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URL:  https://boards.fool.com/over-the-same-10-year-period-from-492009-34180226.aspx

Subject:  Re: momentum screens Date:  4/12/2019  2:33 PM
Author:  FLARAM Number:  273866 of 275344

Over the same 10 year period from 4/9/2009 3ptRelValue assuming a
0.3% Slippage had been respectable if not spectacular. I've been using
a modified version of this with results slightly less than the backtest.


w/o BCC w/ BCC GSPC
CAGR: 18.7 17.0 12.9
GSD(20): 19.3 18.8 13.6
LDDD3: 6.8 7.6 8.4
MDD: -26.5 -25.9 -19.8
UI(20): 7.1 8.1 4.4
Sharpe(20): 1.1 1.0 1.0
Beta(20): 0.9 0.8 1.0
AT: 11.4 11.7 0.0



Jim mentioned sales and ROE did well. The LowPS+ screen has also
held up decently ( CAGR 16.9 with 0.3% friction over the same period)

RAM
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