Hello Byculla,
For the past 2 years I have been using the methods described in the Pragmatic Investor book. It starts with highly rated (both fundamental rating and moat strength) stocks as calculated by the Value Stock Selector algorithm and then groups highly correlated stocks together.
It then manages these groups (buying and selling) as per the Value Trading Algorithm.
Since 2008 I have set up portfolios using Canadian banks (CM, TD, RY, BMO, BNS) and technology stocks. Returns from October 2008 to December 2009 in my personal accounts have been over 76% compared to a B&H return of 17.7% (note this high return was due to the extreme volatility in the markets even for fundamentally strong stocks such as the Canadian banks. I don't expect anything near these returns going forward and my backtesting simulations show returns of between 20 and 30% annualized over 15 year intervals -- which I'm convinced is the best anyone can do over a relatively long period).
This year returns have been about 8% (compared to B&H results of 11.71%), so I'm waiting to see what happens the rest of the year.
