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Investing/Strategies / Mechanical Investing
|Subject: Re: Weekly ledger backtest||Date: 12/13/2012 6:46 AM|
|Author: DrBob2||Number: 240532 of 256568|
First at the end of each year you found the best 5 and worst 5 ranked by TTM CAGR. Next you found the average performance for the selected best and worst performers over the next 12 months. If that is the case there appears to be a mean reversion with respect to a 12 month look back.
My motivating question was whether it is worthwhile to select screens from the top of the weekly ledger listing.
Gritton's backtester has monthly screen granularity, and it shows the beginning date of each cycle. I used Bill's weekly ledger results for the same date (or the nearest earlier one) the find out which screens had the best and worst performance over the previous 12 months. The backtester then showed me the returns for monthly cycle.
This was basically a test of What's Working Lately and What's not Working Lately. Using a 12-month lookback does not appear to add value; perhaps a shorter period would.
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