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Comparing Mungo’s old VGHorse slightly modified to the elann’s version of ROE_Cash screen.
Elann’s ROE_Cash screen is a hold 30 where VGHorse is usually run as a 20 day hold 5 or 10 but
even if you Intend to only hold a small number if the screen works for a larger hold there is more
assurance that the parameters are less likely to be data mined. VGGorse uses SIP fields only available
back to 1997. I modified VGHorse into a top 30 hold till drop 45 to try and better match the ROE_Cash
low turnover numbers. For comparisons both screens are run from 1997, 42 day period
and hold 30.

         ROE_Cash  Horse
CAGR 14.6 24.9
TR 2142 16415
SAWR 8.6 11.4
GSD 21.7 27.8
DIGSD 26.4 30.1
LDD 11.6 15.2
LDDD3 11.7 10.5
MDD -49.6 -47.4
UI(126) 14.0 12.0
Sharpe 0.7 1.0
Beta 1.1 0.8
TI 12.7 27.7
AT 1.1 5.7


And their yearly returns:
          ROE_Cash  Horse
19971231 5.3 4.5
19981231 63.0 31.6
19991231 58.6 110.6
20001229 -6.9 46.7
20011231 2.1 58.3
20021231 -17.2 13.7
20031231 37.7 133.7
20041231 17.1 50.0
20051230 7.8 28.3
20061229 13.9 48.4
20071231 12.6 36.7
20081231 -36.5 -33.7
20091231 43.3 37.7
20101231 22.1 25.2
20111230 2.5 -5.7
20121231 11.5 14.5
20131231 36.8 64.0
20141231 16.5 -0.5
20151231 -2.5 -6.4
20161230 15.6 22.9
20171229 32.5 14.2
20181231 0.3 -11.2
20191231 32.6 11.2
20200710 17.0 -9.6

http://gtr1.net/2013/?~ROE_Cash_noFinance_with_crap_filters:...

http://gtr1.net/2013/?~VG-Horse-T30HTD::styp.a:ne14!15!44!45...


Horse wins the CAGR and SAWR by a neck over this shorter 20 year period but
with a significantly higher GSD and turnover.

RAM
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