I'd be interested to read in email or a quick call the approach you took in Excel, if you'd be up for it.

Here is the Excel spreadsheet I use to backtest WWL (about 30MB). There are no macros. The formulas use the EXCEL function IFERROR to deal with missing data.

Look-back is 1 year. Look-forward is 21 market days. I chart excess return (monthly return minus benchmark return). This collection of screens worked until 2008, and WWL boosted the monthly returns even higher, but this collection has not worked since 2008.

This WWL backtest does not include the switching costs when moving from one screen to another.

Excel file MIscreenBacktest20240108.xlsb:
https://www.dropbox.com/scl/fi/1j9b8lagsm1zy2q2zyg...

Chart image MIscreensWWLbacktest20240108.png:
https://www.dropbox.com/scl/fi/pjrlhusc34qlzztzjw0...

The worksheet includes summary statistics on each screen: number of times picked (out of 9015 market days from 19880229 to 20231206), and average subsequent monthly excess return (compared to the Benchmark: S&P 1500 equal weight).

      screen         count  avgER
      VG_Horse       2942   2.3%
     LowPSplus       2558   1.3%
NetNetsGrahamified   2240   1.4%
  AdvancedHelper     2224   2.4%
    HighOnVolume     1918   2.3%
  YldEarnYear_SI     1895   1.3%
      WK_Voom        1882   1.7%
    Blue_Skies       1810   2.1%
      Advanced       1600   1.2%
  Silver_Parachute   1443   0.8%
       78RPM         1430   2.3%
     Fried_500       1408   0.2%
   PSLove_You     1349   0.7%
        POI          1289   0.4%
      VG_Zebra       1218   0.2%
 Microcap_Momentum   1214   0.0%
     Shrinkage       1112   -0.3%
      Low_Mult       1033   1.6%
3pt_Relative_Value    935   0.6%
        POG           812   3.3%
      RS_100          753   1.5%
       FCF26          750   0.1%
      OptiMan         664   -0.8%
       Up5X3          649   0.1%
 SP500MktCapWeight    644   0.4%
      Dipstick        639   0.2%
      Melange         634   -0.3%
        Bob           606   -0.2%
      Up_5pct         599   -0.7%
  Gentle_Screamers    581   0.1%
      GS_PCF          560   -1.0%
     PIH_Naked        544   2.8%
   Incoming_Cash      499   1.0%
  Quality_Earnings    493   0.9%
High_Relative_Value   468   0.7%
      Zweig_26        448   -2.4%
      Rabbitt         415   -0.2%
  SP500EqualWeight    396   0.1%
   Steady_Growth      379   -0.4%
    Small_Value       329   0.2%
    CANSLIM_26        245   -0.8%
      LowPSvol        202   0.3%
      Z26saTA         192   -1.1%
    Turnarounds       191   -0.5%
      GS_Mungo        182   0.1%
   GS_Mungo_Voom      170   -1.6%
        ARS           158   -3.0%
  Value_at_the_Top    143   -2.3%
    Money_Flow        117   0.1%
        GSX2          111   1.5%
        GSX            97   0.9%
        BI             57   -2.1%
      SP_Peg           10   -0.2%

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