Subject: Re: roe cash screens
Eurika! Robbie’s GTR1 backtester in case you hadn’t noticed is up and running!!!
But running ROE_Cash_boris with the same parameters I used (14 days (10 market days)) hold 12 till
Drop 15 and using Monday trading only had a 2023 CAGR of 40.4% (daily starts 36.5 to 42.8) which is 9% less than my backtester shows.
My version was a simpler version that only used SIP factors and for simplicity used Friday impossible to trade price data.

ROE_Cash elann was even better in 2023 with a 45.8% CAGR

As always I defer to Robbie’s GTR1 statistically superior results.

RAM