Screening the Market

F412B510-1838-4B2C-8B0F-FFEBB63B7FF4Many use Portfolio123 to design, test and implement fully-automated investing strategies with the intent to execute all buy and sell signals generated by the strategy. But screens are valuable in other ways,  more traditional ways. In this context screens are used as idea generators.

Idea generating screens are those addressed by Portfolio123 Research Director Marc Gerstein in his book Screening the Market. When screening for this purpose, it is presumed one will not automatically purchase all names appearing on a result list but will instead use the list as a springboard for further study of individual stocks.

Here is an archive of articles that presented and explained Idea-Generation screens on this site. (In each case, the current list of passing stocks is presented, as well as archives of past lists.)


Details of ranking systems used in these screens can be found here.

Also worth reviewing is the Portfolio123 Strategy Design Cheat Sheet, which a brief and simple summary of the theoretical underpinnings upon which the screens are based (For a more comprehensive presentation, see the presented in the P123 Spotlight Strategy Design Course.)


  • EPS Surprise and Then Some, a screen that starts with idea that positive earnings surprises precede good things for shares of the companies that report them (as often observed anecdotally) but which recognizes that this alone is not enough to support a full-blown strategy. It’s supplemented by consideration of Value, Quality, and more comprehensive consideration of Wall Street Sentiment.
  • Understanding Micro-Nano Cap Stocks and Finding Potentially Good Ones, a screen that has its genesis in the academically established Size Factor (more popularly known as the “small cap effect”) enhanced by the general love on the part of many, especially individuals, for small, micro, or nano. There is something to this, beyond what the bean counters have observed. but to make the idea investable, we have to, and do, look at other things that separate worthwhile small stocks from probable dregs.
  • Screening to Shield REIT Yield Hogs from the Butcher’s Knifea screen that seeks high yielding Real Estate Investment Trusts and manages risk by focusing on cash-on-cash return and leverage, criteria that are important to actual real-estate operators and investors.
  • Low P/E Isn’t Working But Value Investing Is Fine (Yes, Really), a screen that finds large-cap value stocks at times when low ratios such as P/E, Price/Sales, etc. are not proving useful. We know that low ratios are worth pursuing, all else being equal. This particular value screen focuses on the “all else” and is designed for times when they may not be “equal.”
  • “Small-cap Value” Is Not Just Value With A Smaller Size Filter, another screen that finds stocks with low P/E etc. ratios that can succeed even when value is popularly assumed to be out of favor. This screen is adapted to the particular characteristics of the small-cap segment of the market. Post discusses the difference between “value investing” and the “value factor,” which many (erroneously) assume are the same.
  • A Built for Stability Stock Model that uses Beta, the much revered Nobel Prize winning statistical measure of risk but takes extra measures to avoid falling into the trap of giving statistical indicators more reverence than they warrant. Beta tells us how stocks actually performed in the past relative to the market.This model goes further than works with fundamental factors that cause a stock’s level of volatility to be what it is. That makes it more probable that the stock’s future Beta come out along the lines of what we expect based on the past.
  • Screening For Stocks That Undergo Confirmed Personality Changes, a set of screening ideas built on the Chaikin Analytics platform that searches for stocks that have experienced a “personality” change, from bearish to bullish, or from bullish to bearish and for which the stock’s rating under Chaikin’s proprietary Power Gauge ranking system suggests a high probability that the stock will, going forward, perform in accordance with its newly adopted personality.