Subject: standard SIP screen postmortem
The standard MI SIP screens have underperformed recently. As a group, they underperformed since 2009. Average annual return (where excess return = average CAGR of 51 long screens - all_SIP):
1988 2009
avg annual return to 2008 to 2023
excess_return 23% -2%
avg_51_SIP_screens 35% 11%
S&P_1500_eq_wgt 12% 15%
all_SIP 11% 13%
The screen {all_SIP} includes most SIP stocks (about 4000). After 2009, the standard SIP screens have been close to average, with underperformance because of friction (average AT of 8 times 0.4 friction = 3.2 lost to friction). The change was sudden: with no underperforming years before 2009, 16% excess return in 2008, and -13% excess return in 2009.
Each year's CAGR for the 51 standard long SIP screens (21 day hold, 0.4% friction, 5 deep) :
year 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
excess_return 2% 5% 17% 14% 19% 21% 20% 23% 21% 24% 21% 37% 49% 40% 25% 58% 20% 22% 14% 25% 16% -13% -1% 0% 2% 10% -4% -1% -5% -1% -3% -17% -16% 15% 10% -5%
avg_51_SIP_screens 25% 26% 3% 62% 32% 35% 16% 54% 38% 45% 19% 67% 41% 47% 7% 110% 41% 29% 33% 25% -24% 25% 25% -7% 19% 50% 1% -7% 13% 17% -15% 7% 2% 31% -10% 11%
S&P_1500_eq_wgt 20% 26% -12% 35% 15% 15% 1% 28% 21% 27% 6% 11% 14% 10% -15% 44% 19% 8% 16% -1% -36% 46% 26% -1% 18% 39% 9% -5% 24% 14% -10% 25% 14% 31% -13% 15%
all_SIP 23% 21% -13% 48% 13% 14% -4% 31% 17% 21% -2% 30% -9% 7% -18% 52% 20% 7% 19% 0% -40% 38% 26% -7% 17% 40% 5% -6% 18% 18% -12% 24% 17% 15% -20% 16%
3pt_Relative_Value 21% 16% 7% 35% 30% 30% 10% 57% 33% 32% 18% 23% 86% 50% 54% 140% 79% 21% 58% 7% -15% 30% 19% -13% 33% 65% 29% -10% 15% -10% 0% -1% -19% 12% -15% 46%
78RPM 25% 4% -3% 83% 23% 40% 77% 86% 87% 82% 43% 73% 21% 35% -13% 67% 81% 3% 28% 60% -2% -30% 27% -30% 1% 16% -13% -13% -7% 3% -22% -19% 10% 51% 6% -27%
Advanced 38% 32% 20% 88% 71% 43% 19% 61% 79% 55% 11% 180% 31% 68% 41% 101% 34% 37% 33% 23% 26% 12% 20% -5% 38% 57% 6% -16% 7% 8% -2% 13% 9% 25% -16% -11%
AdvancedHelper 48% 15% 4% 109% 56% 40% 15% 107% 11% 77% 2% 477% 68% 90% -31% 219% -4% 36% 38% 50% -24% 119% 12% -8% 67% 44% -13% -7% 4% 30% -24% -19% -9% 27% -24% -18%
ARS 22% -10% 21% 5% 1% 26% 40% 22% 36% 20% -19% 7% 23% 12% 14% 16% -6% -11% -2% 8% -19% 13% 3% 19% 2% 5%
BI 17% 22% 6% 36% 7% 15% 4% 71% 44% 25% 13% 30% 74% 78% 19% 111% 64% 37% 24% 2% -6% 8% 27% -1% 27% 52% -2% -12% 14% 3% -7% 14% -30% 14% -6% 14%
Blue_Skies 10% 12% 34% 97% 63% 37% 56% 58% 36% 26% 19% 81% 61% 109% 31% 248% 60% 47% 65% 51% 2% 17% 16% -17% -3% 78% 5% 4% 23% 23% -17% -18% -29% 46% -3% 20%
Bob 77% 14% 62% 39% 47% 58% 20% -41% 14% 23% 5% 13% 39% 27% -7% 36% 28% -17% 18% -7% 15% -20% 35%
CANSLIM_26 1% 113% 23% -7% -18% 17% 0% 8% 11% 16% -44% 23% 15% -5% -9% 23% -19% 5% 5% 47% -21% 8% 11% -1% -25% 5%
Dipstick 24% 39% -18% 25% 3% 24% 13% 32% 46% 24% -35% 36% 75% 2% 15% 54% 64% 53% 12% 20% -55% 50% 20% -12% -7% 1% -43% -30% 28% -11% -25% -17% -31% 36% 54% 14%
FCF26 16% 35% -30% 34% 29% 23% 6% 58% 21% 44% 81% 69% 14% -4% -38% 69% 25% 24% 28% 37% -44% 8% 9% -22% 3% 27% 4% 13% 7% 20% -1% 12% 57% 41% -5% 26%
Fried_500 57% 27% -7% 37% 23% -1% -10% 24% 11% 55% 24% 8% 26% 67% -4% 30% 6% 31% 20% -23% -43% 103% 19% -8% 31% 88% 14% 27% 5% 17% -13% 18% -3% 44% 25% 35%
Gentle_Screamers 14% 33% 1% 75% 64% 51% 29% 59% 48% 28% 24% 156% 16% 62% -9% 124% 22% 39% 30% 8% -12% 3% 53% -22% 28% 63% -7% -35% 14% 16% -23% -9% -8% 30% -25% 17%
GSX 15% 6% 5% 37% 15% 11% 5% 85% 55% 28% 6% 44% 92% 78% 11% 95% 67% 18% 22% 3% -2% 16% 22% -6% 17% 54% 12% -21% 9% -8% -21% 14% -10% -10% -21% 26%
GSX2 3% 61% 35% 98% 19% 145% 59% 5% 43% 17% -21% 9% 29% -6% 7% 66% 11% -18% 18% 5% -20% -2% -34% 14% -18% -6%
GS_Mungo 19% 43% 10% 34% 22% 22% 7% 45% 40% 61% 19% 42% 32% 13% -9% 53% 19% 15% 7% 7% -17% 7% 17% -14% 24% 29% 5% -8% 4% 16% -11% 6% -17% 31% -18% 12%
GS_Mungo_Voom 16% 43% 11% 32% 22% 21% 5% 45% 39% 63% 17% 44% 29% 13% -9% 50% 21% 18% 6% 7% -17% 4% 15% -13% 20% 26% 5% -10% 3% 15% -12% 8% -13% 32% -20% 10%
GS_PCF 20% 29% 2% 53% 30% 34% 4% 57% 43% 58% 18% 39% 32% 33% -15% 76% 45% 43% 62% 21% -7% 5% 45% -18% 32% 75% 26% -13% 0% 18% -12% 1% -30% 46% -30% 4%
HighOnVolume 33% 30% 25% 78% 44% 67% 34% 54% 64% 55% 28% 126% 30% 77% 10% 113% 65% 46% 27% 46% -15% 21% 17% -25% 40% 38% -7% -40% 13% 15% -8% -23% 33% 8% -10% 12%
High_Relative_Value 4% 24% -3% 30% 18% 12% -5% 55% 21% 31% 25% 88% 67% 37% 26% 124% 26% 8% 48% 10% -29% 9% 46% 1% 26% 61% 17% 3% 31% 12% -13% 8% -19% 15% -5% 20%
Incoming_Cash 1% 147% 44% 26% -13% 83% 17% 25% 26% -12% -23% 15% 52% -12% 41% 41% 5% -12% 17% 27% -34% -1% -13% 33% -24% 11%
LowPSplus 58% 14% 5% 119% 62% 55% 19% 92% 83% 87% 6% 50% 39% 39% 29% 158% 31% 48% 16% 35% -19% 62% 33% -24% 34% 68% 12% -6% 25% 18% -2% -5% -3% 74% -17% -1%
LowPSvol 26% 37% 8% 31% 33% 37% 23% 34% 36% 26% 19% 30% 46% 46% 20% 83% 44% 14% 37% 8% -16% 24% 25% -5% 13% 67% 5% -5% 12% 10% -13% 1% 6% 8% -13% 2%
Low_Mult 24% 37% 0% 78% 33% 36% 13% 31% 36% 47% -3% 42% 36% 46% 36% 187% 77% 41% 44% 22% -20% 24% 9% -8% 31% 76% 30% -12% 13% 6% 0% 11% 23% 60% -23% 9%
Melange 18% -3% 66% 25% 33% 9% 64% 48% 41% -14% 121% 2% 43% -20% 106% -4% 31% 36% 77% -46% -3% 1% -23% -15% 33% -20% 9% 21% 54% -17% 14% 58% -2% -26% -3%
Microcap_Momentum 6% 235% 9% -8% -5% -24% -22% 160% 27% 2% 11% 111% -3% -30% -15% 26% -9% 23% 12% 32% -14% -3%
Money_Flow 3% 28% 71% 32% 8% 106% 21% 4% 38% 49% -23% 13% 10% -16% 4% 33% -6% -7% 5% 12% -13% 18% -1% 39% -24% -8%
NetNetsGrahamified 15% -6% -3% 27% 54% -3% 76% 62% 38% 44% 54% 127% -7% 38% 16% 144% 84% -33% 49% 5% -29% 218% 66% -6% -28% 23% -19% -37% -23% 94% -31% 11% 142% 2% -56% -2%
OptiMan 4% 2% 34% 28% 10% 23% 20% -2% 13% -9% -38% 47% 28% 13% -4% 22% 4% -17% 28% 7% -8% 29% -16% 42% -1% 2%
PIH_Naked 6% 245% -4% 18% -22% 54% 10% 32% 3% 32% -9% 31% -8% -11% 26% 39% 13% -7% 9% 10% 13% -20% -1% -9% -51% -26%
POG 115% 129% 21% 38% -16% 132% 12% 10% 28% 18% -7% -25% -6% 1% 9% 56% -19% -34% 14% 34% -23% 18% 12% 7% -25% 28%
POI 20% 19% -5% 36% 3% 32% 6% 57% 35% 73% 16% 8% 37% 88% 29% 178% 66% 10% 31% 31% -16% -23% 33% -27% 43% 26% 0% -16% 19% 48% -12% -4% -13% 91% 0% 14%
PS_ILoveYou__ 41% 47% 2% 83% 47% 49% -5% 78% 41% 46% -11% 9% 98% 44% 36% 110% 44% 10% 25% -21% -27% 31% 6% 5% 35% 29% 3% 17% 10% 3% -27% 1% -15% 57% 2% 1%
Quality_Earnings 9% 21% 2% 47% 17% 85% -11% 50% 30% 36% 45% 17% 29% 54% -3% 182% 52% 17% 78% 54% -27% -16% 18% -1% 19% 41% 26% 0% 14% -14% -10% 25% 9% 14% -12% 38%
Rabbitt 46% 29% 66% 38% 8% 181% 36% 63% 27% 35% -19% 12% 80% -9% 26% 79% -15% -3% 26% 8% -27% -5% 10% 50% -17% 17%
RS_100 21% 18% 14% 76% 45% 54% 19% 52% 28% 44% 27% 93% 5% 91% 21% 116% 56% 59% 20% 23% -9% 22% 46% -17% 39% 83% -9% -15% 46% 21% -19% 6% 19% 49% -22% 1%
Shrinkage 78% 29% -10% 14% 8% 27% 8% 43% 23% 53% 10% 16% 13% 18% 16% 49% 13% 6% 27% 10% -46% 29% 24% 13% -18% 91% -12% 0% -1% 31% -3% 36% 40% 28% -32% 7%
Silver_Parachute 13% 38% -2% 78% 54% 59% 2% 21% 30% 14% 2% 11% 24% 67% 22% 116% 104% 13% 28% 66% -29% 29% 70% -11% 9% 3% -3% 9% 13% 4% -13% -6% -40% 65% 45% 6%
Small_Value 11% 50% 3% 52% 16% 51% 5% 28% 17% 20% 15% 71% 45% 81% 53% 75% 23% -5% 48% 42% -37% 19% -3% -12% 31% 46% -17% 4% 5% 22% -25% 12% -8% 81% 33% 7%
SP_Peg -11% 28% 39% -1% 2% 63% 36% 31% 11% 3% -53% 13% 17% -13% 4% 67% 18% -1% 8% 20% -35% -1% -17% 12% -7% -4%
Steady_Growth 31% -1% 84% -18% -6% 58% 11% 3% 10% 14% -24% -5% 21% -9% -9% 18% 7% 13% -1% 21% -18% 56% -23% -2% -22% 26%
Turnarounds 33% 13% -27% 85% 33% 28% 17% 50% 38% 41% 9% 25% 1% 48% -29% 63% 37% 35% 30% 17% -55% 30% 33% -23% 38% 11% 13% -11% 43% 7% -38% 4% 29% 1% -4% 15%
Up5pct 21% 71% 44% -30% 7% 61% 39% 55% 12% 33% -38% 4% 34% -14% 20% 75% -1% -9% 30% 42% -30% 5% -4% 62% 1% 22%
Up5X3 18% 26% 96% 11% 1% 109% 51% 64% 20% 23% -34% 23% 48% -1% 28% 69% -1% -8% 44% 13% -3% 13% -6% 50% -8% 40%
Value_at_the_Top 10% 45% -12% 35% 23% 37% -12% 40% 13% 41% -2% 23% 57% 12% -7% 71% 14% 26% 76% 3% -21% -2% 18% -10% 22% 45% 12% 3% 16% 7% -1% 14% -6% 28% -20% 12%
VG_Horse 20% 42% 34% 89% 31% 36% 40% 53% 46% 61% 73% 48% 57% 123% 21% 276% 48% 99% 107% 99% -4% 22% 40% 5% 24% 78% 1% -2% 20% 32% -18% 7% 6% 26% -5% 42%
VG_Zebra 21% 27% 40% 92% 51% 25% 41% 63% 18% 43% 45% 40% 38% 61% 4% 233% 58% 72% 75% 42% 11% 43% 24% 4% 6% 81% -9% -8% 6% 10% -7% 3% -1% 36% -13% 37%
WK_Voom 24% 23% 6% 106% 15% 34% 10% 36% 22% 60% 17% 37% 6% 163% 34% 151% 152% 37% 37% 46% -29% 35% 24% 15% 52% 65% 14% 16% 33% 24% -8% 19% -11% 73% 5% -6%
YldEarnYear_SI 26% 9% -5% 111% 26% 40% 14% 41% 22% 10% 25% 0% 52% 62% 51% 99% 29% 47% 53% 151% -25% 9% 46% 20% 54% 60% 6% 18% 2% -6% -19% 27% -11% 51% 13% 2%
Z26saTA -16% 86% 27% 49% 34% 15% -44% 22% -3% -6% 10% 61% -19% -6% -19% 3% -11% 14% 41% 6% -7% 4%
Zweig_26 -14% 83% 43% 58% 4% 3% -49% -2% 5% 18% -2% 22% -7% 9% -2% 15% -17% 22% 8% 17% -18% 20%
=== links ===
Define {allSIP}
Create [Shares]: [[CPiT (d) Com Shares Outstanding Q1; lag=1 days] 19870302 to 19970829; [SI Shares Average Q1; lag=1 days] 19970902 to 20240111]
step0: [Security Type; lag=1 days] == 0,10,11,12,18,30,31,48,71,72
step1: [Mkt Days Since Security Opened; lag=1 days] >= 10
step2: [[Average g-volume over 10 days; lag=1 days]/[g-price to Actual Price multiplier; lag=1 days]] > 10000
step3: [Actual closing Price; share_lag=1 days; quote_lag=1 days] > 1
step4: [Shares] > 0; Cash When None
Holding period = 63 mkt days
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
https://gtr1.net/2013/?~allSIP...
definitions of 60 standard SIPro screens:
51 long screens, 5 short screens, 4 index screens.
http://www.datahelper.com/mi/s...
Post-Discovery Performance of the SI Pro screens, January 20, 2007
"many SI Pro screens do significantly outperform the Russell 2000, while not a single SI Pro screen significantly underperformed the Russell 2000."
http://www.datahelper.com/mi/s...
Post-Discovery Performance of the SI Pro screens, August 21, 2010
"about half of the 42 screens presented here outperform the general market"
http://www.datahelper.com/mi/s...