Post #4485 by rayvt on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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Oh... Darn darn darn darn darn.
I thought about it a little more.

It is always the case than H >= P and H >= L, therefore P >= L.

Ranking formula: P / ((H + L)/2)
or: P / M, where M is the midpoint between H and L

Simplifying to P/(H+L), the extremes are L == H and L == 0 (zero), since P will never be higher than H.

Since H always moves up when P moves up, the formula looks somewhat like H/(H+L), which looks like the factor L is the dominating factor.

In that case, maybe we could change the ranking formula to "P/L", which reads "how far the current price is above the 52 week low."

Running several different gtr1 backtests,
Summary:
L only and H+L have about the same CAGR. H+L has slightly lower GSD.

CAGR, 2003 to 2025
All 100 : 13.5%  GSD 22%
Top 10:  L only: 23%           H+L: 22%
GSD T10: L only: 34%           H+L: 28%


CAGR, 1990 to 2025
All 100 : 14.1%  GSD 27%
Top 10:  L only: 24%           H+L: 26%
GSD T10: L only: 42%           H+L: 34%

10-HTD-15 has about the same CAGR and GSD but with 3/4 lower turnover.

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