICESUPP 3,479.24 1.52 73.42 49.46 4.71 2.53 7.36 3.77 9.34 2.15 35.42 24.18 0.21 6.13
5
RY[5D][1Y]
Royal Bank of Canada 67.71 99.02 FINANCIAL BANKCOMM 100,497.55 1.12 69.70 44.37 3.44 1.26 9.65 6.06 14.57 7.37 29.22 17.98 0.65 18.03
6
ALK[5D][1Y]
Alaska Air Group Inc. 88.73 98.81 INDUSTRIAL AIRLINE 10,937.39 1.00 91.89 54.51 7.08 4.90 32.26 28.66 51.34 44.14 13.18 1.94 1.03 24.66
7
FII[5D][1Y]
Federated Investors Inc. 28.28 98.63 FINANCIAL CAPMARKET 2,892.79 1.75 33.13 22.76 1.47 -0.71 -3.48 -7.07 0.68 -6.52 0.00 -11.24 0.80 25.40
8
RE[5D][1Y]
Everest Re Group Ltd 216.40 98.39 FINANCIAL INSURANCE 8,847.95 0.56 219.51 167.07 2.75 0.57 15.01 11.42 20.45 13.25 19.51 8.27 0.29 6.62
9
JNPR[5D][1Y]
Juniper Networks Inc 28.26 97.47 TECH COMMEQUIP 10,741.63 1.40 29.21 21.17 4.74 2.56 17.41 13.82 28.05 20.85 3.10 -8.14 2.07 94.36
10
ESNT[5D][1Y]
Essent Group Ltd 32.37 97.31 FINANCIAL BANKSNL 3,013.71 1.45 33.94 16.49 3.42 1.24 21.33 17.73 52.69 45.49 50.98 39.74 0.52 13.96
11
LRCX[5D][1Y]
Lam Research Corp 105.73 97.26 TECH SEMIANDEQUIP 17,097.18 1.47 110.35 63.10 7.25 5.07 11.78 8.19 29.11 21.92 36.02 24.78 1.34 53.76
12
CTSH[5D][1Y]
Cognizant Technology Solutions Corp 56.03 97.22 TECH TECHSVCE 33,987.80 1.13 63.43 45.44 3.61 1.43 11.17 7.58 -0.66 -7.85 -3.61 -14.85 3.29 135.61
13
CFR[5D][1Y]
Cullen/Frost Bankers Inc 88.23 96.97 FINANCIAL BANKCOMM 5,548.87 1.32 88.98 42.41 5.61 3.43 23.09 19.50 45.62 38.42 52.44 41.20 0.47 11.08
14
MD[5D][1Y]
Mednax Inc 66.66 96.56 HEALTHCARE HCAREPROVID 6,237.51 0.62 76.96 59.36 1.79 -0.39 1.17 -2.42 -8.26 -15.45 -6.18 -17.42 0.72 14.00
15
VR[5D][1Y]
Validus Holdings Ltd 55.01 96.52 FINANCIAL INSURANCE 4,370.16 0.58 56.41 41.73 0.47 -1.70 10.64 7.05 14.44 7.24 20.64 9.40 0.54 10.71
16
TCB[5D][1Y]
TCF Financial Corp 19.59 96.39 FINANCIAL BANKCOMM 3,348.93 1.14 19.97 10.37 8.83 6.65 36.90 33.31 64.35 57.15 41.34 30.10 1.10 29.09
17
AFL[5D][1Y]
AFLAC Inc 69.60 96.14 FINANCIAL INSURANCE 28,398.26 1.21 74.50 54.57 -1.25 -3.43 -2.75 -6.34 -2.66 -9.85 17.61 6.37 1.53 41.59
18
SYF[5D][1Y]
Synchrony Financial 36.27 96.09 FINANCIAL CONSUMERFIN 29,939.58 1.19 37.31 23.25 3.42 1.24 31.51 27.92 44.39 37.19 21.14 9.90 4.19 155.89
19
JAZZ[5D][1Y]
Jazz Pharmaceuticals Plc 109.03 95.73 HEALTHCARE PHARMA 6,530.02 1.43 160.00 95.80 7.14 4.96 -10.57 -14.16 -21.55 -28.75 -20.57 -31.80 0.59 12.92
20
ICLR[5D][1Y]
Icon PLC 75.20 95.67 HEALTHCARE MEDEQUIP 4,198.27 0.75 85.74 62.31 1.16 -1.02

It’s not a bad list for starting fundamental analysis on - if that’s how you invest (I don’t).

Best,
Tom

[judgetrade]

I just take the recent Top 20 out of the system I trade

Ticker	Weight	Return	Return $	Rank	Shares	Avg Shr Cost	Current Price	Value	Days Held	Sector

77 PZN 1.27% 11.99% 670.78 99.9 560 $9.99 $11.19 $6,266.40 30 Financials
63 NTIP 1.46% 61.27% 2,729.48 99.8 2,177.00 $2.05 $3.30 $7,184.10 337 Information Technology
47 KINS 1.89% 46.15% 2,938.03 99.7 697 $9.13 $13.35 $9,304.95 128 Financials
78 RILY 1.44% 10.94% 698.67 99.7 383 $16.68 $18.50 $7,085.50 44 Financials
45 ITIC 1.51% 14.39% 934.31 99.6 50 $129.81 $148.50 $7,425.00 37 Financials
29 DIT 1.62% 26.28% 1,663.70 99.2 69 $91.76 $115.88 $7,995.48 163 Consumer Discretionary
51 MDLY 1.23% 5.16% 298.04 99.2 614 $9.41 $9.90 $6,078.60 30 Financials
40 HCAP 1.24% 3.91% 229.92 99 434 $13.56 $14.09 $6,115.06 23 Financials
55 MOCO 1.24% 11.86% 649.62 98.9 315 $17.39 $19.45 $6,126.75 30 Information Technology
87 STRL 1.63% 26.08% 1,661.39 98.4 955 $6.67 $8.41 $8,031.55 120 Industrials
19 CLBH 1.46% -0.09% -6.4 98.2 281 $25.58 $25.56 $7,182.36 1 Financials
74 PLPC 1.16% -0.72% -41.39 97.8 99 $58.27 $57.85 $5,727.15 23 Industrials
80 SAMG 1.47% -0.96% -70.26 97.8 553 $13.23 $13.10 $7,244.30 1 Financials
44 INTT 1.29% 7.42% 438.07 97.6 1,350.00 $4.38 $4.70 $6,345.00 23 Information Technology
96 WILC 1.43% 9.57% 615.7 97.5 1,119.00 $5.75 $6.30 $7,049.70 120 Consumer Staples
4 APT 1.32% 1.23% 79.54 97.3 2,070.00 $3.11 $3.15 $6,520.50 128 Industrials
21 CSPI 1.47% 9.33% 618.64 97.2 705 $9.40 $10.28 $7,247.40 120 Information Technology
30 DLHC 1.44% 59.73% 2,658.89 97.2 1,193.00 $3.73 $5.96 $7,110.28 337 Industrials
65 OCC 1.54% -2.22% -172.87 97.2 2,413.00 $3.22 $3.15 $7,600.95 1 Information Technology
8 AWRE 1.43% 6.29% 418.67 97.1 1,132.00 $5.88 $6.25 $7,075.00 37 Information Technology

Thank you for the contest.
Regards

Andreas

[mgerstein]

I suggest that you guys each set up a port with your choices. You can do this with an inlist called up as the buy rule with rebalance of one year. This way you can track and compare with others instead of listing the picks in a post.

Steve

Good idea. I didn’t see this until this morning (1/5), but I went back in and manually edited the Buy transactions to reflect the 1/3/17 open (and the appropriate number of shares to have been purchased).

My port is public: “Contest - Marc”

https://www.portfolio123.com/port_summary.jsp?portid=1468656

[sevensisters]

Marc you are already ahead of me! Here is mine:

https://www.portfolio123.com/port_summary.jsp?portid=1468779

[yuvaltaylor]

I was without Internet from Christmas until now (I was in Cuba) so I didn’t set up a live port. Should I do so now and if so how do I “manually edit the buy transactions to reflect the 1/3/17 open”?

[InspectorSector]

Yuval - You should start a port today with no stocks in it. Then go to transactions and select manual buy/sell. Enter the prices from Tuesday morning. You can get the prices from Yahoo or wherever. Or just start the port today.It isn’t the end of the world if you miss a few days.

Steve

[sevensisters]

Yuval, I did it an even easier way:

• Create a sim with start date 02-Jan-2017 and ‘next open’ price
• buy rule is your ticker list
• run the sim and then convert it to a live portfolio

[yuvaltaylor]

Thanks. Here’s my port: https://www.portfolio123.com/port_summary.jsp?portid=1468948.

[yuvaltaylor]

Here are the results of the contest so far:

Eddy Elfenbein (25 picks): 6.14%
Yuval Taylor: 12.19%
PortfolioPerfection: 6.76%
SevenSisters: 7.72%
Burd4: 11.55%
Kumar: 10.12%
Marc Gerstein: -9.76%
mmasand: 0.70%
brianj999: 6.01%
tomanyi (list 1): 7.54%
azinvesting: -5.89%
tomanyi (list 2) included three tickers that don’t exist, so I didn’t run it
sglinski: 2.22%
tomanyi (list 3): 3.53%
judgetrade: 0.86%

Winner so far: me; 2nd place: Burd4; 3rd place: kumar. Loser so far: Marc.

[kumar]

Yuvaltor,

Please, provide the links to the listing if it is tracked in p123.
Interested in avg daily volume of each stocks in the list.

Thanks
Kumar

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[yuvaltaylor]

I made a mistake: judgetrade’s return should be 1.28%, not 0.86%.

Kumar: I just created custom lists and plugged them into my buy and hold simulation: https://www.portfolio123.com/port_summary.jsp?portid=1482285. I can’t share custom lists, but I’ve cut and pasted them below.

mine: BBRG CBK CEL CLS CRD.B EXFO HALL HBIO INTT MPMQ NDLS NEFF NWY PCOM PRTS ROIAK SHLO SNFCA STRL WSTG

portfolioperfection: BG CL CVS DPS EPC KMB LANC MDLZ NHTC NSRGY PEP PPC RMCF SJM SYY TATYY TSN WFM WMMVY WMT

sevensisters: BEAT BSTC CETX CRAI CRHM ENVA HCKT HMTV ICFI IPAR KINS LMAT MYRG NTIP OEC PMD QCRH SP SPLS WLDN

burd4: AMRB CAAS CRAI EXFO FRBA FSAM GPRK HCAP HDSN HIIQ KEM KINS KVHI LINC MCFT MRLN PPSI SRT WHF WLDN

kumar: AAPL ALL AMZN AVGO BAC BGB C CRM FB GOOGL HD NFLX NKE NXPI ORLY RDN SBUX TSLA V Y

marc gerstein: ACFC ASRV BDRBF BYBK CPSS DYAI FBP FCEL FNMA GURE IDSA IPI JASN LC MARA OCN OESX RBPAA SNFCA TANH

mmasand: ANW CASH CLMS^17 CVRR FF FSAM KEM KVHI MC MEI MRLN NVMI OCFC PEIX PIR SAFM TLRD TLYS WEB WNC

brianj999: AHL AXAHY CAAS CLS CPSS EBR ENIA FCAU KB KELYA MGA MTOR NOA OGZPY PKX PRU SNP TRN TX VLO

tomanyi 1: BFR BMA BRSS BWXT CINR CPLA DQ FBIZ FLY HSNI KLIC LBY MBT MERC NAP OMAB RUTH SBR TX UEPS

azinvesting: AAL CLD CR CUBI ERA FMBI GBX GPRE ITT LTXB MTRX PNFP RIG SIVB TRN TXT UCBI UMBF WNC WTFC

sglinski: ASBB BRK.B CPS EBMT GE HIFS ISRG JNJ KEQU LH LMT MGLN MLVF NUTR NVR NWLI SAR SJW WBA WBKC

tomanyi 3: AFL AHL ALK CFR CTSH DLX ESNT FII ICLR JAZZ JBLU JNPR KEP LRCX MD RE RY SYF TCB VR

judgetrade: APT AWRE CLBH^17 CSPI DIT DLHC HCAP INTT ITIC KINS MDLY MOCO NTIP OCC PLPC PZN RILY SAMG STRL WILC

[geov]

Interesting to use all those stocks in an in-list and selecting the 10 highest ranked using Greenblatt ranking system. Beats all individual ports with a 14.4% return over the last 3 months. Let’s see how this works over the next 3 months.

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[yuvaltaylor]

This is a buy-and-hold contest. You’re rebalancing weekly. - YT

[judgetrade]

[yuvaltaylor]

Here are the results of the contest after 9 months:

Burd4: 26.04%
Kumar: 19.41%
sglinski: 18.26%
brianj999: 18.19%
mmasand: 14.20%
Yuval Taylor: 12.81%
tomanyi (list 1): 12.21%
judgetrade: 11.78%
Eddy Elfenbein (25 picks): 11.26%
PortfolioPerfection: 9.14%
tomanyi (list 3): 6.23%
SevenSisters: 5.58%
Marc Gerstein: 0.08%
azinvesting: -3.50%

Congratulations are due to Derek (Burd4), who has pretty much dominated this contest from the beginning. I don’t know how he picked his stocks, which were almost all microcaps, but my guess is that he paid attention to the standard sentiment and size indicators, TTM growth in earnings and/or free cash flow, price momentum, free cash flow to enterprise value (or something similar), and maybe the free cash flow to assets ratio.

• Yuval

[PortfolioPerfection]

Would be cool to see a comparison of each list of stocks (market cap, etc).

[kumar]

My stocks picks are largecap growth stocks influenced by work of

Adrich Corporation ... since 1965

RIAs for many decades.
He is running 3 portfolios, the results are in attachment.

Largecap has unlimited potential less volatility.

Thanks
Kumar

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[Burd4]

Hi Yuval,

Ty for the kind words. Simple buy rules
indWeight < 15
MktCap>=20 and MktCap < 350
AvgDailyTot(60) >( 50 * 1000)
#AnalystsNextFY > 0
Close(0) >1
Float > 2

Ranking system mostly value, 25% technical. I have to say excellent job with your guess. The size effect tends to outperform but is hard to trade in real life. I back tested this system and it averaged 30% yr with 1 year rebalance.

Derek

[kumar]

We have learned a lot in 2016 & 2017 on stock picking with help of p123 and community contest.

If we able to pick good liquid stocks manually for 1 year holding, it will build confident on our model design and our investments with money.
I start to stalking/screening for 2018 best 20 stocks competition with minimum avg 1 million volume.

1. believe, we need to spend 2 to 3 weeks hard work to pick the stocks; Christmas holiday and New Year time everyone busy with family and vacation.
   So, I suggests to start screening now itself for the 2018 top 20 picks competition.

2. I also suggest to keep reasonable liquidity as everyone in p123 will get benefit from your hard work and successful ideas for 2018.

3. Also, spend time with our last year picks and analyze winners and losers; there is some lessons with winners to keep, there will be more lessons from loosers; how to avoid for next 12 months.

4. As P123 community, we will learn and grow successfully in positive direction on everyone contribution and hard work.

5. Imagine as we are money manager with 1 million dollar, now work with required steps and how to protect and grow our life time wealth for next year 2018. so, we will think more and more and will come-up with best 20 stocks,

There is no undo command in investments.

======================
P123 Staff, Please, help
BGB and NXPI symbols are missing at P123 from Jan 1 2017, Any help how to fix.
In Finviz tracking it is presents.

Thanks
Kumar

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[yuvaltaylor]

I am very impressed with your results, Kumar.

I very much would like to keep the same rules as for last year. I invest only in low-volume stocks, you invest only in high-volume stocks. There’s room for both of us. So let’s keep the same rules: minimum price $1.00, minimum $50,000 ADT(60), minimum float 2 million. When you’re holding a stock for a whole year, slippage and transaction costs aren’t really problematic.