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Author: TopLineFirst One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252205  
Subject: Re: New screen - votes needed Date: 2/11/2013 2:21 AM
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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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