Stock Screener Factor Model

I finished my factor model, at least I coded up all the metrics. Revisions and additions will likely follow, but atm I have about 15 indicators that all have equal weight, and the highest ranking stocks are listed at the top.

A summary of what I have (I gleaned the requirements from here and but I also included a few extra bells and whistles (like average mean buy/sell recommendation from analysts, a trending indicator based on a quarterly rolling correlation with date, and preferred cycles chosen based on business cycle)

* Positive three-year average retained earnings

* Sum of TTM cash flow from operations and cash flow from investments greater than 10% of revenue

* At least eight of last twelve quarters’ EPS greater than same quarter previous year

* Cash flow from operations greater than net income each of last three fiscal years

* TTM EBITDA greater than one-third of total debt

* Current ratio greater than one

* TTM equity purchased greater than equity issued

* TTM gross margin greater than subsector median

* Average five-year asset turnover greater than subsector median

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