Strategy screener
The S&P 500 ranked by ten strategies after the open-source daily_stock_analysis: hard filters first, then value, momentum, stability, activity and the rest as percentiles among the stocks that pass, less a penalty for risks. Rebuilt from every member's prices after each close.
Loading the screener…
Every stock is scored only against the others that pass the same filters, so a score says how a stock ranks inside this strategy today, not how good it is. The technical score is the check-up on each stock's page. Valuation is Yahoo's; prices are the last completed session. Strategies after daily_stock_analysis (ZhuLinsen, MIT; its screener from AlphaSift, Apache-2.0), with thresholds re-tuned for US large caps. Not advice.
Hold the ETFs with the strongest momentum while it is positive, and step aside into Treasury bills when it is not: the rules of daily_stock_analysis's dual-momentum rotation, applied to US funds and backtested from 2006, with what the same rule would hold on today's close.
Loading the rotation…
On the last session of each month (or week) the pool is ranked by its return over the lookback; only a positive return qualifies, each slot is an equal share, and an empty slot goes to BIL (one- to three-month T-bills), or cash before BIL listed. A fund already held stays while it qualifies and is within 2 points of the weakest pick. Orders fill at the next session's close, trades cost 10 bp of turnover, and weights are not re-equalised between trades. The benchmark is the pool equal-weighted and rebalanced daily. Rules after daily_stock_analysis (ZhuLinsen, MIT). A backtest is what a rule would have done, not what it will do; trend rules lag sharp turns and whipsaw in ranges. Not advice.
The latest structured Beta Picks report: published picks, official-update status and the discussions drawing the most attention.
Subscribe to view Beta Picks
Unlock the complete pick history, dates, purchase prices and performance comparisons.
Sign in to subscribe