I created an app for myself that scores all TSE Prime market stocks every day on eight criteria, totaling 100 points. This article explains what I built, how I assign scores, and what I will post going forward.

There is also an explanation in video

I summarized the content of this article into a video of about 5 minutes. Initially, I built buy/sell rules for both long and short positions in Excel and managed them manually. As the process became increasingly laborious, I automated it with an app, and it took a good shape, so I decided to publish the approach.

▶ I built an app that scores all TSE Prime stocks at 100 points!

YouTube · about 5 minutes https://youtu.be/0IC2ekqyRu4

If you want to grasp the whole picture before reading, start with the video. In the future, I will also publish weekly market analyses as time permits.

What I built

imitates the way institutional investors select stocks, scoring all Prime stocks with the same yardstick. The aim is“to narrow down from 1,558 stocks to a few dozen that suit the current market conditions”.

Three things decided in the scoring method

• Score by ranking (percentile), not by absolute values.If you draw lines like “ROE 10% or higher equals full score,” you would have to redraw them whenever the overall market level changes.
• Indicators that are strongly influenced by industry should be compared within that industry.PER, PBR, ROE, and profitability differ greatly by industry. Comparing bank sector with information/communications in the same column would just reflect industry selection.
• Do not penalize for missing data.Missing items are treated as half points (neutral). If set to 0, stocks with little disclosure would drop across the board.

Macro is viewed as “5 factors × 33 industries sensitivity”

The 10 points for Macro/Overseas environment are decided by five factors: interest rates, yen depreciation, economy, geopolitics, and resources. For each factor, a numerical Factor Z indicates how much current conditions deviate from the past year.

For the 33 industry groups in the TSE, the wind is determined on a scale of −2 to +2 depending on whether that factor is favorable or unfavorable. For example, if the yen is weak, transportation equipment and electrical machinery get +2, while electric and gas sectors get −2. The product of Factor Z and the industry sensitivity yields the industry score, where + means tailwind and − means headwind.

Sensitivity was initially decided manually, but some adjustments were informed by historical price movements. The yen depreciation in the information and communication sector was initially set to 0, but regression on sector excess returns since 1999 against the USD/JPY movement yielded t = −8.59. Even when splitting periods, the sign did not change, so I changed it to −1.

What I will post going forward

I plan to post weekly at the weekend the scores of macro factors and 33 industries, and the stock candidates selected from them, as“TSE Prime Macro & Industry Weekly”.

• Which of the five macro factors moved this week
• A ranking of the wind/against wind for the 33 industries and changes in ranking from last week
• Main factors that moved the rankings (which factors were effective)
• Macro-related market moves this week (relative to a typical week)
• Short-term stock candidates(expected holding period: a few days to about a month)
• Long-term stock candidates(based on dividends and undervaluation; plan to hold longer)

Stock candidates are listed by their scores in a mechanical order. They are not recommendations to buy or sell; use them as materials when selecting stocks yourself. I will continue writing development diaries as well.

Explanation video:I built an app that scores all TSE Prime stocks at 100 points!(about 5 minutes)