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Investing/Strategies / Mechanical Investing
|Subject: Re: New screen - votes needed||Date: 2/11/2013 2:21 AM|
|Author: TopLineFirst||Number: 241536 of 254120|
Robbie pointed out that you can count the number of stocks passing steps without screener mode by checking the "count" option. Download the spreadsheet for daily details. I did this for Robbie's simplified screen and processed the information to examine how often the target depth of 10 was satisfied by year. The results are presented in the tables at the bottom.
The interpretation has to do with the way the GTR1 backtester considers all possible start dates. Since there are roughly 252 trading days per year, the maximum number of stocks that can pass in a year at the target depth 10 is roughly 252*10 or 2520. To illustrate, consider 1998:
1 time only 2 stocks passed,
1 time only 3 stocks passed,
3 times only 4 stocks passed,
3 times only 5 stocks passed
2 times only 6 stocks passed
4 times only 7 stocks passed, and
1 time only 9 stocks passed, and
237 times the specified depth of 10 was satisfied.
In no year did fewer than 2 stocks pass. Years 2008, 2009, 2011 and 2012 were the most challenging in terms of the frequency with which the target depth of 10 was achieved.
Robbie invoked the shrink option. Since there was never a case in which fewer than 2 stocks passed, money was always equally distributed among passing stocks. If the shrink box is not checked, 1/10th is put cash for each unfilled position. The results comparison is:
Not bad either way. TLF
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