Recently started developing a stock screening system. I say system because unlike my spreadsheet based process this is a fully automated System.
1. Create the Asset Universe: Using criteria that I believe identifies performing stocks (statistically good assets exhibit for example trend / PE etc). The infrastructure that powers this is a perl scrapping tool + SQL Server to store all the data.
2. Analyse the Universe separating the real winners from the losers. Again here more analysis is performed such as predictive econometrics etc. Matlab is used for number crunching with Yahoo as the auxiliary quote source (historical mainly). Data is stored in SQL Server.
3. What to do with the final list of stocks … not decided yet but I can say that the performance (YTD) thus far is 20% above the FTSE 100.