SJ Member  Posts: 49 Joined: 9/28/2012 Location: Olathe, KS  User Profile | Wow, quite the formula. I won't even pretend to understand what it measures. I was interested in ROE as Larry Connors used it in his "Quality companies in an uptrend" trend rotation strategy. He has moved to Quantopian as a backtesting platform. One of the benefits is survivorship free professional grade data, fundamentals and sentiment data. I would be content to backtest on this platform if needed, but OT is still the solution for automated daily trading. His strategy takes the top 50 equities based on ROE and then ranks the the top 20 based on momentum. I was trying to reproduce that scan. It requires a two tiered scan list. The first list was the ROE sort. Then that list is used as the starting population for a second list using momentum as the sort criteria. So similar to the new Zack's Rank, focusing on fundamentals can help prequalify a list before applying technicals that look for either reversion, reversal or trend. As I stated earlier, perhaps we need to demonstrate value of certain fundamentals to encourage a fix to the current limitation. Admittedly a bit of chicken and egg. | |
