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No. of Recommendations: 1
If this attempt for a GTR1 screen is correct it doesn’t appear to work:
step0: [S&P 500 Member; lag=1 days] == 1
step1: [Total Return Multiplier over 252 days; lag=1 days] Top 125
step2: [SI EPS Est Q1-Std. Dev.; lag=1 days] Bottom 25; Cash When Fewer
Holding period = 20 mkt days
Frictional loss of 0.33% applied to all sales (closing long/opening short)
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.

Going back to the article - there's a hold-to-drop component of that screen that Rayvt didn't appear to pass on. A very quick check of just extending the hold period out to 252 days shows a little better performance, so that element may be critical (a flexible and longer hold period). From Seeking Alpha ...

High Momentum/High Predictability Portfolio

This highly predictable momentum portfolio uses the following criteria:

1. Stock must be in the upper 25% of momentum ranking to be considered.
2. Of the 125 potential momentum stocks, the 25 stocks with the lowest % Standard Deviation of earnings estimates will be purchased.
3. Stocks will only be sold if the momentum falls into the bottom half of the index.

I don't have the time right now, but a little later I might have a look at trying to add step 3 to the good start by RAMcn. I haven't used the hold-to-drop facility in GTR1 very much so it may take some time & some debugging.
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