So I finally got around to recoding this in Python and I'm partially done. I've got a job running that is going to go about 200 cpu hours to find the optimal lag parameters for how many days to wait after the last new 52 week low and the last new 52 week high. (They will be different, this is pretty obvious lookig at the intermediate results so far. There may also be different optimals for different types of companies. I'm running it against the S&P 500 for the moment and will try it against some small caps later. [more]
It's been a little more than five years since I started this profile. I think the basic idea is very strong: Buy companies when they are making a string of new 52 week lows and then sell as they make a string of new 52 week highs. [more]
After a long period with few stocks on it, the list I use had 162 on it today. One change I'm going to make for this cycle is to wait a bit longer after a company hits that before I add it to this portfolio. Experience with the last two cycles is that a company will often continue to make new 52 week lows for a while once it starts.
So this portfolio has been pretty dormant, as there haven't been many 52 week lows for a couple of years now. But a bunch just popped up. I'm going to change the selection criteria for this portfolio a bit and I will publish them here when I get them worked out.
Not many things hitting 52 week lows since March '09. I'm expecting business here to pick up the next time we have a big correction. I'm not predicting, but one will happen sooner or later.