Modified Sharpe index screener
September 13, 2017, 11:15 AM
Screeners
15 Comments
This screener uses a modified Sharpe index to identify stocks with a strong momentum. The rules are as follows:
1. screen the markets and select the strongest 20-30 stocks (the first stocks on the screener are the strongest)
2. buy those stocks position-sizing them based on the Yhang-Zhan variation of Garman-Klass volatility (indicator I posted previously) :
3. after 3 months run the same procedure and get rid of the stocks that are out of the first tier of the list and get the new entries
OR
3. hold the stocks for 1 year and then sell.
I’ve been using this portfolio for 6 years now and the average gain of the folio was excellent for me. You can improve the profit by buying at the SMA60 point.
Blue skies!!
//computation of return and volatility on annual bases
periodo=254
RitMensNoRiskTitle=0
a=log(close/close[1])
b=summation[periodo](a)
s=sqrt(254)*std[periodo](a)
//computation of modified Sharpe index
sharpe=(b-RitMensNoRiskTitle/100)/(s*s)
//launch of screener
c1 = (sharpe > 0)
SCREENER[c1] (sharpe AS "SHARPE index")
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Filename:
Mio-sharpe-PRT.itf
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sharpe-15052918214cpl8.png
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