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Author: tpoto Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 783  
Subject: Re: Nice blend Date: 12/13/2009 2:00 PM
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A fairly simple one that was modified from MI post 219601-
http://boards.fool.com/Message.asp?mid=27927957

I just added a switch to get into money market when the
market turns down.

The drawdown is quite low (low teens).

A CAGR of 4 times that of the S&P with slightly better (i.e., lower)
GSD is pretty nice and a positive CAGR-2sigma to boot.

                Screen         S&P

CAGR 32.06 8.22
GSD 14.55 16.53
Sharpe 1.80 0.34

CAGR+3sigma 98.50 71.25
CAGR+2sigma 73.29 46.95
CAGR+1sigma 51.28 26.11
CAGR-1sigma 15.29 (7.14)
CAGR-2sigma 0.65 (20.31)
CAGR-3sigma (12.14) (31.62)

Winning stocks 2,418.00
Average gain 8.86
Losing stocks 1,439.00
Average loss (6.30)

4540 trades 18 per period

Screen S&P Difference
1989 65.6 35.2 30
1990 14.6 (4.8) 19
1991 73.5 30.8 43
1992 44.7 7.1 38
1993 42.6 10.2 32
1994 17.7 1.5 16
1995 51.0 38.7 12
1996 48.2 23.2 25
1997 34.8 27.9 7
1998 31.7 34.5 (3)
1999 36.3 18.4 18
2000 13.6 (10.8) 24
2001 11.0 (9.3) 20
2002 20.7 (22.1) 43
2003 61.7 28.5 33
2004 27.1 10.2 17
2005 32.8 7.5 25
2006 40.5 13.8 27
2007 15.7 5.6 10
2008 3.2 (39.4) 43
2009 14.0 7.2 7


Using a histogram and comparing the monthly return with the S&P, you can
see that only the there were only a few (5) months in the -5 to -10%
and nothing worse.
 
Bin Screen S&P
-20% 0 0
-15% 0 1
-10% 0 3
-5% 5 18
0% 36 75
5% 143 115
10% 49 30
15% 12 4
More 1 0




http://backtest.org/bt.csv?8909SWsp(STtb)(BL(EGPLOW_PE_E)13p...

Note: that the resulting screen picks in the output are "masked" due to
the CashWhileYouWaitBalance screen being a SB screen and not
in mghens' weekly screen ranking list.
You can take out that particular screen though and
get a unmasked backtested list of picks.
Also yields excellent results.

http://backtest.org/bt.csv?8909SWsp(STtb)(BL(EGPLOW_PE_E)13p...

                Screen         S&P

CAGR 31.0 8.2
GSD 14.0 16.5
Sharpe 1.8 0.3

CAGR+3sigma 94.0 71.2
CAGR+2sigma 70.2 47.0
CAGR+1sigma 49.3 26.1
CAGR-1sigma 15.0 -7.1
CAGR-2sigma 0.9 -20.3
CAGR-3sigma -11.5 -31.6

Winning stocks 2085.0
Average gain 8.5
Losing stocks 1228.0
Average loss -6.0

3697 trades 15 per period
Screen S&P Diff
1989 64.7 35.2 29.5
1990 9.5 -4.8 14.3
1991 70.8 30.8 40.0
1992 43.6 7.1 36.6
1993 36.7 10.2 26.6
1994 13.5 1.5 12.0
1995 52.8 38.7 14.1
1996 48.1 23.2 25.0
1997 38.4 27.9 10.5
1998 33.8 34.5 -0.7
1999 41.5 18.4 23.2
2000 16.9 -10.8 27.7
2001 13.4 -9.3 22.8
2002 19.4 -22.1 41.6
2003 45.6 28.5 17.1
2004 28.3 10.2 18.1
2005 34.8 7.5 27.3
2006 31.0 13.8 17.2
2007 16.0 5.6 10.4
2008 4.3 -39.4 43.6
2009 13.2 7.2 6.0


Note: In case the urls have a problem-
8909SWsp(STtb)(BL(EGPLOW_PE_E)13p1(LOWPE_ZLTDA)13p1(PEG-Minimalist)13p1(PIH_CSO_simple)13p1(YLDEARNYEAR)13p1(SomeMoC)13p1(CashWhileYouWaitBalance:SBT12XparG0IcflG0IOOindE6210CVOindL6000CVOindGE6800CCIOtasG0CIOltdLcesMcsoM5CXparFOpegV0CT110XcflDmcpT75Xr13T3)p1)125p3c-2


8909SWsp(STtb)(BL(EGPLOW_PE_E)13p1(LOWPE_ZLTDA)13p1(PEG-Minimalist)13p1(PIH_CSO_simple)13p1(YLDEARNYEAR)13p1(SomeMoC)13p1)125p3c-2
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