Short Squeeze Screen Produces Good Results!

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As you all know I have been beating the drum that the stock market is going higher for a while.  A rising tide lifts all boats (allegedly), so I always want the fastest boat.  That was the point for my experimental stock screen to find short squeeze opportunities which I posted here earlier this week.  Let's check in on the results:

Cabela's Incorporated (CAB), Retail (Specialty)
   9/10/10 Close - $16.72
   9/16/10 Close - $17.29
   Four Day Return - 3.41%


Children's Place Retail Stores, Inc. (PLCE), Retail (Apparel)
   9/10/10 Close - $47.71   
   9/16/10 Close - $48.21
   Four Day Return - 1.05%


True Religion Apparel, Inc (TRLG), $19.07, Apparel/Accessories
   9/10/10 Close - $19.07   
   9/16/10 Close - $19.63
   Four Day Return - 2.94%

The average return for these three stocks is 2.47%.  Compare that to a return of 1.36% for the same time period for the S&P 500.  After Monday's close I posted here that the three picks were up 3.84%, and had I been trading them I probably would have taken profits using short dated options.

Well, today I decided to see if I could find any more of such opportunities.  I have modified my stock screen criteria to be as follows:

1) Asset Class > Small Cap.  This includes all asset classes larger than small cap, it just excludes the micro caps.

2) Price Performance vs. S&P 500 Last 4 Weeks = -20% to 0%.  The market has been going up the last few weeks, and I want laggards.

3) Component of NYSE.  This ensures these are legitimately traded companies, and should provide some liquidity assurance.

4) Beta > S&P 500 volatility.  Detailed in my post from Monday morning.

5) Price/Cash Flow Ratio < 10x.  Also detailed in my post from Monday morning.

6) Short Interest as Percent of Float > 20%.  Also detailed in my post from Monday morning.

The results:
1) Barnes & Noble (BKS), $15.90, Retail/Specialty
2) Boyd Gaming Corporation (BYD), $7.19, Casinos & Gaming
3) GameStop (GME), $18.59, Retail/Technology
4) Genco Shipping & Trading Limited (GNK), $16.15, Water Transportation
5) Life Time Fitness (LTM), $37.51, Recreational Activities

Over the next few days I am going to watch these names and see how they do.  If they perform well, that is, better than the market, this might be a strategy that I begin to employ.  We'll see.