Subject: Re: 1 Year SIP Backtests to 2023 December
{gWERindex24} and WERindex roughly agreed from 1992 to 2019, but WERindex shows lower returns since 2020. (WERindex data is from http://tradesim.info/chartdata... )
Date WERindex gWERindex24 ratio
19921231 138 1.37 100
20151231 8,269 81.00 102
20161230 9,442 92.91 102
20171229 11,610 114.25 102
20181231 10,681 105.06 102
20191231 13,742 134.86 102
20201231 17,807 179.54 99
20211231 22,440 234.44 96
20221230 15,434 173.18 89
20231229 18,041 220.41 82
year WERindex gWERindex24 difference
2016 14% 15% -1%
2017 23% 23% 0%
2018 -8% -8% 0%
2019 29% 28% 0%
2020 30% 33% -4%
2021 26% 31% -5%
2022 -31% -26% -5%
2023 17% 27% -10%
20231031 to 20231229 return: {gWERindex24} 22%, WERindex 15%
The screen I used was:
Define {WER}
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] >= 63
step2: [% Rank (tie-averaged) by [Average dollar-volume over 63 days; lag=1 days] (Asc) at step2] >= 50
step3: [WER Rank In List; lag=1 days] != null; Cash When None
Holding period = 21 mkt days
Frictional loss of 0.4% applied to all sales (closing long/opening short)
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.
https://gtr1.net/2013/?~WER:h2...
Define {gWERindex24}
step0: [WER Rank In List; lag=1 days] != null; Cash When None
Holding period = 1 mkt days
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.
https://gtr1.net/2013/?~gWERin...