Ideas :
Buy stock that are undervalued and hold them until they don't meet our criteria.
I use Price to book ratio as indicator of undervalued stock.
Buy Rules :
Daily volume > 100 000 $
MktCap > 400M
Price to Book <>=1
If for any reason the price to book of a stock become not available, we sell the stock.
Period of back-testing :
From 6 January 2003 to 5 December 05, about 3 years.
Results :
Starting cash 100 000$
Ending cash 222 999$
Annual Return : 31,33%
While S&P500 annual return is 10,93%
Buy stock that are undervalued and hold them until they don't meet our criteria.
I use Price to book ratio as indicator of undervalued stock.
Buy Rules :
Daily volume > 100 000 $
MktCap > 400M
Price to Book <>=1
If for any reason the price to book of a stock become not available, we sell the stock.
Period of back-testing :
From 6 January 2003 to 5 December 05, about 3 years.
Results :
Starting cash 100 000$
Ending cash 222 999$
Annual Return : 31,33%
While S&P500 annual return is 10,93%
Portfolio Performance
The line represent the portfolio equity, his axis is on the right while the bar represent the number of stock held over the testing period. Its axis is on the left.
The line chart looks good, it performed better than the S&P500 in bull market and make pretty the same performance in bear market.
Look closely to the chart and tell me if you found something interesting.
I will introduce in next days an indicator that i use for general market sentiment.
