Piotroski Score Bulls

Beskrivelse

This screen implements the Piotroski Score bullish strategy as defined in the original paper. The strategy is not "buy the top performing scores." The strategy is start with top quintile of stocks as sorted by Book to Market (which gets deep value stocks), then filter out all companies with a score < 8. Unfortuantely, a cutoff at 8 does not present a lot of companies, so we cut off at 7.

Regler

/*
* Implement the Piotroski Score strategy as defined in the actual paper.
* Select the highest quality stocks (Via Piotroski Score) from the top quntile of high B/M stocks.
*/
country = US;
rankPercentile(BookToMarket) >= 80;
PiotroskiScore >= 7;

Ydeevne