glossary

Criteria Usage

The expression "(day)", used in most criteria, indicates the number of trading days in the past from which the criteria will be retrieved. For the most recent trading day use "(1)". For five trading days ago enter "(5)". One month is typically twenty one trading days so use "(21)". Using closing price five trading days ago would be written as "close(5)".

Where the expression "(N, day)" is used, "N" represents the length of time and "day" represents when the criteria will be applied. For a simple moving average of 50 days applied on the most recent trading day "(50,1)" would be used. For a simple moving average of 200 days applied 5 days before the most recent trading day "(200,5)" would be used.

Quarterly data for criteria use is referenced by filing date. Genovest feels this is consistent with how the market receives and responds to quarterly reports, and gives the most accurate representation for market simulations.

Stock Screening

Stock Screening is essentially the filtering of available stocks to meet a specific set of criteria or screening rules. It is the most useful tool for selecting stocks that meet a particular investment strategy.

Backtesting

Backtesting is a simulation where the tool walks your buy and sell rules through time with a defined beginning and end date. Initially the most recent close will be the start date. This will advance one trading day at a time in applying your buy and sell rules.

Universe

Genovest uses Industry and Sector in dividing up the universe of stocks available within our tools. Sector is the largest grouping and includes many different industries within each sector. Industry is much more specific in defining the activities of the companies within each group. By default, the universe of stocks used in both the Stock Screener and the Backtester is set to "All."

Defining the industries or sectors that are used to search for stocks is useful for many strategies. Many investors concentrate on particular industries to gain expertise and focus in their strategy development. Sectors are most commonly used in sector rotation as many have a cyclical nature.

Technical Criteria Definitions

**Adjusted Close**

*adjclose(day)*is a stock's closing price that has been adjusted to account for stock splits and dividends. It is important to use to get an accurate representation of historical price relative to the most current price of a stock. All technical criteria are calculated using adjusted close. The backtester uses adjusted close to calculate profits and losses, and displays all transactions with adjusted closing prices.

**Average Volume**

*avgvol(N, day)*is the average number of shares traded over the specified time period. For a 10 trading day average beginning at the most recent close (10,1) would be used.

Trading volume can be used to eliminate stocks that have low liquidity or market support. The higher the volume the greater the liquidity which usually comes with less volatility. A Spike in volume typically indicates unusual news about the stock which can be positive or negative. Combining increased volume with a corresponding increase in price is often a positive indication for a stock.

**Beta**

*beta(day)*is the beta coefficient indicating the stock's volatility relative to the market over the past year, where the S&P tracking ETF "SPY" is used to represent the market. For beta 3 trading days ago "beta(3)" would be used.

Beta is calculated by dividing the covariance between the stock and SPY's adjusted closing prices by the variance of SPY's adjusted closing price.

A beta less than 1 theoretically means the stock is less volatile than the market, and a beta greater than one theoretically means the stock is more volatile.

**Close**

*close(day)*is the closing price of a stock on the trading day specified. For a closing price 12 trading days ago "close(12)" would be used.

Creative use of this criteria could look for stocks that have been increasing in price for several days or weeks. To look for stocks that have increased in price from one week ago to the last close date use "close(1) > close(6)".

**High**

*high(day)*is the highest price a stock traded for on the trading day specified. For the highest price on the day 12 trading days ago "high(12)" would be used.

**Moving Average Convergence Divergence (MACD)**

*macd(N,day)*is the 12-day exponential moving average minus the 26-day exponential moving average of adjusted closing price. For the MACD 3 trading days ago "macd(3)" would be used.

MACD is often used with the MACD signal line. For example, when the MACD crosses above the MACD signal line, this is usually considered a bullish signal. When MACD crosses below, it is considered a bearish signal.

**MACD Signal Line**

*macdsignal(N,day)*is the 9-day exponential moving average of MACD.

**Money Flow Index**

*mfi(N,day)*is the 14-trading day in-flow and out-flow of money of a stock on the trading day specified. For the money flow index 12 trading days ago "mfi(12)" would be used.

**Low**

*low(day)*is the lowest price a stock traded for on the trading day specified. For the lowest price on the day 12 trading days ago "low(12)" would be used.

**Open**

*open(day)*is the opening price of a stock on the trading day specified. For an opening price 12 trading days ago "open(12)" would be used.

**Relative Strength Index**

*rsi(N,day)*is the 14-trading day average gain of up periods divided by the average loss of down periods of a stock on the trading day specified. For the relative strength index 12 trading days ago "mfi(12)" would be used.

**Simple Moving Average**

*sma(N,day)*is the simple moving average of a stock's adjusted closing price over a specified number of trading days, applied on a defined number of days from the most recent close. For a simple moving average of 50 days applied on the most recent trading day (50,1) would be used. For a simple moving average of 200 days applied 5 days before the most recent trading day (200,5) would be used.

Combining simple moving averages has been a popular method of finding stocks with opportunity or for assessing the condition of the market. A 50 day moving average that has just crossed above the 200 day moving average has been termed a "Golden Cross" indicating possible future advances in price. Conversely a 50 day moving average that has just crossed below the 200 day moving average is called a "Death Cross" indicating possible hard times ahead.

**Standard Deviation**

*stddev(N, day)*is the standard deviation of the stock's adjusted closing price over the specified number of trading days. For the standard deviation over 20 days as of 3 days ago "stddev(20, 3)" would be used.

The standard deviation can be used to calculate many technical indicators. For a stock's Z-Score, use "(adjclose(1) - sma(20, 1))/stddev(20, 1)". For upper and lower Bollinger Bollinger bands, use "sma(20, 1) + 2*stddev(20, 1)" and "sma(20, 1) - 2*stddev(20, 1)" respectively.

**Stochastic Oscillator (fast)**

*stochfast(day)*is the close minus the 14-trading day low, divided by the range over the last 14 trading days, expressed as a percent.

**Stochastic Oscillator (slow)**

*stochslow(day)*is the 3-trading day average of the fast stochastic oscillator.

**Volume**

*volume(day)*is the volume of shares traded on a given trading day. For volume 3 trading days ago "volume(3)" would be used.

Single day volume is most widely used to look for stocks with a defined spike in volume indicating greater than average interest in a stock. Remember, this can be positive or negative. Combined with other criteria it can be effective in uncovering stocks just beginning to show possible major movement.

**Year High**

*yearhigh(day)*is the highest adjusted closing price a stock has reached within the past year. For a year high price applied 5 trading days ago "yearhigh(5)" would be used. We use 252 trading days as one year for our calculations.

Year High is useful in finding stock that have just made a new yearly high. New yearly highs are often followed by others. To find stocks that have just made a new yearly high use "close(1) > yearhigh(2)" . This translates into the most recent closing price "close(1)" being higher than ">" the year high for the stock as of 2 trading days ago "yearhigh(2)" or one day before the most recent trading day close.

**Year Low**

*yearlow(day)*is the lowest adjusted closing price a stock has reached within the past year. For a year low price applied 5 trading days ago "yearlow(5)" would be used. We use 252 trading days as one year for our calculations.

Year Low can be useful in finding stocks that are bouncing off of their year low price by an appreciable margin which may indicate a turnaround in the stock. To find stocks that are trading at 10% above their yearly lows use "close(1) > yearlow(1)*1.10" .

Fundamental Criteria Definitions

**Analysts**

*analysts(day)*is the number of analysis covering the stock that make up the average earnings per share estimate. For the number of analysts covering a stock 3 trading days ago "analysts(3)" would be used.

**Book Value**

*bookvalue(day)*is the sum of all of a company's assets minus its liabilities from its most recent quarter and is synonymous with shareholders equity. For book value 3 trading days ago "bookvalue(3)" would be used.

Book Value is often used in determining what a company is worth once all of its debts are paid.

**Cash Flow from Continuing Operations**

*cashflowcontop(day)*is the amount of cash generated by a company's normal business operations from its most recent quarter. For cash flow from continuing operations 3 trading days ago "cashflowcontop(3)" would be used.

Cash flow is the life blood of a company. Increasing cash flow over multiple quarters is often the sign of a healthy business. To look for companies that have increased their cash flow over 2 consecutive quarters "cashflowcontop(1) > cashflowcontop(64)" could be used.

**Current Assets**

*currentassets(day)*the value of all assets that can be reasonably expected to be converted into cash within approximately one year from its most recent quarter. It is used as a measure of liquidity. For current assets 3 trading days ago "currentassets(3)" would be used.

Current assets are a good gage of the financial stability of a company. Businesses need cash to operate on a day to day basis. If available cash falls short, debt has to be taken on causing interest expenses to rise or new stock issued causing dilution of shareholder equity. Increasing current assets over multiple quarters are typically a sign of good health. To look for companies that have increased their current assets over 2 consecutive quarters "currentassets(1) > currentassets(64)" could be used.

**Current Debt**

*currentdebt(day)*is the amount of long term debt that must be paid within 12 months from its most recent quarter. For current debt 3 trading days ago "currentdebt(3)" would be used.

Current Debt is often compared to current assets to assess a company's ability to pay its debt payments. A company with high current debt and little cash or current assets is at a higher risk of default and should be a warning sign to investors.

**Current Liabilities**

*currentliabilities(day)*is the total amount of liabilities that are due within 12 months from its most recent quarter. For current liabilities 3 trading days ago "currentliabilities(3)" would be used.

In addition to current debt, current liabilities include taxes payable, interest payable, wages payable, accounts payable. It is often deemed a better measure for determining the financial health of a company.

**Current Ratio**

*currentratio(day)*is the product of current assets divided by current liabilities from its most recent quarter. For current ratio 3 trading days ago "currentratio(3)" would be used.

The Current Ratio is one of the most widely used ratios. Because current assets are in principle converted to cash over the following 12 months, the current ratio is a measure of the short-term financial stability of a company. Comparing current ratios should be done against other companies in the same industry or sector as it can vary widely.

A higher current ratio of often a sign of financial health as it would have a larger proportion of asset value relative to its liabilities. A ratio under 1 hints that a company's liabilities are greater than its assets and may have some difficulty in paying its obligations.

**Debt to Equity Ratio**

*debttoequity(day)*is the product of dividing a company's total liabilities by its stockholders' equity from its most recent quarter. For debt to equity 3 trading days ago "debttoequity(3)" would be used.

Debt to equity is an indication of how much debt a company is using to finance its assets relative to the value of a company's shareholders' equity. The higher the ratio, the more aggressive the company is in financing its growth which is often associated with higher levels of risk. The reason is that debt directly impacts earnings due to the interest expense.

**Dividend per Share**

*dividendpershare(day)*is the total of the past year's dividends paid to common stock shareholders on a per-share basis. For dividend per share 3 trading days ago "dividendpershare(3)" would be used.

**Dividend Yield**

*dividendyield(day)*is the total of the past year's dividends paid to common stock shareholders on a per-share basis divided by the previous day's closing price expressed as a percent. For dividend yield 3 trading days ago "dividendyield(3)" would be used.

Dividend yield measures the cash flow an investor is getting for each dollar invested in a stock offering. Investors will often turn to stocks with a higher dividend yield in times of economic uncertainty, especially for companies with a long track record of increasing dividends. To find companies with an increasing dividend yield over the past year use "dividendyield(1) > dividendyield(252)".

**EBIT**

*ebit(day)*is Earnings Before Interest and Taxes from its most recent quarter. For EBIT 3 trading days ago "ebit(3)" would be used.

EBIT is essentially the operating profit of a company and demonstrates a company's ability to from its business operations.

**EBITDA**

*ebitda(day)*Earnings Before Interest, Taxes, Depreciation and Amortization from its most recent quarter. For EBITDA 3 trading days ago "ebitda(3)" would be used.

EBITDA is essentially net income with interest, taxes, depreciation, and amortization added back. It is often used to compare profitability between companies as it eliminated the effects of financing and accounting decisions. While it is a good measure of profitability, it should not be used as a replacement for free cash flow.

**Enterprise Value**

*enterprisevalue(day)*Market Cap + Total Debt - Total Cash & Short Term Investments from its most recent quarter. For enterprise value 3 trading days ago "enterprisevalue(3)" would be used.

Enterprise Value is often used as a takeover price valuation as it takes into account both acquired debt and cash. It can also be used as a comparative ratio with both EBITDA or revenue(sales) as an indicator of financial strength. When used with EBITDA, it is positively correlated to the growth in free cash flow and negatively correlated to overall risk level.

**Earnings Per Share**

*eps(day)*is the trailing twelve months of net income less preferred divideds paid, divided by shares outstanding. For earnings per share 3 trading days ago "eps(3)" would be used.

**Forward Earnings Per Share Estimate**

*forwardeps(day)*is the mean of all earnings per share estimates for the next fiscal year. For the earnings per share estimate 3 days ago "forwardeps(3)" would be used.

**Forward P/E**

*forwardpe(day)*is the price to earnings ratio using the average earnings per share estimate for the next fiscal year instead of the most recently reported trailing twelve months earnings. For the forward P/E 3 days ago "forwardpe(3)" would be used.

**Forward PEG**

*forwardpeg(day)*is the price/earnings to growth ratio using the average earnings per share estimate for the next fiscal year instead of the most recently reported trailing twelve months earnings. For the forward PEG 3 days ago "forwardpeg(3)" would be used.

**Free Cash Flow**

*freecashflow(day)*is calculated as operating cash flow minus capital expenditures from its most recent quarter.

Free Cash Flow is a measure of a company's financial performance. It is the amount of cash a company generates after paying for capital expenses. It can be used to calculate Free Cash Flow Yield which is often used with the P/E ratio as fundamental criteria for performance evaluation. To determine Free Cash Flow Yield use "freecashflow(1)/marketcap(1)" or "freecashflow(1)/enterprisevalue(1)".

**Gross Margin**

*grossmargin(day)*is the most recent quarter gross profit divided by most recent quarter revenue expressed as a percent. For gross margin 3 trading days ago use "grossmargin(3)".

**Gross Profit**

*grossprofit(day)*is the most recent quarter gross profit. For gross profit 3 trading days ago use "grossprofit(3)".

**Intangible Assets**

*intangibleassets(day)*is the most recent quarter total of goodwill and intangible assets. For intangible assets 3 trading days ago use "intangibleassets(3)".

**Inventory**

*inventory(day)*is the most recent quarter value of reported inventory. For inventory 3 trading days ago use "inventory(3)".

**Liabilities**

*liabilities(day)*is the total liabilities reported on the company's quarterly balance sheet. It aggregates a company's total debt obligations, both short and long term. For liabilities 3 trading days ago use "liabilities(3)".

**Market capitalization**

*marketcap(day)*is the company's share price multiplied by the total shares outstanding from its most recent quarter. For market cap 3 trading days ago use "marketcap(3)".

Market Cap is most often used as a size comparison measure for companies. The larger the market cap, the bigger the company and possibly the greater the liquidity of its shares.

**Netincome**

*netincome(day)*is the net income or loss reported on the company's quarterly balance sheet from its most recent quarter. For net income 3 trading days ago use "netincome(3)".

**Operating Expense**

*operatingexpense(day)*is the total operating expense reported on the company's quarterly balance sheet from its most recent quarter. For operating expense 3 trading days ago use "operatingexpense(3)".

**Operating Income**

*operatingincome(day)*is the total operating income reported on the company's quarterly income statement from its most recent quarter. For operating income 3 trading days ago use "operatingincome(3)".

**PEG**

*peg(day)*is the price/earnings to growth ratio using earnings reported over the past 12 months. For the PEG ratio 3 trading days ago "peg(3)" would be used.

**Price to Book Ratio**

*pricetobook(day)*is the price to book ratio expressed as Market Capitalization divided by Shareholders Equity(book value) from its most recent quarter. For price to book ratio 3 trading days ago use "pricetobook(3)".

Price to Book Ratio is a value metric used to compare a company's stock price to its liquidation value. A number less than one often times can hint at an undervalued price. It could also mean that something is amiss with the company financially requiring further investigation. As with many ratios, it can vary widely by industry and should not be used as a single valuation criteria.

**Price to Earnings Ratio**

*pe(day)*is the most recent closing price divided by the trailing twelve months earnings per share, which is calculated as net income (ttm) minus preferred dividends paid (ttm), divided by shares outstanding. For price to earnings ratio 3 trading days ago use "pe(3)".

The PE ratio is probably the most common valuation metric for the price of a stock as it shows how many times the earnings per share of a company you are paying for its price. The higher the PE ratio, the more you are paying for each dollar of earnings.

**Price to Free Cash Flow**

*pricetofreecashflow(day)*is the most recent closing price divided by the trailing twelve months free cash flow per share. For price to free cash flow 3 trading days ago use "pricetofreecashflow(3)".

Price to Free Cash Flow is a valuation metric. The higher the number, in general, the more expensive the company on its cash flow basis. It is most useful in comparing to a company's past levels as increasing free cash flow is indicative of greater profitability. It is also useful in comparing against other companies in the same industry. To find companies that are improving their price free cash flow over one quarter use "pricetofreecashflow(1) > pricetofreecashflow(64) ".

**Price to Sales**

*pricetosales(day)*is the most recent closing price divided by the trailing twelve months revenue (sales) per share. For price to sales 3 trading days ago use "pricetosales(3)".

Price to Sales is useful in evaluating companies that are early in their growth stage which have revenue but no net income or profits. Combined with stong price momentum and increasing volume, it can be a powerful metric in uncovering potential price appreciation.

**Quick Ratio**

*quickratio(day)*is current assets minus inventories divided by current liabilities from its most recent quarter. For the quick ratio 3 trading days ago use "quickratio(3)".

The Quick Ratio is widely used metric for determining a company's financial health and liquidity. The higher the ratio, the longer the company will be able to survive without any revenue. It is called the quick ratio because it removes inventory from the calculation which may not be able to be turned into cash quickly. It is also call the "acid-test or quick assets ratio".

**Receivables**

*receivables(day)*is the most recent quarter accounts receivable. For accounts receivable 3 trading days ago use "receivables(3)".

**Research and Development Expenses**

*researchdev(day)*is the most recent quarter research and development (R&D) expenses as reported in a company's quarterly report. Some companies will report R&D expenses under a different section of their quarterly report, in which case "researchdev" will show as zero. For R&D expenses 3 trading days ago use "researchdev(3)".

**Revenue**

*revenue(day)*is the sum of all revenue (sales) included for a company's operating activities during its most recent quarter. For revenue 3 trading days ago use "revenue(3)".

Increasing revenue is often followed by increasing profitability. To find companies with increasing revenue for the past year use "revenue(1) > revenue(253)".

**Return on Assets**

*roa(day)*is the trailing twelve months of net income divided by total assets expressed as a percent. For return on assets 3 trading days ago use "roa(3)".

Return on Assets indicates how efficient management is in using its assets to generate earnings. It is an indicator of how profitable a company is relative to its total assets.

**Return on Equity**

*roe(day)*is the trailing twelve months of net income divided by shareholders equity expressed as a percent. For return on equity 3 trading days ago use "roe(3)".

Return on Equity is most used in comparing the profitability of a company to that of others in the same industry. Also, increasing return on equity is a good indicator of a company that is generating increasing profits which should translate into increasing share price.

**Return on Invested Capital**

*roic(day)*is the trailing twelve months of net income less all dividends paid divided by shareholders equity plus current and long term debt expressed as a percent. For return on invested capital 3 trading days ago use "roic(3)".

Companies that consistently have high rates of return on invested capital typically trade at premiums to other stocks. Combined with PE, ROIC can be a useful measure of price evaluation as a high PE might be warranted if the company's ROIC is also high for it's industry.

**Shareholders Equity**

*shareholderequity(day)*is total assets minus total liabilities from its most recent quarter and is synonymous with book value. For shreholders equity 3 trading days ago use "shareholdersequity(3)".

Shareholders Equity (Book Value) is often used in determining what a company is worth once all of its debts are paid.

**Shares Outstanding**

*sharesout(day)*is the weighted average number of shares outstanding from its most recent quarter. For shares outstanding 3 trading days ago use "sharesout(3)".

**Total Assets**

*totalassets(day)*is the total assets of a company for its most recent quarter. For total assets 3 trading days ago "totalassets(3)" would be used.

Total assets can be useful in determining the efficiency of a company in deploying its assets by applying it to asset turnover where revenue is divided by total assets. The resulting numbers typically range from .01 for utility companies to over 2.0 for retail stores. This can be an effective way to compare companies within the same industry but should not be used across different industries.

**Total Debt**

*totaldebt(day)*is long term debt plus current debt from its most recent quarter. For total debt 3 trading days ago use "totaldebt(3)".

Market Indicators

**S&P Tracking ETF "SPY"**

*spy(day)*is the Standard and Poors 500 tracking, exchange traded fund, SPY.

**SPY Simple Moving Average**

*spysma(day)*is the simple moving average of the Standard and Poors 500 tracking, exchange traded fund, SPY.

Special Sell Functions

Note - All special sell functions use "()" with no input between parentheses.

**Days Live**

*dayslive()*Number of trading days since purchase of a stock.

**Highest Price**

*highestprice()*Highest closing price since purchase of a stock.

**Purchase Price**

*purchaseprice()*Purchase price of stock.