20 Lowest P/E Securities

This backtest is based on the 20 CSR securities with the lowest P/E ratios (so those that will return the purchase price of the share over the shortest term via dividend payments); those businesses are:
Renewable Energy Group, Inc.
PowerShares WilderHill Clean Energy ETF
Overstock.com Inc.
Ryland Group Inc.
Appliance Recycling Centers of America Inc.
PowerShares Water Resources ETF
Flexible Solutions International Inc.
SPX Corporation
Tata Motors Limited
Honda Motor Co., Ltd.
Benchmark Electronics Inc.
PowerShares Cleantech ETF
New Jersey Resources Corp.
SK Telecom Co. Ltd.
United Stationers Inc.
International Business Machines Corporation
GNC Holdings Inc.
Kellogg Company
Liquidity Services, Inc.
Methode Electronics, Inc.

The P/E's ranged from 2.9 to 13.2.

20 Highest P/E Securities

This backtest is based on the 20 CSR securities with the highest P/E ratios (so those that will return the purchase price of the share over the longest term via dividend payments); those businesses are:
Autodesk, Inc.
Lifeway Foods Inc.
RealPage, Inc.
Acorda Therapeutics, Inc.
Cardtronics Inc.
LSI Industries Inc.
NRG Yield, Inc.
Cardinal Health, Inc.
Orbitz Worldwide, Inc.
Ellie Mae, Inc.
Headwaters Incorporated
K12, Inc.
Pebblebrook Hotel Trust
WGL Holdings Inc.
Adobe Systems Inc.
Starbucks Corporation
Qualys, Inc.
Prologis, Inc.
Impax Laboratories Inc.
Cubist Pharmaceuticals Inc.

The P/E's ranged from 63.1 to 18,741.7 (Yes, really!)

20 Lowest Beta Ratings

This backtest is based on the 20 CSR securities with the lowest Beta (so those that are the least volatile securities when compared to the market as a whole); those businesses are:
ITC Holdings Corp.
General Mills, Inc.
Consolidated Edison, Inc.
Ultralife Corp.
Hydrogenics Corporation
Kimberly-Clark Corporation
Lifeway Foods Inc.
American DG Energy, Inc.
American Water Works Company, Inc.
NextEra Energy, Inc.
United Natural Foods, Inc.
Abbott Laboratories
MiMedx Group, Inc.
The Hain Celestial Group, Inc.
The Fresh Market, Inc.
Polypore International Inc.
Tesla Motors, Inc.
Kellogg Company
Echelon Corporation
Aqua America Inc.

The beta ratings ranged from 0.11 to 0.43

20 Highest Beta Ratings

This backtest is based on the 20 CSR securities with the highest Beta (so those that are the most volatile securities when compared to the market as a whole); those businesses are:
AEGON N.V.
Masco Corporation
Guggenheim Solar ETF
CNH Industrial N.V.
Headwaters Incorporated
Tata Motors Limited
Market Vectors Solar Energy ETF
GreenHunter Resources, Inc.
Alcatel-Lucent
Broadwind Energy, Inc.
ZBB Energy Corporation
MGP Ingredients Inc.
Aixtron SE
Metalico Inc.
KEMET Corp.
Advanced Micro Devices, Inc.
UQM Technologies Inc.
Swift Transportation Company
BioCryst Pharmaceuticals, Inc.
Rentech, Inc.

The beta ratings ranged from 2.11 to 3.27

20 Lowest Market Caps

This backtest is based on the 20 CSR securities with the lowest market caps (so those businesses that have the lowest overall worth (Share price * number of shares); those businesses are:

Lime Energy Co.
Flexible Solutions International Inc.
Tofutti Brands Inc.
Appliance Recycling Centers of America Inc.
Clean Diesel Technologies Inc.
Market Vectors Solar Energy ETF
ZBB Energy Corporation
PowerShares WilderHill Prog Engy ETF
World Energy Solutions, Inc.
Ultralife Corp.
Active Power Inc.
Metalico Inc.
U.S. Geothermal Inc.
UQM Technologies Inc.
American DG Energy, Inc.
PowerShares Cleantech ETF
Echelon Corporation
Orion Energy Systems, Inc
PowerShares Global Clean Energy ETF
GreenHunter Resources, Inc.

The market caps vary between $8 Mil and $108 Mil

20 Highest Market Caps

This backtest is based on the 20 CSR securities with the highest market caps (so those businesses that have the highest overall worth (Share price * number of shares); those businesses are:

United Parcel Service, Inc.
SAP SE
Westpac Banking Corporation
Taiwan Semiconductor Manufacturing Company Limited
Unilever plc
QUALCOMM Incorporated
Sanofi
Schlumberger Limited
The Walt Disney Company
Citigroup Inc.
Intel Corporation
Oracle Corporation
Novo Nordisk A/S
International Business Machines Corporation
Novartis AG
General Electric Company
Johnson & Johnson
Microsoft Corporation
Google Inc.
Apple Inc.

The market caps vary between $95.4 Bil and $583 Bil

20 Lowest EBITDA Returns (Profit)

This backtest is based on the 20 CSR securities with the lowest EBITDAs (so those businesses that made losses or the smallest amounts of profit); those businesses are:

Ironwood Pharmaceuticals, Inc.
Westport Innovations Inc.
Isis Pharmaceuticals, Inc.
ImmunoGen, Inc.
Aixtron SE
Veeco Instruments Inc.
Cornerstone OnDemand, Inc.
Clean Energy Fuels Corp.
BioCryst Pharmaceuticals, Inc.
Plug Power Inc.
Angie's List, Inc.
Arena Pharmaceuticals, Inc.
Capstone Turbine Corp.
Ballard Power Systems Inc.
Hydrogenics Corporation
Active Power Inc.
Echelon Corporation
ZBB Energy Corporation
Gaiam Inc.
Lime Energy Co.

The EBITDA for these businesses varied between -196 Mil and -3.6 Mil.

20 Highest EBITDA Returns (Profit)

This backtest is based on the 20 CSR securities with the highest EBITDAs (so those businesses that made the largest amounts of profit); those businesses are:

QUALCOMM Incorporated
AstraZeneca PLC
United Parcel Service, Inc.
BT Group plc
Unilever plc
Honda Motor Co., Ltd.
Telecom Italia S.p.A.
Schlumberger Limited
Taiwan Semiconductor Manufacturing Company Limited
The Walt Disney Company
Sanofi
Novartis AG
Oracle Corporation
Google Inc.
Intel Corporation
Johnson & Johnson
International Business Machines Corporation
General Electric Company
Microsoft Corporation
Apple Inc.

The EBITDA for these businesses varied between 8.6 Bil and 59.1 Bil.

20 Lowest PEG Ratings (Negative)

This backtest is based on the 20 CSR securities with the lowest PEG ratings that are negative (so those businesses that have the smallest ratio of P/E to future growth - Because these PEGs are negative, these businesses are seeing negative earnings and / or growth); those businesses are:

Ballard Power Systems Inc.
Universal Display Corp.
First Solar, Inc.
AeroVironment, Inc.
Gaiam Inc.
Rentech, Inc.
Cornerstone OnDemand, Inc.
Wausau Paper Corp.
Capstone Turbine Corp.
BioCryst Pharmaceuticals, Inc.
World Energy Solutions, Inc.
Provident Financial Holdings, Inc.
Isis Pharmaceuticals, Inc.
Layne Christensen Company
Coherent Inc.
Metalico Inc.
Casella Waste Systems Inc.
Hydrogenics Corporation
EarthLink Holdings Corp.
Angie's List, Inc.

The PEG Rations vary between -1,876 and -1.18

20 Lowest PEG Ratings (Positive)

This backtest is based on the 20 CSR securities with the lowest PEG ratings that are positive (so those businesses that have the smallest ratio of P/E to future growth); those businesses are:

Arena Pharmaceuticals, Inc.
Methanex Corporation
SunOpta Inc.
Pacific Ethanol, Inc.
Headwaters Incorporated
Global Cash Access Holdings, Inc.
Baker Hughes Incorporated
Hannon Armstrong Sustainable Infrastructure Capital, Inc.
Owens Corning
Kadant Inc.
Masco Corporation
Methode Electronics, Inc.
Armstrong World Industries, Inc.
Power Integrations Inc.
Alcatel-Lucent
LKQ Corp.
GNC Holdings Inc.
American Public Education, Inc.
United Stationers Inc.
Taiwan Semiconductor Manufacturing Company Limited

The PEG Ratios vary between 0.1 and 0.87

20 Highest PEG Ratings (Positive)

This backtest is based on the 20 CSR securities with the highest PEG ratings that are positive (so those businesses that have the largest ratio of P/E to future growth); those businesses are:

Qualys, Inc.
Acorda Therapeutics, Inc.
Ameresco, Inc.
Adobe Systems Inc.
Tesla Motors, Inc.
Aqua America Inc.
Canon Inc.
Orbitz Worldwide, Inc.
Autodesk, Inc.
Digi International Inc.
Consolidated Edison, Inc.
Schnitzer Steel Industries, Inc.
NRG Yield, Inc.
Renewable Energy Group, Inc.
NCI Building Systems Inc.
NPS Pharmaceuticals, Inc.
AstraZeneca PLC
Cincinnati Bell Inc.
KT Corp.
comScore, Inc.

The PEG Ratios vary between 4.7 and 25.3

20 Lowest Beta Stocks with the Lowest P/E Ratios

This backtest is based on the 20 CSR securities with the lowest score when P/E and beta are multiplied together; those businesses are:

Consolidated Edison, Inc.
ITC Holdings Corp.
General Mills, Inc.
Overstock.com Inc.
Kimberly-Clark Corporation
Kellogg Company
Appliance Recycling Centers of America Inc.
PowerShares WilderHill Clean Energy ETF
New Jersey Resources Corp.
American Water Works Company, Inc.
NextEra Energy, Inc.
Flexible Solutions International Inc.
Provident Financial Holdings, Inc.
PowerShares Water Resources ETF
Ryland Group Inc.
United Natural Foods, Inc.
International Business Machines Corporation
Aqua America Inc.
Universal Display Corp.
The Clorox Company

20 Highest Beta Stocks with the Highest P/E Ratios

This backtest is based on the 20 CSR securities with the highest score when P/E and beta are multiplied together; those businesses are:

Maxwell Technologies, Inc.
CoreSite Realty Corporation
Cree, Inc.
Trex Co. Inc.
Pegasystems Inc.
Acorda Therapeutics, Inc.
RealPage, Inc.
Advanced Micro Devices, Inc.
Swift Transportation Company
Pebblebrook Hotel Trust
Autodesk, Inc.
LSI Industries Inc.
Orbitz Worldwide, Inc.
K12, Inc.
Adobe Systems Inc.
Headwaters Incorporated
Starbucks Corporation
Impax Laboratories Inc.
Prologis, Inc.
Cubist Pharmaceuticals Inc.

20 Lowest Profit Margins (EBITDA vs. Market Cap)

This backtest is based on the 20 CSR securities with the lowest profit as a percentage of their market cap (so EBITDA divided into market cap); those businesses are:

Lime Energy Co.
ZBB Energy Corporation
Active Power Inc.
Westport Innovations Inc.
Ironwood Pharmaceuticals, Inc.
Echelon Corporation
ImmunoGen, Inc.
Hydrogenics Corporation
Angie's List, Inc.
Gaiam Inc.
Clean Energy Fuels Corp.
UQM Technologies Inc.
BioCryst Pharmaceuticals, Inc.
American DG Energy, Inc.
Clean Diesel Technologies Inc.
Plug Power Inc.
Capstone Turbine Corp.
Veeco Instruments Inc.
Quantum Fuel Systems Technologies Worldwide Inc.
Aixtron SE

Profit margins were between -42.7% (Loss) and -2.6% (Loss).

20 Highest Profit Margins (EBITDA vs. Market Cap)

This backtest is based on the 20 CSR securities with the highest profit as a percentage of their market cap (so EBITDA divided into market cap); those businesses are:

Honda Motor Co., Ltd.
Pacific Ethanol, Inc.
Ormat Technologies Inc.
U.S. Geothermal Inc.
Consolidated Edison, Inc.
KEMET Corp.
Metalico Inc.
United Microelectronics Corporation
Sprint Corporation
Sony Corporation
Veolia Environnement S.A.
SK Telecom Co. Ltd.
Renewable Energy Group, Inc.
Appliance Recycling Centers of America Inc.
CNH Industrial N.V.
Casella Waste Systems Inc.
KT Corp.
Cincinnati Bell Inc.
EarthLink Holdings Corp.
Telecom Italia S.p.A.

Profit margins were between 18.6% and 53.8%.

20 Biggest Negative Differences between MMAV and LMAV

This backtest is based on the 20 CSR securities with the worst comparison of medium term moving average vs. long term moving average (50 days and 200 days). The original stock pick is based on both MAVs as at 25 July and does not take into account MAVs from before that date. The businesses involved are:

PowerSecure International, Inc.
Quantum Fuel Systems Technologies Worldwide Inc.
Metalico Inc.
Liquidity Services, Inc.
Orion Energy Systems, Inc
Hydrogenics Corporation
Overstock.com Inc.
Layne Christensen Company
GNC Holdings Inc.
Lime Energy Co.
Whole Foods Market, Inc.
Isis Pharmaceuticals, Inc.
Trex Co. Inc.
NIC Inc.
Capstone Turbine Corp.
ImmunoGen, Inc.
Echelon Corporation
EnerNOC, Inc.
American DG Energy, Inc.
Ameresco, Inc.

20 Biggest Positive Differences between MMAV and LMAV

This backtest is based on the 20 CSR securities with the best comparison of medium term moving average vs. long term moving average (50 days and 200 days). The original stock pick is based on both MAVs as at 25 July and does not take into account MAVs from before that date. The businesses involved are:

ZBB Energy Corporation
Schlumberger Limited
Apple Inc.
SunPower Corporation
BioCryst Pharmaceuticals, Inc.
Applied Materials, Inc.
Keurig Green Mountain, Inc.
Rentech, Inc.
Intel Corporation
Maxwell Technologies, Inc.
Allergan Inc.
SunOpta Inc.
Molson Coors Brewing Company
NRG Yield, Inc.
Polypore International Inc.
MGP Ingredients Inc.
Appliance Recycling Centers of America Inc.
Green Plains Inc.
Pacific Ethanol, Inc.
GreenHunter Resources, Inc.

Conclusion

So, what does all of this backtesting tell us?

It was almost impossible to lose money on the stockmarket if you held stock from 2012-2014; the market performed extremely well during that time, and as long as you had a diversified portfolio, it would perform pretty well. (Although depending on your stock picks it might not outperform the market as a whole).

Some of the results of the performance and backtesting seem to be unintuitive, certainly when looked at over the longer term. For example:
- High P/E securities performed well, even though they weren’t returning much money in the form of dividends. This probably means that investors were more focussed on capital, rather than dividend growth.
- Companies that didn’t supply a high EBITDA (profit) still did well over the medium to long term, probably based on speculation about future growth. Many of these businesses were pharmaceuticals or alternative energy businesses that might not see an ROI for several years.
- A combination of high beta stocks with high P/E ratios can generate good returns, again probably based on speculation. There may be losses in the short term though.

Other points
- Low beta ratings definitely equal more predictable stocks; the low beta rating backtests were some of the few that did not provide negative returns at any point.
- Stocks with the larger market caps mirrored the overall performance of the stockmarket very well; this is to be expected, since they make up a significant portion of that market.
- Low market cap securities and high beta ranked securities are best avoided as they can create significant losses over the short term.
- Good PEG ratings (between 0.1 and 1) correlate very strongly with good performance.
- MMAV and LMAV are good predictors of growth stocks; unfortunately I did not have historic MAV data to test this with, but it is definitely worth incorporating into future algos.

Next steps
In another post, I will take the most positive correlation factors for growth and try to develop a group of stocks that can deliver good returns. Thanks for reading this thread and I am grateful for any comments.

It isn't clear to me that you used 2012's fundamental/ma data for your backtest. The only reason I mention it is that i could see getting similar results if you used today's data and then backtested from two years ago.

Can you confirm?

It's only current measures at the moment, hence the look-back bias. As I develop the algos further, I'd like to use historic P/E to give a more robust result. Unfortunately, it's not easy to get historic P/E, PEG and Beta figures. Hopefully as Quantopian looks to add fundamental data into the mix, it will make that side of things much easier to access.

Thanks for the reply. You can find historical fundamental data at ADVFN.com. I'm fairly certain a backtest using 2012 data will show significantly different results.

Very interesting backtests!

Quandl has some historic fundamental data. For example, here's Apple's historic revenue figures. You can use Quantopian's fetcher feature to input the data to your algo, see the post on How to use the Fetcher from Quandl Dataset to backtest the strategy via Quantopian

Aidan, thanks so much for pointing me at Quandl. Having explored there this morning it looks like it would be (relatively) easy to get historic fundamental data from there without too much trouble, meaning I can add more authenticity to the selection of good fundamental stock and the backtests. I will have more of a dig-through over the next week or so, but its a fantastic resource, and the Excel add-in will make it much easier to manipulate the data. I can see Quandl data being a perfect complement to Quantopian algos.

Quandl is pretty awesome! They also have raw SEC data, some of the DMDRN data sets are not up to date and I've seen discrepancies between their data and other sources. SEC data is probably the best source, although you will have to do some calculations to derive a lot of the fundamentals ratios. See http://www.quandl.com/help/api-for-stock-data for more info.