No. of Recommendations: 9
If I correctly modified your gtr1 screen to the same dates and no HTD it shows:
CAGR: 12.6% (Cycle 196)https://gtr1.net/2013/?~S%26P%20top%2010%20annual:...That will only check BCC once a year. The settings are:
Hold all positions for a fixed interval of 252 market days between trading dates.
Only buy stocks when BCC>0 on the trading date.
Closing all positions when BCC=0, and buying monthly when cash is available improves CAGR to 16.7 from 19891229 to 20241231:
Define {SP500Mo210BCC_annual}
Create [Mo]: [Total Return % over 210 days; lag=21 days]
step0: [S&P 500 Member; lag=1 days] == 1
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [Rank by [Share Class #; lag=1 days] (Asc), grouped by [Permanent Company ID; lag=1 days], at step1] == 1
step3: [Mo] Top 5; Cash When Fewer
Holding period = 21 mkt days
Hold for at least 12 holding periods
Close all liquid positions on any market dates where [BCC] == 0
Rebalance to equal weight among new positions only
{SP500Mo210BCC_annual} will:
Hold all positions for a fixed interval of 21 market days between trading dates.
Hold if not held for at least 12 consecutive holding periods.
Close all liquid positions and hold cash on any market dates where BCC=0.
https://gtr1.net/2013/?~SP500Mo210BCC_annual:h21n1...
