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The SuperStockScreener.com website has created a ranking system that gives a score of one to five to stocks listed on U.S. exchanges, including the NYSE and NASDAQ.
The ranking system assigns a value of one to stocks that are likely to beat the market with less volatility (Strong buy recommendation). A value of two to stocks that are likely to outperform the market (Buy recommendation). A value of three to stocks with mediocre returns (Hold or sell recommendation). A value of four to stocks that are likely to underperform the market (Sell recommendation) and finally a value of five to stocks with poor performance and high volatility (Strong sell recommendation).
The ranking system is based on several technical and fundamental/financial ratios. Factors are selected based on their strong correlation with future return of stocks. Fundamental figures and ratios include Current Liabilities, Current Assets, Sales, Operating Cash Flow, Gross Margin, Net Income, Return on Equity, Return on Assets...
Backtests performed by SuperStockScreener.com shows that a trading system, which buys stocks with a strong buy recommendation, greatly outperform strategies that buy stocks with a "Buy", "Hold", "Sell" or "Strong Sell" recommendation. The "Strong Buy" trading system also appears to have less volatility than the other strategies, therefore the trading system experiences a higher Sharpe ratio (High returns with low volatility).
The Ranking system's backtests based on different categories of market capitalization, outperform each corresponding market index. However, most of the alpha comes from small-capitalized companies.
The last recommendations from this ranking system are downloaded using this item. The data is saved into an historical database with two fields. The rank field gets the current ranking system's recommendation for a particular stock, and the previous rank field gets the previous ranking system's recommendation (based on the last rebalance).