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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: lizgdal ✶☼  😊 😞
Number: of 6243 
Subject: Re: Quality Screen
Date: 06/06/23 9:52 PM
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No. of Recommendations: 6
"23-yr P123 backtest 108,000% return" is a 50% CAGR. Sounds unlikely to be real. Some liquidity requirements are needed. Some questions:

1. How many start dates are in this backtest. Can you do a rolling backtest? What is the distribution of CAGRs for the different start dates? (standard deviation, minimum, maximum, count)
2. What is the CAGR in the last 10 years?
3. How does the screen do with the Prussell3000 universe?
4. What are today's picks?

Getting from -76% MDD to -55% MDD is easy. Just mix in 30% cash. The result would be 35% CAGR and -53% MDD.

What are the results for the following screen:

{lowPS_R3000}
universe is Russell 3000
[PS] Bottom 8

Is deblanking needed? (PS>0)
The CAGR should be negative, as this screen will pick many stocks going bankrupt. (A few of these will recover, and so if the backtest has survivorship bias the CAGR will be positive.)

Compare picks to the list from the screener barchart.com - Stocks screener

Russell 3000: "The smallest company in the index is Akoustis Technologies with a total market cap of $240.1 million"
content.ftserussell.com - Russell recon summary final
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This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
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OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
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