Value strategies do great over the long term. The downside is that they are still susceptible to bear markets so value strategies must be combined with asset allocation strategies, which require weekly/monthly/quaterly/whateverly rebalancing. It's a pain in the butt to trade frequently what are sometimes illiquid stocks.
So I looked for strategies that have:
1. SP500 correlation
2. Some outperformance, but not looking for 20% CAGR
3. Must involve a small number of liquid stocks
Small dogs of the Dow fits these criteria. For the uninitiated, Dogs of the Dow attempts to beat the Dow by a yearly rebalance of the top 10 dividend yielding companies of the Dow Industrial. Since the strategy has been tracked, it hasn't outperformed the Dow by very much. A ridiculous derivative of this strategy is the Small Dogs of the Dow. You take the dogs of the dow, but you pick the 5 with the lowest price. Not the 5 companies with the lowest valuations ratio. Just price.
Price shouldn't affect performance of stocks because they are arbitrary, but it seems to improve dogs of the dow strategy.
So I thought: Maybe this effect could be extrapolated into the general market.
In this algorithm, every 6 months, the top 5 percentiles market cap percentile will be sorted by price. This is about 500 stocks. From this, lowest N=20 are chosen. They are held for 6 months then rebalanced. That's it.