No. of Recommendations: 6
{Up_5pct} backtest results were better from 2011 to 2018 using the derived cash flow above.

{Up_5pct_badCF_SIP} uses [PCFsip] defined as
[[SI Price]/[SI Cash Flow/Share 12m]] from 19970902 to 20100514;
[[SI Price]/[SI Net Cash Change/Share 12m]] from 20100517 to 20190208]

{Up_5pct} uses [PCF] defined as
[[SI Price]/[SI (d) Cash Flow/Share]] from 20000331 to 20190208

Results from 20101231 to 20190208, 10 deep, 0.4% friction, 21 day hold were:

Screen             CAGR  TR   GSD  MDD  Sharpe
Up_5pct 12 159 23 -36 0.64
Up_5pct_badCF_SIP 6 59 18 -32 0.41
SP1500EqualWeight 11 140 19 -26 0.71


Total Return for Year Ending:  Up_5pct  Up_5pct_badCF_SIP  SP1500EW
20111230 -5 -12 -1
20121231 20 13 18
20131231 61 17 39
20141231 10 10 9
20151231 -2 -9 -5
20161230 30 19 24
20171229 23 11 14
20181231 -25 2 -10


http://gtr1.net/2013/?~Up_5pct:h21i1f0.4::styp.a:ne14!15!44!...
http://gtr1.net/2013/?~Up_5pct_badCF_SIP:h21i1f0.4::styp.a:n...
http://gtr1.net/2013/?~SP1500EqualWeight:h63i1::sp1500.a:et1...

PCF: ratio(sprc,cfps12mq1d.s)
PCFsip: pref(ratio(sprc,nccps12m.s),ratio(sprc,cfps12m.s))
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