11. Where to Get Ideas for New Screens
After seeing the screens in this book, you might be wondering how to generate ideas for screens yourself. A tempting, but ultimately flawed way of generating screens is to just keep experimenting with variables and cutoffs, running backtests, and then picking a backtest that performs well. The perils of this approach were covered in Chapter 3, “Creating a Screen—The Nuts and Bolts of Choosing a Quantitative Investing Strategy,” in the “Aimless Screens” and “The Problem with Building Strategies Solely to Outperform in Backtests” sections.
Similarly, Chapter 3 also covered the importance of linking screened variables to economic fundamentals that you are interested in. For example, if you are interested in ...
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