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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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Interesting, the R2000 was up a little under 20%
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No. of Recommendations: 3
Thanks borisnand; and for your previous similar posts.

Your results for 2017, post 272998
Averages2017 CAGR MDD SDcg
avgLongScreen 16 -18 12
avgShortScreen 21 -25 20
avgIndex 21 -4 1.2

Your post for results for 2018, post 272943
Averages CAGR MDD SDcg
avgLongScreen -16 -32 10.0
avgShortScreen -39 -53 11.9
avgIndex -7 -23 0.6

RAM
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No. of Recommendations: 0
Thanks for doing that-

A real disappointing eye opener-

Only two screens beat the S&P500 index.

Wonder what's up. Some key criteria they
are all missing???

Does a timing factor need to be added
(MACD, RSI, ADX, MA, etc.)?

Is the 21 day hold too short, too long
to be effective?

Maybe GTR1 can solve this mystery...
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No. of Recommendations: 4
I have been running some histograms of fundamental factor advantages over the last 2 years compared
to the histograms average for the previous 20 years. Some are dramatically different! Shorter
momentum results have been whiplashed to almost unusable but longer term >= one year still give
outperformance. Some like PE, EBITDA/EV and PFCFPS are inconsistent and on average completely
upside down. Price / Sales nice for 20 years now just noise.
Somehow the institutions seem to know what they’re doing the top 80% of stocks selected by higher
institutional ownership consistently outperformed.

Overall a very upside-down confusing (at least for me) environment.
RAM
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RAM-
Yes to that short term poor performance. Haven’t checked in a while but I
remember looking at about
50 screen stocks; when they dropped below the 25 day MA they then fell off the cliff. A mad dash to get off the profit train.

Although, I never
did follow up to see if they subsequently recovered - to your holding longer term finding.
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No. of Recommendations: 1
This board found useful and relatively simple screens using a few motivated, but unpaid
people. Since every hedge fund/insurance co./pension manager has better data sources, and, presumably, excellent programs and researchers, all surely have discovered our tools and more.
They also might use deep learning AI, high speed trading, and on and on, to try to be the best. But reading how the average hedge funds performance has also dropped, it's clear the data or the methods used to mine it have essentially been squeezed to the limit.

So do we have any advantages left? Maybe patience? Many programs are built for trading, so, perhaps we should use screens that outperform using long holds, that is, with little trading, as your results seem to indicate?

rrjjgg
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No. of Recommendations: 0
This was the best year for hedge funds since 2013!

Here is a graph (you have to scroll down a bit):

https://ritholtz.com/2020/01/10-thursday-am-reads-269/

Baltassar
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This makes me feel a lot better in a *sick* way. I used three main screens, and they came in at 12%,-3% and 30%. It's been like this since 2008. Something is going on here. I think it's Game Theory. Many of the players in the game know what we know, with the democratization of data. The "advantage" of our screens have been arbitraged away. The market is efficient. Only stubborn pride and hope has kept me in MI.

Many MF managers are closet indexers. Perhaps it's better to do what they do and go 90% index and 10% MI. Back to Bitcoin, anyone???

DoesMIWork
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No. of Recommendations: 9
The SIP screen under-performance is odd. Many of these screens were developed from 2003 to 2006, but the under-performance does not depend on the year the screen was first posted. The average 2019 CAGR looks bad for most of year_posted.

year_posted  Count  Average_CAGR
2001 3 14
2002 3 21
2003 6 9
2004 11 7
2005 5 10
2006 13 10
2007 3 4
2009 1 -7
2010 1 -5
2011 1 -18
2012 1 1
2013 2 3
2015 1 24


Other screen collections I have did fine in 2019. Not market beating, but not 10 points behind.
For comparison, I ran my collection of AAII screens: average CAGR 23, and 34 of 62 with CAGR above 20.
My collection of WER screens also did OK in 2019: average CAGR 25, and 76 of 96 with CAGR above 20.
My collection of non-GTR1 screens: average CAGR 25, and 5556 of 9308 with CAGR above 20.
The 11 screens I was using at the beginning of 2019: average CAGR 24, and 5 of 11 with CAGR above 20.
My collection of quant ETFs: average CAGR 25, and 52 of 67 with CAGR above 20.

The SIP screens 10 deep: average CAGR of 8, and only 7 of 51 with CAGR above 20.

Long SIP screens: 10 deep, 21 day hold, 0.4% friction. Results from 20181231 to 20191231:
Screen                CAGR  yearPosted  avgDepth
OptiMan 28 2001 11.7
Net-Nets_Grahamified 11 2001 9.6
Small_Value 2 2001 10.0
Steady_Growth 32 2002 7.1
Value_at_the_Top 17 2002 10.0
Zweig-26 14 2002 3.0
Shrinkage 20 2003 10.0
ARS 17 2003 10.0
CANSLIM-26 9 2003 9.0
Microcap_Momentum 6 2003 10.0
Gentle_Screamers 1 2003 8.7
S&P_Peg 0 2003 9.6
Melange 21 2004 10.0
POG 14 2004 10.0
High_Relative_Value 12 2004 10.0
FCF-26 11 2004 10.0
PIH_Naked 11 2004 10.0
Turnarounds 9 2004 10.0
3pt_Relative_Value 5 2004 10.0
Silver_Parachute 3 2004 10.0
Up_5pct 3 2004 10.0
P/S_I_Love_You -2 2004 10.0
78RPM -5 2004 10.0
Fried_500 28 2005 10.0
Quality_Earnings 19 2005 10.0
GS_Mungo 2 2005 8.7
GS_Mungo_Voom 2 2005 8.7
POI 1 2005 10.0
Advanced 22 2006 9.9
Bob 19 2006 9.8
BI 18 2006 9.8
Low_Mult 16 2006 9.8
GSX 13 2006 9.7
GSX2 8 2006 10.0
RS-100 8 2006 10.0
Up5X3 8 2006 10.0
WK_Voom 8 2006 9.1
Z26saTA 6 2006 3.2
Incoming_Cash 5 2006 10.0
LowPS+ 1 2006 9.8
AdvancedHelper -1 2006 10.0
Money_Flow 9 2007 7.0
GS_PCF 4 2007 8.4
LowPSvol -3 2007 10.0
Dipstick -7 2009 9.7
Blue_Skies -5 2010 7.4
HighOnVolume -18 2011 8.0
Rabbitt 1 2012 10.0
VG-Horse 3 2013 4.9
VG-Zebra 3 2013 1.8
YldEarnYear_SI 24 2015 10.0

average 8.5 9.1



Why did the SIP screens do so badly in 2019? Some screens were mostly in cash, for example VG-Zebra only had 1.8 picks on average with 8.2 positions filled with cash. But the average count for all SIP screens was 9.1 out of 10, and so the cash positions did not reduce CAGR by much. (The screens were not run in shrink mode.)

The SIP screens might be more similar than we think. Maybe they are mostly just slightly different variations of the same underlying investing idea.
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No. of Recommendations: 16
This makes me feel a lot better in a *sick* way. I used three main screens, and they came in at 12%,-3% and 30%. It's been like this since 2008. Something is going on here. I think it's Game Theory. Many of the players in the game know what we know, with the democratization of data. The "advantage" of our screens have been arbitraged away. The market is efficient. Only stubborn pride and hope has kept me in MI.

Many MF managers are closet indexers. Perhaps it's better to do what they do and go 90% index and 10% MI. Back to Bitcoin, anyone???


Yup, it's been quite depressing for the last few years. The question is can the huge outperformance of large cap growth stocks continue indefinitely, or will the trend reverse to small cap and value right after we throw in the towel?

In the mean time my 6/3 options just keep on going like the Energizer Bunny, for 20 years. In 2019 I gained 41% in a portfolio that is 2/3 cash and 1/3 options. In 20 years it's roughly a 20-bagger.

Elan
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Time to read up on 6/3 and start that, then. Is there a refreshed knowledge base on that, or is it pawing through 22 year old posts using datahelper?
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No. of Recommendations: 2
Time to read up on 6/3 and start that, then. Is there a refreshed knowledge base on that, or is it pawing through 22 year old posts using datahelper?

There's not much new, although I spelled out my strategy much more recently. It's never been backtested though due to the nature of the options.

Elan
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The question is can the huge outperformance of large cap growth stocks continue indefinitely, or will the trend reverse to small cap and value right after we throw in the towel?

As a whole, who knows? That is why I invest in individual equities.

AJ
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In the mean time my 6/3 options just keep on going like the Energizer Bunny...

Have the underlyings been more mega-cap, large-cap or mid-cap?

DB2
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No. of Recommendations: 3
Have the underlyings been more mega-cap, large-cap or mid-cap?

I can't say because I haven't classified them that way.

Here is a list of the underlying stocks for which I bought options in the last two years. If you could analyze it and share the results that would be great.

WLK
PJC
ODFL
CPRT
PHM
PJC
XPO
BYD
ASGN
MAR
GMED
ABMD
AMZN
NFLX
BA
CPRT
SODA
BR
HCA
EW
FTNT
RHT
ASGN
NSP
CHE
KFY
IMMR
ITGR
EHC
ICUI
WLL
DNR
BJRI
CVRR
NSIT
USNA
CNXN
WCG
SONC
NSP
FCN
KFRC
EHC
HELE
CTS
ERIE
XLNX
TR
O
CIEN
LSCC
KEYS
UBNT
XPER
CDNS
BLD
MSCI
CECO
MELI
ERIE
HEI
KMX
APD
BLD
TTEK
NVCR
SAH
GNRC
MKTX
AJRD
KLAC
CCMP
CRUS
TDY
MTH
SPAR
FORM
RH
SPXC
LKQ
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No. of Recommendations: 10
elann-

Regarding you list-

Took the 68 and got some
stats if you held them for 2019.

-The 10 largest cap. ($26B to $950B) did much much better than
 the 10 smallest cap. ($250M to $1B).

- Technology (mostly semi-conductors) was the place to be.

SECTOR   	 Avg of 2019 Returns    Count of Sector	 Max of Returns	 Min of Returns
Basic Materials	       -18.65%	            4	          48.93%	-75.31%
Consumer Goods	        57.55%	            4	         115.93%	10.60%
Financial	        33.96%	            4	          74.39%	16.38%
Healthcare	        19.17%	           11	         100.17%	-45.42%
Industrial Goods	58.16%	            8	         105.75%	-2.18%
Services	        39.36%	           20	          90.15%	-27.44%
Technology	        59.79%	           17	         190.41%	-18.44%

AVG                     40.75%
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No. of Recommendations: 3
Adding on to my previous post-

(Note if it wasn't so cold out that
limits me from playing golf, I would
not have spent time on this...)

Anyway, broke down elann's 68 stocks to 7 equal segments
(about 10 stocks each sorted by mkt. cap)
 
So, it looks like the not too big, not too small ones
did the best- in general; (e.g.,Goldilocks...)


Row Labels	Avg. return for 2019	   Avg. Mkt Cap
1	         35.89%	                  157,452,800,000 
2	         50.98%	                   18,557,600,000 
3	         36.81%	                    9,940,600,000 
4	         61.59%	                    5,147,200,000 
5	         47.14%	                    2,948,600,000 
6	         47.15%	                    1,532,800,000 
7	         -3.06%	                      713,208,750 

Avg.     	 40.75%	

(All done in finviz.com and Excel's pivot tables)
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Market capitalization performance ranking year by year

In recent years, small-cap indexes have outperformed large-cap indexes, although historically, each has taken turns leading the market.
This chart ranks the market-cap categories in order of performance, from first place to third.


      S&P 500  S&P MidCap 400  S&P SmallCap 600
2009 3 1 2
2010 3 2 1
2011 1 3 2
2012 3 1 2
2013 3 2 1
2014 1 2 3
2015 1 3 2
2016 3 2 1
2017 1 2 3


Source: Standard & Poor's. Based on annual returns from 2009 to 2017.
Large-cap stocks are represented by the S&P 500; mid-cap stocks by the S&P MidCap 400 Index; and small-cap stocks by the S&P SmallCap 600 Index.
These indexes are unmanaged and do not take into account the fees, expenses, and taxes associated with investing. Individuals cannot invest directly in any index.
Past performance cannot guarantee future results.

GD_
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No. of Recommendations: 1
Market capitalization performance ranking year by year...

Interesting table.
The rotation is really well mixed, except oddly the large caps never came in second.
Maybe that's because of the concentration? A few big stocks with a few big moves means either great or terrible?
Their rank position therefore has by far the highest variance among the three size buckets.

If relative position is your thing---
The average rank of the small caps is best of the three sizes in this table, in this stretch.
So, a small cap manager has lower career risk?

Jim
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No. of Recommendations: 2
Took the 68 and got some
stats if you held them for 2019.

AVG 40.75%


That's a pretty awesome return for an annual hold. I held the options on those in 2018-2019, on a rotating basis, each held about three months. The average un-annualized three month return of those I have already sold (all except the last 10 on the list) was 21.23%.

Elan
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No. of Recommendations: 3

Row Labels Avg. return for 2019 Avg. Mkt Cap
1 35.89% 157,452,800,000
2 50.98% 18,557,600,000
3 36.81% 9,940,600,000
4 61.59% 5,147,200,000
5 47.14% 2,948,600,000
6 47.15% 1,532,800,000
7 -3.06% 713,208,750

Avg. 40.75%


Seems to me that all except the bottom market cap group are in the same return ballpark. It may be reasonable, based on this, to exclude stocks with market cap under $1 billion.

Elan
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No. of Recommendations: 3
Message thread giving Elann’s 6/3 options strategy:

https://boards.fool.com/question-for-elann-63-options-329325...
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