Small and Micro Cap Focus Ranking System

General
1

Small and Micro Cap Focus Ranking System is the best ranking system in the world, Period!

Unbelievable what you can do with this thing (stand alone and combination with more industry momentum, higher weight on earnings estimates, etc.)

Thank you, Thank you, Thank you!!!

Best Regards

Andreas

3 Likes
2

Hi Andreas,
I was never able to get any decent results from the sytem.
And it has deteriorated in the last few years.
At least as a stand alone.
My individual attempts and changes did not end up in better results either.
Werner

3

Werner, I mean the ranking system, not the system itself. Took it and designed some very good stuff with it.

Best Regards
Andreas

1 Like
4

Andreas,
ah, the ranking system. Yes it is a good one. But only with modifications.
Werner

5

Andreas,
Can you give me a few more hints on how to improve the Ranking. Which factors or areas have you changed?
Cheers
Gary

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For bigger cap models I ditch everything that favours small caps (Volume, size, etc.)
On the small cap models it is the buy and sell rules (which are prop.)

Big Cap Model:

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The big cap model needs to be timned, buy in Quad 1-2, Sell in Quad 3 to 4

https://maxquantstrike.substack.com/ → sign up, most content is free…

1 Like
7

Thanks for these pointers your buy/sell rules with Small Cap Focus ranking do constitute pretty good systems – also thanks for the hints to complete the rules :wink:

Do you still favor this ranking system over the IBD SmartSelect clean derived ranking system or vice versa?

8

no, I mix them,e.g. I have strats with different ranking system in one book.

And i mix Yuals ranking system with other ranking systems…

For example Yuals ranking system (with my buy and sell rules) is a super bottom runner (e.g. it is extremly strong after big drawdowns), I want that in my book, because other strats (which load more quality) are a bit weaker (they still go up hard)

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Strategy books are the way to go:

If you have a new Quad 1-2, I found no way to know before which ranking system does best, so best to mix them.

Also you can add strategies to books with “Seldom” edges with only 5 -10 Stocks (e.g. they do not load stocks all the time, because they can not find any…), for example actuals (which are new).

FRank(“ActualGr%PQ(#EPS)”,#all,#DESC, #ExclNA) > 80 or FRank(“EPSExclXorGr%PQ”,#all,#DESC, #ExclNA) > 80

My general assumption: The data from p123 got much better in the last 10 Years, they the earnings estimates got better, now the actuals, also my best guess is that there are less N/As in the data (so broader ranking systems like Yuals are stronger)…

Keep on testing, I find edges every month.

If I hold on to my design rules My system design rules for Portfolio123.com 9 out of 10 Systems reflect the backtest in OOS, so I take the risk also to use systems with not too much OOS.