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URL: http://boards.fool.com/robbie-pointed-out-that-you-can-count-the-number-30535699.aspx
Subject: Re: New screen - votes needed	Date: 2/11/2013 2:21 AM
Author: TopLineFirst	Number: 241536 of 267780
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: Shrink No Shrink CAGR 50.0 47.9 GSD(20) 30.5 30.0 AT 8.1 7.9 Not bad either way. TLF Depth 0 1 2 3 4 5 6 7 8 9 10 Total Number Passing at Depths 1 through 10 1997 0 0 0 0 0 0 0 0 0 0 850 850 1998 0 0 2 3 12 15 12 28 0 9 2370 2451 1999 0 0 0 0 0 0 0 0 0 0 2520 2520 2000 0 0 0 0 0 0 0 0 0 0 2520 2520 2001 0 0 0 0 0 0 0 0 0 0 2480 2480 2002 0 0 0 0 0 0 0 0 0 0 2520 2520 2003 0 0 0 0 0 0 0 0 0 0 2520 2520 2004 0 0 0 0 0 0 0 0 0 0 2520 2520 2005 0 0 0 0 0 0 0 0 0 0 2520 2520 2006 0 0 0 0 0 0 0 0 0 0 2510 2510 2007 0 0 0 0 0 0 0 0 0 9 2500 2509 2008 0 0 0 0 48 140 156 203 168 135 1220 2070 2009 0 0 0 9 12 15 42 70 48 99 2090 2385 2010 0 0 0 0 0 0 0 0 0 0 2520 2520 2011 0 0 0 0 0 10 36 98 64 126 2080 2414 2012 0 0 0 0 0 5 12 21 16 36 2380 2470 2013 0 0 0 0 0 0 0 0 0 0 260 260 Depth 0 1 2 3 4 5 6 7 8 9 10 Total Frequenccy of Passing at Depths 1 through 10 1997 0 0 0 0 0 0 0 0 0 0 85 85 1998 0 0 1 1 3 3 2 4 0 1 237 252 1999 0 0 0 0 0 0 0 0 0 0 252 252 2000 0 0 0 0 0 0 0 0 0 0 252 252 2001 0 0 0 0 0 0 0 0 0 0 248 248 2002 0 0 0 0 0 0 0 0 0 0 252 252 2003 0 0 0 0 0 0 0 0 0 0 252 252 2004 0 0 0 0 0 0 0 0 0 0 252 252 2005 0 0 0 0 0 0 0 0 0 0 252 252 2006 0 0 0 0 0 0 0 0 0 0 251 251 2007 0 0 0 0 0 0 0 0 0 1 250 251 2008 0 0 0 0 12 28 26 29 21 15 122 253 2009 0 0 0 3 3 3 7 10 6 11 209 252 2010 0 0 0 0 0 0 0 0 0 0 252 252 2011 0 0 0 0 0 2 6 14 8 14 208 252 2012 0 0 0 0 0 1 2 3 2 4 238 250 2013 0 0 0 0 0 0 0 0 0 0 26 26
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