Z Score and Sharpe Ratios does give different result.
Reason being Sharpe ratio is considering fixed value for ALL stocks- say Annual FD returns but Z Score is considering the mean of ALL the stocks and stddev too for ALL.
Scanned against last and considered 8.5% annual FD return for the sharpe ratio, and got 15 similar stocks out of 20.
No one is to judge which is better. Even if we backtest, with so much overlap and just 5% allocation, I dont think it will yield much of a difference over say 5-6 years XIRR.
That being said, Z score makes more sense as we are already ranking based on returns.
Sharpe might be better in long term strategies like mutual funds. but ranking each stock based on sharpe and exiting it the next week/fortnight/month because it fell short of returns to qualify the list doesn’t make sense. Momentum strategy is short term whcih we will be running for long term. So sharpe will make sense if our rebalncing frequency is quarterly or semiannually. OR we can incorporate that when our PORTFOLIO starts showing more volatility (and not any individual stock)
Am I making any sense here? 
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