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Author: numerous One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254098  
Subject: Re: Benchmark MI port link updated Date: 5/15/2014 4:32 PM
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This is a nice benchmark. A minor point is 3pt_Relative_Value uses [SI Price/CFPS]. The definition of this field changed a few years ago.
See http://boards.fool.com/sipros-cash-flow-per-share-changeprob...
Maybe just drop the cash flow field for this screen.

Statistics are calculated from 19870302 to 20140514 over daily closing portfolio values for all 21 cycles of Variant 0.

3pt_Relative_Value (with cash flow): CAGR 28, GSD 29, DD 16, Sharpe 0.95
http://gtr1.backtest.org/2013/?h21f0.40000::styp.a:ne14!15!4...

2pt_Relative_Value (without cash flow): CAGR 29, GSD 28, DD 15, Sharpe 0.98
http://gtr1.backtest.org/2013/?h21f0.40000::styp.a:ne14!15!4...
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