WWL can also be backtested using GTR1 Universe Builder, as discussed in this post: http://www.datahelper.com/mi/search.phtml?nofool=y...

I built a GTR1 Universe using the 51 MI long screens (10 deep, 0.4% friction, 21 day hold). (I started the universe with the latest starting date among all screens 20011231.) I ran these gtr1 WWL screens, downloaded portfolio values, averaged across the 21 cycles, and calculated excess 21-bar returns. I charted the results, and the results were almost identical to the Excel spreadsheet.

There are 51 base screens * 21 cycles = 1071 possible investments

{SIPscreens10deep20240716_ALL} picks all 1071 investments.
ScreenCAGR: avg(cagr(1,252),screen,step0)
ScreenCAGR >= -100
dspo(1) >= 252

{SIPscreens10deep20240716_cagr1yr_PICK5} picks 5 base screens * 21 cycles = 105 investments.
ScreenCAGR: avg(cagr(1,252),screen,step0)
ScreenCAGR >= -100
dspo(1) >= 252
ScreenCAGR top 105


SIPscreens10deep20240716_ALL
http://gtr1.net/2013/?!!QlpoMTFBWSZTWWTZomUAdcJfgH...

SIPscreens10deep20240716_cagr1yr_PICK5
http://gtr1.net/2013/?!!QlpoMTFBWSZTWfS2UGMAdcvfgH...

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