How to identify smooth winners

Hello everybody,

I am trying to use an indicator which identifies stocks that out perform the market in up trends and hold well in down trend.

I thought about using a positive and negative beta. but not that useful

I tried with a sharpe ratio, but not that great

I know navellier is using a quantitative grade, may be it could be the solution


happy to know your ideas

regards

fortuna

 

nop

 

how about simple math..something like % change relative to market\industry\sector for same period of time? but... to save you some time-whatever you find-it will work fine...for about 50% of the time..there is no smooth winners. imo-you have to dig much deeper to find them. i'm certain,that there is should be more than 1 variable in any WINNING system.

 

Try the Sortino ratio. It makes more sense than Sharpe. Good luck.

 

Sell top decile positive 12-month momentum stocks in bottom decile positive 12-month momenum industries. Buy bottom decile positive 12-month momentum stocks in top decile positive 12-month momenum industries. Maintain risk-parity (scale inversely to average long and short basket vols).

Average monthly alpha ~ 1.5%, better than 95% of established hedge funds.

 

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Mr fortuna;
since you may find the former[out performers during uptrends] much more common];than ''hold well in downtrend.''

I would dig deeper also.Even when[or if] you find a group of stocks , like DIA,many years may pass, to smooth out a profit, holding in downtrends .One reason is bear markets[downtrends] tend to be anything but smooth.

 

thanks for response

There is an article from modigliani in which he invents the M2 risk a adjusted performance measure.