James O'Shaughnessey's Trending Value Screener

This script is designed to replicate the work performed by James O'Shaughnessey as detailed in his

A very rough description of Trending Value:

Download all financial information on every company available with a market cap > $200M. Look at six statistics to form a stock's value for part 1 of my filter. Each gets a ranking of 0-100 with 100 being the "best" in the stock universe and 0 being the "worst" in the stock universe. Those 6 are:

P/E
P/S
P/B
P/FCF
Shareholder Yield (which is Stock Buybacks + Dividend Yield)
EV/EBITDA

A "perfect" stock has a 600 rating. Any stock above a 420 or so is a very financially sound, well rounded company, and generally undervalued (as referenced by the P/E, P/S, P/B) so I know my money isn't being thrown into a travesty waiting to collapse.

Then look at the top 10% of those stocks and sort them by 6-month relative price. This gives me an ordered list of financially sound and stable companies that the market is behind. A company can be financially stable without having growth, so this allows me to find out what's moving in the right direction.