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O'Shaughnessy Trending Value Screen
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O'Shaughnessy Trending Value Screen 2 months, 3 weeks ago #2555

  • AndyMKC
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I like the screener; and the quality and range of data is impressive.

I am trying to understand if/how it would be possible to build the O'Shaughnessy Trending Value (VC2) Screen (as depicted in What Works On Wall Street, 4ed, by James P. O'Shaughnessy).
This ranks stocks by a combination of 6 month price momentum and 6 other ratios such as Price to Book, EBITDA/EV.
And then selects the top N stocks.

A full description is here : www.valuesignals.com/Screens/Details/OSh...nessy_Trending_Value

Is this possible ?
Andrew

Re: O'Shaughnessy Trending Value Screen 2 months, 3 weeks ago #2556

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We don't support percentile ranking within Screener.co, because each user can configure their own universe of international markets. The ranking would need to change with the universe.

However, we have had users export data to Excel and manually compute proxies for Magic Formula or O'Shaughnessy screens by combining the results of multiple ranked screens within Screener.co. By clicking on a result column header, you can sort in either ascending or descending order by any custom metric. You would need to set up screens to rank by each factor and then export the top N results of each screen. You would then merge the results manually in Excel.

6-month price change would be "Price-26 week price percent change". You should be able to build simple formulas to compute the other metrics, and then click on the column header to sort.
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Re: O'Shaughnessy Trending Value Screen 2 months, 3 weeks ago #2559

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Thanks for the response Lenny.
That is the answer I was dreading as it will not scale.

The O’Shaughnessy screen requires 6 metrics to be percentile ranked and then aggregated into a final composite. It is possible that some “winning” stocks have a poor ranking in one metric but excellent in the remaining five. Therefore we need to have the full set for each metric in order to do perform the aggregation.

So on a large universe of a few thousand stocks (eg US Mid & Large Caps) exporting to excel would be a “mission impossible”, given the 50 row export restriction, IMHO.

Q : would your back end DBMS not support a percent_rank() operation on a user defined universe? Like this : www.mysqltutorial.org/mysql-window-funct...rcent_rank-function/
Andrew

Re: O'Shaughnessy Trending Value Screen 2 months, 3 weeks ago #2560

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The window functions (like rank and percent_rank) are only available in newer versions of MySQL and MariaDB than what we currently have installed. We may upgrade soon, but it is not currently supported.
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