Post #3191 by RAMc on the Mechanical Investing board

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No. of Recommendations: 11

Here is a version I believe is from Boris version of Jim’s ROE_Cash screen on GTR1 with a top 30 htd 45:

From 19870302 to 20250225 with a 42 day hold CAGR was 16.6%, Annual Turnover 1.34, Sharpe 0.75

https://gtr1.net/2013/?~ROE_Cash_noFinance_with_cr...

For the last 10 years CAGR has been 15.7%, Robbie’s ^S5T SP500 equivilent was 13.0%

And for the last 5 years CAGR has been 16.9%, Robbie’s ^S5T SP500 equivilent was 15.7%

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