Piotroski F-Score Screener: Backtesting a 9-Point Accounting Edge

1. The 9-Point Financial Health Checklist

Converting income statements, balance sheets, and cash flows into an algorithmic score

In 2000, Stanford accounting professor Joseph Piotroski published a seminal paper: 'Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers'.

Piotroski realized that among high book-to-market equities (the bottom 20% cheapest stocks), nearly 60% had deteriorating fundamentals. By requiring a stock to pass binary financial health checks, investors can filter out distressed traps before they go to zero.

2. The 15-Year Historical Performance Audit

Testing high F-Scores (8–9) vs. low F-Scores (0–2) against the Russell 2000 Value

We backtested Piotroski's 9-point model on all US public equities with market caps over $200M from 2010 through 2025, rebalancing annually:

3. Automated Python Screener Implementation

Extracting SEC financial filings to calculate the 9-point score

You can automate the Piotroski F-Score calculation with standard balance sheet, income statement, and cash flow data: