No. of Recommendations: 8
There was a post in 2016 listing returns for {ROEPLOW} and {ROIC}. I made SIP versions. {ROEPLOW} has inconsistent results, maybe because of the zero dividend criteria. {ROIC} might outperform the market by about 2. A ranked version {rankROTC} does better. Results (5 deep, 0.4% friction, 21 day hold):
Screen CAGR GSD MDD UI Sharpe From To
ROEPLOW 12 28 -48 16 0.53 20060526 20160527
ROIC 8 25 -59 26 0.43 20060526 20160527
ticker_SPY 7 23 -55 17 0.40 20060526 20160527
ROEPLOW_SI 14 24 -48 14 0.71 20060526 20160527
ROTC_SI 10 25 -57 22 0.50 20060526 20160527
SP1500EqualWeight 9 25 -60 14 0.45 20060526 20160527
rankROTC 12 26 -56 22 0.56 20060526 20160527
ROEPLOW_SI 6 22 -36 12 0.31 20131231 20231229
ROTC_SI 11 22 -42 14 0.55 20131231 20231229
SP1500EqualWeight 9 23 -42 8 0.49 20131231 20231229
rankROTC 12 24 -46 16 0.57 20131231 20231229
ROEPLOW_SI 13 30 -78 33 0.47 19870302 20240116
ROTC_SI 13 26 -60 22 0.52 19870302 20240116
SP1500EqualWeight 11 22 -60 11 0.50 19870302 20240116
rankROTC 16 28 -62 23 0.61 19870302 20240116
2016 results are from: Comparing GTR1 results and Weekly Trade Ledgers, 06/01/2016
http://www.datahelper.com/mi/search.phtml?nofool=y...https://gtr1.net/2013/?~ROEPLOW_SI:h21f0.4::styp.a...https://gtr1.net/2013/?~ROTC_SI:h21f0.4::styp.a:et...https://gtr1.net/2013/?~rankROTC_20240120_lizgdal:...Define {ROEPLOW}
Uses [Domicile Code] [Div'd Yield] [% Retained to Common Equity] [Market Cap $ (Mil)] [Total Return 26-Week]
Deblank [Domicile Code] [Div'd Yield] [% Retained to Common Equity] [Market Cap $ (Mil)]
Keep :[Domicile Code]="us"
Keep :[Div'd Yield]=0
Keep :[% Retained to Common Equity]>20
Sort Descending [Market Cap $ (Mil)]
Top :15 PlusTies
Deblank [Total Return 26-Week]
Sort Descending [Total Return 26-Week]
; Top :5
End
Define {ROEPLOW_SI}
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: country is U.S.
step4: [Div] == 0
step5: [Equity] > 0
step6: [ROE] > 0.2
step7: [MktCap] Top 15
step8: [Total Return % over 126 days; lag=1 days] Top 5
Define {ROIC}
Uses [Return on Total Capital] [Market Cap $ (Mil)] [Total Return 13-Week] [Total Return 26-Week] [Total Return 1-Year]
Deblank [Return on Total Capital] [Market Cap $ (Mil)]
Keep :[Return on Total Capital]>=25
Sort Descending [Market Cap $ (Mil)]
Top :20 PlusTies
Deblank [Total Return 13-Week] [Total Return 26-Week] [Total Return 1-Year]
Create [RSW] :.4*[Total Return 13-Week]+.3*[Total Return 26-Week]+.3*[Total Return 1-Year]
Sort Descending [RSW]
; Top :5
End
Define {ROTC_SI}
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: [ROTC] > 0.25
step4: [Equity] > 0
step5: [MktCap] Top 20
step6: [RSW] Top 5
Define {rankROTC}
Create [sumRanks]: [[rMC] + [rROTC] + [rMo]]
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: [Equity] > 0
step4: [sumRanks] Top 5
