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One of AAII (American Association of Individual Investors) more popular--and profitable--screens is the 'O'Shaughnessy Tiny Titans'. Since 1998, the screen has produced cumulative results of over 2000%. However, since 2007 the screen has struggled significantly in down markets.

The screen looks for companies with a market cap between $25 million and $250 million, a price to sales of less than 1, excludes over the counter stocks, and finally, ranks the top 25 based on the greatest relative strength over the past 52 weeks. This creates a list of highly volatile and risky stocks.
However, there may be some names of interest worthy of further research. In addition, one potential strategy would be to pair the portfolio with a hedge by simultaneously shorting the Russell 2000 via RWM with a portion of your portfolio.
Or, an investor could only participate in the strategy when an index such as the Russell 2000 was above a long term moving average. My suggestion for using a moving average system was inspried in part by Mebane Faber's The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets and also by Tom Lydon, author of The ETF Trend Following Playbook: Profiting from Trends in Bull or Bear Markets with Exchange Traded Funds.

I ran the AAII Tiny Titans screen using stockscreen123 and came up with the following 25 names. If there is interest among readers, it could be a portfolio I track for free on my blog along with several others already available for free.
I also looked at the 3 and 5 year performance when the portfolio was rebalanced every 4 weeks. The past 3 years the screen returns were approximately -30% excluding slippage and commissions. The past 5 years the cumulative return was approximately 56% excluding slippage and commission. Thus, this screen struggled mightily in negative markets.
Below is the current list ranked on their 52 week return as of 3/17/10. The list will differ from the AAII list because that list was updated 1/31/10. This is not a screen I would blindly invest in without significant further investigation of each name, an acute awareness of the liquidity of each stock, and also without using stop losses and/or a hedge.
If an investor wanted to run this screen--or variations of it-- for free he or she could do so using any number of free stock screens such as the one available at Finviz. or the aforementioned stockscreen123.
Ticker Name Last Free Trend Analysis MktCap
SPCHA Sport Chalet, Inc. 2.65 Here 38.13
SALM Salem Communications Corp 4.92 Here 118.61
CVGI Commercial Vehicle Group, Inc 6.68 Here 161.41
LBY Libbey Inc. 12.9 Here 199.6
MGPI MGP Ingredients, Inc. 7.78 Here 128.06
BELM Bell Microproducts Inc. 5.2 Here 168.4
ZOOM Zoom Technologies, Inc. 6.86 Here 51.08
LCUT Lifetime Brands, Inc. 12 Here 140.07
WNC Wabash National Corporation 7.65 Here 210.3
ATSG Air Transport Services Group 2.54 Here 163.73
SBSA Spanish Broadcasting System I 0.98 Here 61.7
LEE Lee Enterprises, Incorporated 3.47 Here 160.2
BONT The Bon-Ton Stores, Inc. 12.54 Here 235.14
BIOF BioFuel Energy Corp. 2.83 Here 95.29
VVTV ValueVision Media, Inc. 3.59 Here 117.38
AHC A. H. Belo Corporation 7.93 Here 161.48
CMRG Casual Male Retail Group, Inc 3.57 Here 184.42
MERC Mercer International Inc. 5.73 Here 213.19
ROIAK Radio One, Inc. 3.3 Here 181.69
OTC:LNET LodgeNet Interactive Corp. 6.46 Here 141.99
NXST Nexstar Broadcasting Group, I 4.8 Here 141.87
SGA Saga Communications, Inc. 26 Here 102.97
PATK Patrick Industries, Inc. 2.99 Here 26.85
JRN Journal Communications, Inc. 4.01 Here 218.53
NAVI NaviSite, Inc. 2.99 Here 108.96

Disclosure: No positions in stocks mentioned
Source: Tiny Titan Stock Portfolio for March