Here is a first draft.
5-yr CAGR was 7.9 and 5-yr MDD -24.
gSPY 5-yr CAGR was 8.7 and MDD -34.

What are the average number of stocks passing each step? Comparing counts will help determine if these screens really are similar.

        passing
step0   3945.8
step1   1000.0
step2    475.2
step3    200.0
step4    170.4
step5    156.0
step6     44.8
step7     44.8
step8     41.4
step9     35.4
step10    17.9
step11    17.0
step12    8.0

{LowVolatility_LowPayout2023a}
step0: [Security Type; lag=1 days] == 10,11,18,48
step1: [rMktCap] <= 1000
step2: [Mkt Days Since Security Opened; lag=1 days] >= 6300
step3: [TR1-Volatility over 799 periods; lag=1 days] Bottom 200
step4: [TR1-Beta vs S&P500 over 799 periods; lag=1 days] < 1
step5: [Yield] > 0
step6: [SI Z Score Q1; lag=1 days] > 2.99
step7: [EPS] > 0
step8: [Payout] > 0
step9: [100*[Payout] - 1.25*[payout5yr]] <= 0
step10: [100*[Payout] - 1.25*[payoutInd]] <= 0
step11: [100*[Payout] - 1.25*[SI Payout - 7 Year Avg.; lag=1 days]] <= 0
step12: [Yield] Top 8
https://gtr1.net/2013/?~LowVolatility_LowPayout202...

SIP Altman Z is:
http://www.datahelper.com/mi/search.phtml?nofool=y...

P123 had 3 versions: Altman Z Score (three versions)
http://www.datahelper.com/mi/search.phtml?nofool=y...

Mechanical Investing FAQ

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