Ges:
Is 5 years as far back as their test period goes?

On the p123 website their backtest shown goes back to 10/2015.
I put some more constraints on the universe:
AvgDailyTot(50) > 250000
Country("USA,CAN") = TRUE
Universe(MasterLP) = FALSE
RBICS (INSURANCE, REALESTATE, BANKS) = FALSE //Industries that use slightly different financial statements
StaleStmt = 0 //True when there’s no data in the database for the latest period that is publicly available
!CoName("*Trust")

I then tested it back to 10/2007 to include the 2008 drawdown.
CAGR 22%
Sharp 0.9
MaxDD 47.8%
Alpha 10%
The $250K minimum average daily total means larger portfolios might have to spread buys out over a few days.

Ges:
Are you trading pre-built P123 screens or developing your own screens there for actual trading?

I would never use a prebuilt screen unless it used only very liquid equities.

Until 3 months ago I had been building a ML (machine learning) system using P123’s tools. But DW’s health and old age intervened, and I put active investing on hold while we are moving into a continuing care retirement community. Yesterday was the first time I opened up p123 to see my ML and other simulations were doing.
For the last 3 months and probably the next month or two, I’m temporarily investing in an automatic diversified TAA strategy using Allocate smartly. My plans are to return to more active investing and start using my ML system on P123 which still looks very promising when I have more time.

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.