Post #2733 by platykurtic on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Nice work, especially for an Annual screen (low trading for those that are taxed)!

Just adding the standard BCC (and a small change to 252 trading days for reasons - doesn't change the results really) to (mostly) reduce the moderately frequent negative years already improves the GscoreHigh screen to ...

Results				
Statistics are calculated from 19880302 to 20241108 over daily closing portfolio values for all 252 trading cycles.				

  			Avg 		Min 		Max 		SD 
 				
CAGR: 			15.028172	14.20667	15.926455	0.29794
TR: 			16984.583984	12976.708984	22527.361328	1629.75708
Log2TR: 		7.410031	7.030856	7.821925	0.137083
SAWR(20; 0.95): 	10.612482	9.939157	11.330691	0.300106
GSD(20): 		18.980368	18.355295	19.567358	0.24761
DIGSD(20; 0%): 		21.148109	20.386206	21.979813	0.377738
LDD(20; 0%): 		11.445286	11.032278	11.952506	0.22102
LDDD3: 			8.119306	7.436218	8.881767	0.268355
MDD: 			-38.182415	-46.089619	-33.897877	2.281894
UI(20): 		11.809819	10.573466	13.663349	0.571028
Sharpe(20): 		0.731354	0.683201	0.77604		0.015233
Beta(20): 		0.783587	0.7678		0.801364	0.007492
TI(20): 		16.158493	15.192879	17.07169	0.333716
AT: 			1.107518	1.064199	1.148228

Slightly higher CAGR (+1.36pp), lower GSD (-2.93pp), circa +1.5 SAWR & lower drawdowns (-38.2 vs. -57.2) at the expense of greater AT (1.11 vs. 0.63)(but you'd mostly want to trade to cash at those times anyway). A fine starting point for a screen (perhaps needs a final sort).

https://gtr1.net/2013/?~GscoreHigh:h252f0.1::Gscor...

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