Mechanical Investing Fundamental screen into p123 rule translation

Research
1

Below is the screen description for the Motley Fool MI Fundamental Screen.
I am a new p123 user and keep getting error trying to translate this screen to p123 rule.
Will appreciate your help

Henry
++++++++++++++++++

Sort Descending [Total Return 13-Week]
Top :75% PlusTies
Deblank [Stock Price]
Create [Formula1] :[Stock Price]/[Book Value per share]
Sort Ascending [Formula1]
Top :66.7% PlusTies
Sort Ascending [Current P/E Ratio]
Top :33.3% PlusTies
Deblank [Total Return 1-Year]
Create [Formula2] :[Total Return 1-Year]/[Current P/E Ratio]
Sort Descending [Formula2]
Top :50% PlusTies
Deblank [Cash Flow] [Common Shares Outstanding]
Create [Formula3] :[Cash Flow]/([Common Shares Outstanding]*[Stock Price])
Sort Descending [Formula3]
Top :50% PlusTies
Deblank [% Institutional Holdings]
Sort Ascending [% Institutional Holdings]
Top :50% PlusTies
Deblank [Total Return 26-Week]
Sort Descending [Total Return 26-Week]
; Top :10
End

2

Here is an approximation of what you want. You will have to add Price and volume filters, otherwise you will end up with some pretty wild results. I can’t do anything about ties.

https://www.portfolio123.com/app/screen/summary/95752

BTW - you will not be able to turn this into a port. It has to stay as a screen.

Steve

3

This is a pretty reasonable translation:

FRank(“Pr2BookQ”,#all,#asc)>66.7
Frank(“PEExclXorTTM”,#all,#asc)>33.3
FRank(“TotalReturn/PEExclXorTTM”)>50
Frank(“Pr2CashFlTTM”,#all,#asc)>50
Frank(“Inst%Own”,#all,#asc)>50
FOrder(“TotalReturn26W”,#all,#desc,#previous)<=10

Actually, you could eliminate the last rule and instead go to Main Settings, choose Quick Rank, use TotalReturn26W (with the higher is better dropdown choice) and set Max n. stocks to 10

Don’t expect to see the same stocks as those produced by Motley Fool; I have no idea what database they license.

Note, too, that there are no liquidity filters, so you are exposed to some potentially very-hard-to-trade stocks and backtest results look more erratic than what many on p123 would consider reasonable (the situation is a bit less troublesome if you set the universe to Prussell 3000).

4

I’m not really familiar with the Motley Fool programming language. If all of the rules are processed in parallel then Marc’s is the right way to go. If the rules are to be processed sequentially with a reduction in the universe corresponding to each rule, then my screen should suffice.

Steve

5

I also don’t know the Motely Fool programming language, among other questions (i.e. the database they use, the universe against which they scree – if they’re screening against, say, the SP 1500, you could live without liquidity rules). Regardless of differences, though, it seems that the strategy boils down to relative value among under-owned (by institutions) stocks, which is basically, a sound idea.

The one thing that seems to make the MF model distinct is the third rule of the version I presented, what I might label an “unfinished momentum” indicator (the essence of which says: The stock’s been hot over the past six months but it still looks cheap). So I’d encourage you to nail down the basic value and ownership rules however you wish, copying or varying the details of the MF screen and then spending more time studying you unfinished momentum, difference-maker.

Steve and I both used PEs computed with TTM EPS. But is this the best way to implement the idea? Experiment with forward PEs based on analyst estimates or even other valuation metrics. Note, too, that p123 is powerful enough to open the door to more varied ways to develop that idea. Perhaps you could limit the screen to basic under-owned value and move the other ideas to a ranking system, where you’d have much more flexibility in translating the unfinished momentum idea into computer-speak.