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No. of Recommendations: 20
One year GTR1 backtest results for standard SIPro screens (monthly hold 5) are below. Sorted by CAGR.
(From 20181231 to 20191231, 21 day hold, 1 day risk interval , 0.4% friction, 5 deep.)
The results for all screens are held long. No shorting, timing, or blending here.
The short screen results have no friction.
See post 272939 for screen definitions.

Screen                CAGR  GSD  Sharpe   type
Steady_Growth 55 19 2.55 screen
Shrinkage 34 18 1.70 screen
OptiMan 29 20 1.40 screen
YldEarnYear_SI 26 22 1.19 screen
Zweig-26 26 18 1.33 screen
Advanced 22 44 0.50 screen
Quality_Earnings 21 27 0.81 screen
Bob 19 21 0.86 screen
Fried_500 18 23 0.83 screen
POG 17 29 0.66 screen
Money_Flow 16 16 0.88 screen
BI 16 24 0.69 screen
Value_at_the_Top 15 16 0.89 screen
Melange 15 27 0.61 screen
Small_Value 14 25 0.61 screen
Z26saTA 14 15 0.86 screen
Microcap_Momentum 14 53 0.37 screen
GSX 13 24 0.56 screen
ARS 13 15 0.78 screen
WK_Voom 13 28 0.46 screen
Net-Nets_Grahamified 12 69 0.28 screen
FCF-26 12 20 0.61 screen
High_Relative_Value 11 18 0.57 screen
Up5X3 10 23 0.39 screen
CANSLIM-26 10 24 0.44 screen
GS_Mungo_Voom 8 23 0.35 screen
RS-100 8 25 0.32 screen
Low_Mult 7 25 0.28 screen
GS_Mungo 6 22 0.28 screen
VG-Horse 5 19 0.22 screen
Turnarounds 5 30 0.19 screen
Up_5pct 4 21 0.19 screen
VG-Zebra 4 10 0.19 screen
GS_PCF 4 24 0.10 screen
LowPSvol 0 17 -0.04 screen
P/S_I_Love_You 0 22 -0.04 screen
LowPS+ -1 29 -0.03 screen
S&P_Peg -1 20 -0.09 screen
GSX2 -1 25 -0.05 screen
Incoming_Cash -1 25 -0.09 screen
3pt_Relative_Value -2 18 -0.22 screen
Rabbitt -2 26 -0.08 screen
POI -4 24 -0.18 screen
Silver_Parachute -7 23 -0.39 screen
PIH_Naked -8 35 -0.28 screen
Gentle_Screamers -8 27 -0.34 screen
78RPM -16 24 -0.82 screen
Blue_Skies -18 28 -0.76 screen
AdvancedHelper -18 39 -0.75 screen
Dipstick -19 38 -0.57 screen
HighOnVolume -26 34 -0.96 screen

Current_Ratio_s 13 58 0.45 short
Dilution_s -54 50 -1.81 short
HIAR_s 25 35 0.80 short
Negative_FCF_s 6 49 0.14 short
The_Mirror_s 15 53 0.39 short

SP500MktCapWeight 31 13 2.09 index
SP500EqualWeight 30 14 1.94 index
SP1500EqualWeight 25 16 1.40 index
WER 25 15 1.50 index

Averages CAGR GSD Sharpe
avgLongScreen 8 25 0.34
avgShortScreen 1 49 -0.01
avgIndex 28 15 1.73
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