No. of Recommendations: 5
I agree with Elan in the assertion that you shouldn't make any general assumptions concerning screens based on bill2m's spreadsheet.

Bill2m has been posting the the results of weekly trading MI screens for a number of years. Quite an accomplishment.

I wanted to see how the best performing VL screens have done versus the worst. The test used the Trailing Twelve Month results for consistency, and looked at 5-stock monthly trading. Only long screens were considered and only those whose results could be found at gritton's backtester.

Here are the results for 2003 through 2011:

Best 5 Worst 5 SPY
2003 24% 58% 29%
2004 14 33 9
2005 44 14 3
2006 12 20 14
2007 15 - 4 5
2008 -62 -54 -38
2009 31 49 32
2010 31 12 15
2011 -23 - 4 2
.
CAGR 3% 8% 6%

DB2
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