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Author: FLARAM 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 252777  
Subject: Re: performance of screens Date: 2/12/2013 11:47 PM
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Here are results obtained by starting with a list of 28 screens plus cash which changed to 26
screens plus cash when short interest ratio became unavailable. The algorithm chooses screens
each month using only history to the selection time. No results are available the first year
until as there was no history to base selection on. One limitation of this logic is of course many
screens used were not developed until the '06-'07 time frame. I can obviously get better results
today by simply choosing the X best screens to date, but those screens were not necessarily
the obvious screens to pick for the early years. My objective was to develop a methodology for
choosing screens that would improve as more data became available.

The simple 9 month average gain/9 m GSD + Total long term average gain/GSD
Holding Screens ranked 2:6 (1:5 works almost as well but slightly higher GSD)
All screens have a 3mDDV of $600K which reduces gain but assures tradability.
45 CAGR, 26 GSD, 1.56 RRR4, 23 Ulcer, 34 MaxDD
1998-10m 28.80
1999 105.85
2000 70.60
2001 68.04
2002 29.52
2003 102.30
2004 81.64
2005 68.56
2006 59.59
2007 26.73
2008 -21.97
2009 32.44
2010 67.79
2011 -9.33
2012 31.60

RAM
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