Combining Piotroski F-Score with Monthly Equity Reversal

Summary

This algorithmic strategy combines a nine-signal Piotroski-style fundamental score with short-term return reversal. It ranks stocks using the most recently available quarterly statements, classifies firms as strong, middle, or weak on fundamentals, and pairs past-month losers with strong fundamentals on the long side against past-month winners with weak fundamentals on the short side. The portfolio is equally weighted and rebalanced monthly, with the implementation selecting a liquid subset of US-listed stocks and requiring prices above a stated threshold.

The code calculates financial signals such as profitability, operating cash flow, leverage, liquidity, share issuance, margins, and asset turnover, then combines them with recent price performance. It is an implementation example rather than performance evidence: no backtest results or robustness analysis are supplied. Data timing and accounting-field definitions matter, and the code’s universe and leverage choices are implementation-specific, so they should be checked before interpreting results or applying the approach elsewhere.

Key ideas

• The strategy buys recent losers with strong fundamental scores and shorts recent winners with weak scores.
• The fundamental score aggregates nine signals from financial statements.
• It uses the latest available quarterly fundamentals and rebalances the portfolio monthly.
• The example narrows the stock universe by liquidity and uses equal weights for long and short holdings.
• The document provides code but no reported performance results or validation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.