Subject: Re: standard SIP screen postmortem
Many of these screens worked for several years. LastGood10y is the most recent date that the screen (10 deep, 21 day hold, 0.4% friction) 10-year average total return was higher than a S&P 1500 equal weight benchmark. Discovery is the date the screen was first posted. Life is LastGood10y minus Discovery.
For example, from 20081003 to 20181005 {NetNetsGrahamified} average total return was 266, and {SP1500ew} average total return was 272. (There is significant start date variability, with {NetNetsGrahamified} total return ranging from 57 to 640 for the 21 different start dates.)
Screen Discovery LastGood10y Life
Shrinkage 22-Feb-2003 4-Dec-2023 21
FCF26 16-Mar-2004 11-Jan-2024 20
POI 22-Jan-2005 11-Jan-2024 19
Up_5pct 18-Mar-2004 21-Oct-2022 19
Fried_500 19-Nov-2005 4-Jan-2024 18
WK_Voom 12-Feb-2006 11-Jan-2024 18
Up5X3 28-Apr-2006 11-Jan-2024 18
Low_Mult 12-Feb-2006 3-Jul-2023 17
LowPSplus 12-Jun-2006 2-Oct-2023 17
NetNetsGrahamified 6-Dec-2001 5-Oct-2018 17
RS_100 20-May-2006 16-Jun-2022 16
High_Relative_Value 24-Jun-2004 15-May-2020 16
Microcap_Momentum 10-Nov-2003 29-Mar-2019 15
AdvancedHelper 11-Apr-2006 30-Jun-2021 15
Bob 11-Apr-2006 1-Feb-2021 15
Advanced 11-Apr-2006 22-Apr-2020 14
PS_ILoveYou 27-Dec-2004 24-Sep-2018 14
Value_at_the_Top 18-Oct-2002 5-Apr-2016 13
Silver_Parachute 17-Jan-2004 18-Apr-2017 13
3pt_Relative_Value 15-Aug-2004 18-Oct-2017 13
Incoming_Cash 20-Dec-2006 22-Jan-2020 13
Gentle_Screamers 28-Jul-2003 29-Feb-2016 13
ARS 16-Nov-2003 14-Jan-2016 12
PIH_Naked 26-Feb-2004 18-Dec-2015 12
Small_Value 20-Nov-2001 3-Dec-2012 11
Quality_Earnings 17-Feb-2005 22-Jan-2016 11
Turnarounds 27-Jan-2004 5-Nov-2014 11
78RPM 12-Feb-2004 6-Oct-2014 11
BI 29-May-2006 2-Aug-2016 10
GS_PCF 23-Jul-2007 6-Sep-2017 10
GSX 12-Feb-2006 17-Mar-2016 10
GSX2 24-Apr-2006 2-May-2016 10
Zweig_26 20-Jul-2002 27-Jun-2012 10
OptiMan 7-Mar-2001 1-Dec-2010 10
VG_Horse 5-May-2013 12-Oct-2022 9
LowPSvol 19-Nov-2007 27-Mar-2017 9
Melange 10-Feb-2004 24-Jan-2013 9
Blue_Skies 27-Apr-2010 2-May-2018 8
Money_Flow 24-Jan-2007 9-Sep-2014 8
POG 15-Apr-2004 30-Nov-2011 8
YLDEARNYEAR_SI 21-May-2015 2-Dec-2022 8
SP_Peg 26-Jul-2003 29-Jul-2010 7
CANSLIM_26 2-Feb-2003 30-Nov-2009 7
Steady_Growth 19-Sep-2002 13-Jul-2009 7
GS_Mungo 29-Nov-2005 26-Apr-2012 6
GS_Mungo_Voom 29-Nov-2005 13-Mar-2012 6
Z26saTA 12-Apr-2006 26-Jan-2012 6
Rabbitt 10-Oct-2012 1-Jun-2018 6
HighOnVolume 3-Jan-2011 10-Nov-2015 5
Dipstick 12-Jan-2009 11-Nov-2013 5
VG_Zebra 25-Jan-2013 6-Apr-2017 4