No. of Recommendations: 17
One year GTR1 backtest results for standard SIPro screens (monthly hold 5) are below. Sorted by CAGR.
(From 20230707 to 20240708, 21 day hold, 0.4% friction, 5 deep.)
The short screen results have no friction and are held long (negative results are better).
I included blends of the short screens (20% short screen combined with 80% S&P 500 market cap weight index).
Average of all 51 long screens underperformed the S&P 500 indexes, but outperformed the S&P 1500 benchmark. There was a wide range of results, with CAGR ranging from -38 to 67. (Standard deviation of CAGR for the 51 screens was 20.)
Screen CAGR GSD Sharpe Beta AT
FCF26 67 29 1.88 1.7 5
Incoming_Cash 54 22 1.78 0.9 5
VG_Horse 48 43 1.09 1.2 6
Quality_Earnings 42 31 1.20 1.3 7
Blue_Skies 41 43 0.97 0.9 8
Small_Value 40 20 1.56 0.1 6
Fried_500 37 10 2.79 0.4 2
Dipstick 36 18 1.53 0.2 12
POI 33 37 0.87 1.5 7
Rabbitt 29 25 0.96 1.0 10
Value_at_the_Top 26 20 1.00 0.3 7
BI 24 22 0.82 0.6 11
VG_Zebra 22 38 0.59 1.0 7
Steady_Growth 20 11 1.27 0.6 2
3pt_Relative_Value 18 20 0.71 0.8 12
Shrinkage 17 16 0.75 0.6 2
HighOnVolume 16 37 0.36 1.0 12
HighRelativeValue 16 20 0.49 0.8 12
YldEarnYear_SI 15 22 0.52 0.3 7
LowPSplus 15 41 0.30 1.4 11
GS_PCF 14 23 0.43 0.8 11
LowPSvol 13 20 0.43 0.8 12
POG 12 30 0.34 1.5 6
LowMult 11 25 0.29 0.8 9
GS_Mungo 11 21 0.35 0.8 12
WK_Voom 11 28 0.32 0.5 8
Silver_Parachute 11 19 0.33 0.4 6
GS_X 11 23 0.20 0.9 10
GS_Mungo_Voom 10 21 0.28 0.8 12
Bob 8 19 0.21 0.9 2
ARS 6 14 0.11 0.4 8
Zweig_26 6 16 0.05 0.5 3
CANSLIM_26 5 22 0.05 1.3 8
Gentle_Screamers 5 30 0.03 1.3 12
Money_Flow 4 28 -0.05 0.7 9
Up5X3 3 25 -0.02 0.9 12
PS_ILoveYou 1 18 -0.21 0.6 7
Z26saTA 1 17 -0.25 0.6 3
78RPM 0 32 -0.13 1.2 8
NetNetsGrahamified -1 37 -0.18 1.2 5
Up5pct -3 29 -0.27 1.2 11
AdvancedHelper -4 30 -0.28 1.0 9
Turnarounds -6 31 -0.36 0.9 11
OptiMan -6 28 -0.34 1.3 2
Advanced -8 24 -0.64 0.7 9
GS_X2 -8 22 -0.66 0.8 9
RS_100 -8 25 -0.57 0.7 11
Melange -14 33 -0.59 1.4 7
SP_Peg -16 23 -1.05 1.4 5
PIH_Naked -24 49 -0.78 1.8 12
Microcap_Momentum -38 92 -0.76 2.1 11
The_Mirror_s 9 68 0.26 2.8 11
HIAR_s 3 43 0.05 2.1 10
Negative_FCF_s -13 43 -0.49 1.6 10
Current_Ratio_s -69 66 -2.48 1.7 9
Dilution_s -85 87 -3.26 1.1 9
blend_Dilution 62 15 3.32 0.6 1
blend_Current_Ratio 51 13 2.97 0.6 1
blend_Negative_FCF 30 11 2.12 0.6 1
blend_HIAR 26 9 2.03 0.5 1
blend_The_Mirror 24 13 1.51 0.4 1
SP500MktCapWeight 29 12 1.80 1.0 0
SP500EqualWeight 13 14 0.55 1.0 0
SP1500EqualWeight 10 17 0.31 1.1 0
Averages CAGR GSD Sharpe Beta AT
avgLongScreen 12 27 0.35 0.9 8
avgShortScreen -31 61 -1.18 1.8 10
avgShortBlend 39 12 2.39 0.5 1
avgIndex 17 14 0.89 1.0 0
