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Using #Fundamentals to identify uptrending volatile small caps

The premise is that where there is risk there will be return. This long-only algo looks to buy at most 2 small cap (market_cap < $2B) stocks per day that have both positive free_cash_flow and basic_eps. Selections must also be trading in the $9 to $20 range, are trending up in the past 30 days and have the highest 30-day volatility. Exit logic is via trailing stop orders or profit taker limit orders. Uses statsmodel.api linear regression to identify trend with set_commission model set to approximate IB retail rates. Positive cash balance always maintained.

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3 responses

Shouldn't the benchmark be a small cap index?

Benchmarked against IWM.

Kinda disturbing that the squiggly lines are completely different...? EDIT: just noticed the original backtest was from 2014. I guess a lot has changed since then.