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Subject:  YEY in GTR1 SI universe Date:  2/23/2013  3:21 PM
Author:  lholger Number:  241839 of 252710

In an attempt to learn GTR1 backtester, I have been playing a round with
a version of YldEarnYear that uses the SIPRO universe available in the
GTR1 backtester. I thought I might share the screen here in case someone
else is also interested:

Create [pri]: [daily SI-adjusted Price; share_lag=0 days; quote_lag=2 days]
Create [dy]: [[SI Dividend 12m; lag=1 days]/[pri]]
Create [ey]: [[SI EPS 12m; lag=1 days]/[pri]]
Create [dolvol]: [[Actual Average daily Vol 63d; lag=1 days]*[Actual
closing Price; share_lag=1 days; quote_lag=1 days]]
step0: [pri] > 0
step1: [SI Dividend 12m; lag=1 days] > 0
step2: [dolvol] > 500000
step3: [[dy]*[ey]] Top 2.5%
step4: [[Simple Moving Avg over 10 days; lag=5 days]/[Simple Moving Avg
over 10 days; lag=250 days]] Top param0; Long, Cash When Fewer
Holding period = 20 mkt days; Fully rebalance every 1 periods

English translation:

Step 0: keeps only stocks whose prices are positive.
        Surprisingly large number of stocks in SI database (on average)
        do not pass this test.
Step 1: keeps only stocks that have positive dividend per share in the
        most recent 12-month period
Step 2: keeps only stocks that have average daily dollar volume greater
        than $500 000
Step 3: keeps only stocks whose dividendyield * earningsyield is in the
        top 2.5%.
        The "top 2.5%" is copied from the YldEarnYear+ screen,
        introduced by rgearyiii in post 223044. The application of
        dividendyield * earningsyield instead of dividendyield/PE was
        recommended by mungofitch in post 233213.
Step 4: keeps the top N stocks based on total return one year. 
        In post 233603, mungofitch recommended replacing the start and
        end prices from the standard "total return one year" with
        average prices in a short window at both ends. Thus, 
        “ratio(sma(5,10),sma(250,10))” rather than “trp(10,250)”

Results 19970902 - 20130221:

Top 10:
                Avg		Min		Max		SD
CAGR:		23.68749	21.44209	25.22231	1.018383
TR:		2551.366	1885.571	3081.83		324.7257
GSD(20):	23.42388	22.06922	24.41732	0.590944
DD(20):		14.11683	12.2295		15.23777	0.790606
MDD:		-61.3755	-67.8336	-57.3486	2.729219
UI(20):		12.29897	10.18248	15.21874	1.344861
Sharpe(20):	1.002443	0.912618	1.063362	0.039502
Beta(20):	0.788164	0.740639	0.83628		0.021357
TI(20):		26.94475	23.93127	28.5264		1.274667
AT:		4.682557	4.573779	4.830008	0.077697

It seems to work pretty well also with larger daily dollar volume
cutoffs. However, the results are nowhere near as good as YldEarnYear+,
which should be a fair benchmark for this screen because both are
essentially YEY on a larger (approximately equally large) stock
universe. Would anyone have any comments on why the SIPRO version is no
match to the VL+ version? Any suggestions on how to improve the screen
so that the results would better match the YEY+ results?

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