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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: Peter_N ✸  😊 😞
Number: of 6243 
Subject: Re: call for more research
Date: 09/11/26 11:23 AM
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No. of Recommendations: 7
In playing around backtesting screens on Portfolio 123, I've found that using one of their pre-defined ranking systems to do the final selection of stocks can improve performance significantly.

With this in mind, I modified lizgdal's YEY26 screen definition to select 50 stocks rather than 10. Then, on the screen's 'Settings' page I added the 'Core: Value' ranking system, and set 'Max # Stocks' to 10. I also changed 'PIT Method - Prelim' (preliminary financial data) to 'Use', because this booted the backtest results a bit.

I backtested this for one year (09/01/2025 - 09/01/2026) with rebalance every 4 weeks. This generated a return of 62.69%.

Backtesting from 01/01/2021 - 09/01/2026 (as far back as my subscription allows) produced the following results:

Ann Ret:    39.39%
Max DD: -25.25%
Sharpe: 1.26
Sortino: 1.75
Std Dev: 24.34%
CorBench: 0.6 (correlation with S&P500)
R-Squared: 0.36
Beta: 0.96
Alpha: 20.74

To be clear, I tried a bunch of ranking systems, and some reduced returns significantly.

As an aside, as a mechanical investor, I'm usually only dimly aware of the names of the companies my screens pick. I certainly don't keep track of what industries they might be in.

--Peter
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This community has written 6,224 posts about Mechanical Investing. The article-length ones it recommended most:
Dividend investing · 52 recs · 2025
Non-Mag7 screen · 34 recs · 2025
OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
Rankings for 19Dec2022 · 29 recs · 2022
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