Subject: Re: 1 Year SIP Backtests to 2024 July
I'd be interested to read in email or a quick call the approach you took in Excel, if you'd be up for it.

GTR1 Universe Builder could be used: http://www.datahelper.com/mi/s...

I am using a more manual approach for now, because I am still developing the methods, and so want to see the intermediate results and be able to adjust parameters on a local computer. I will post links to some of these spreadsheets when I get a chance. There's nothing particularly special in these methods, they are just lots of straightforward calculations. (I hope to switch over to python at some point. The Excel files are about 30MB for 60 screens over 30 years, and so a reasonable computer setup is needed.)

My current workflow:

1. Use GTR1_Journal_2024.xlsm to generate results. Download portfolio values using the macro OpenURLs. (Journal old version is at http://www.datahelper.com/mi/s... )

2. Use python code to average the cycles. (Averaging the monthly returns would be better.) (based on Volition's code at http://www.datahelper.com/mi/s... )

3. Copy and paste the averaged portfolio results into Results.xlsb. Run a macro to generate look-back metrics and look-forward results.

4. Copy and paste the look-back metrics and look-forward results into BacktestWWL.xlsb with sheets:
LB: the look-back metric with a column "knownOn" and a column for each screen.
SR: the subsequent return with a column "buyDate" and a column for each screen.
picks: the SR for the top 10 screens.
sum: summary statistics
Chart1: a chart of the average SR and the top 10 picks SR.