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Investment Strategies / Mechanical Investing
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Author: lizgdal ✶🐝  😊 😞
Number: of 5383 
Subject: Re: Rankings for 1Dec2025
Date: 12/08/25 12:19 PM
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Can somebody figure out how to backtest this with GTR1?

gtr1 uses SIP fields, and so is not quite the same as the version using VL fields. But the SIP screen backtest has a slightly higher CAGR compared to the benchmarks, with about the same GSD.


https://gtr1.net/2013/?~LargeCapCash_Div_20200524_...

step0: [Security Type; lag=1 days] == 0,10,11,12,18,30,31,48
step1: [Mkt Days Since Security Opened; lag=1 days] >= 1265
step2: [MktCap] Top 1700
step3: [Div] > 0
step4: [ROE] Top 30%
step5: [CashLessLTDebt] Top 45
step6: [CashLessLTDebt] Top 40; Cash When Fewer
Holding period = 42 mkt days
Hold while passing step5
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 6 holding periods

from 19870302 to 20251128:
Screen             CAGR  GSD  MDD  Sharpe
LargeCapCash_Div    13   19   -51   0.64
SP500MktCapWeight   11   18   -54   0.55
SP500EqualWeight    11   20   -60   0.52
SP1500EqualWeight   11   22   -60   0.50

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