Skip to main content
This Board Has Moved

This board has been migrated to our new platform! Check out the new home page at discussion.fool.com or click below to go directly to the new Board on the new site.

Go to the New Site
Message Font: Serif | Sans-Serif
 
No. of Recommendations: 15
I was looking for VL/MI screens that did well both
during the 2000-2002 downturn and 2003-2006 upturn.

Here's the SOS screen, that has a good history over that period,
with each of the 3 screens doing well on its own.

http://www.backtest.org/0006SS(PIH_CSO_simple)(YLDEARNYEAR2)(YEYPayout)5m10l15

One of the attributes that I like is that for just
about any combination of positions per screen and
limit of stocks, it has great returns. Not many screens
can do that. Even better, going from 1 to 6 month holds
seems not to put a dent in performance.

Here's some output from the above 5 position per screen, 15 stocks max.
 
Screen S&P

CAGR 43.66 1.25
GSD 16.20 15.37
Sharpe 2.26 (0.05)

CAGR+3sigma 125.40 55.47
CAGR+2sigma 93.98 34.76
CAGR+1sigma 66.93 16.81
CAGR-1sigma 23.63 (12.24)
CAGR-2sigma 6.40 (23.93)
CAGR-3sigma (8.44) (34.06)

Winning stocks 704.00
Average gain 8.11
Losing stocks 395.00
Average loss (6.22)
Winning percentage 64.1%

852 trades 10.2 per period

YEAR Screen S&P Difference
2000 44.29 (10.80) 55.1
2001 74.42 (9.35) 83.8
2002 33.63 (22.14) 55.8
2003 37.90 28.46 9.4
2004 47.90 10.24 37.7
2005 41.62 7.51 34.1
2006 30.01 13.79 16.2

If I have the chance, I'll try to calculate the 2007 returns-
unless someone else has the inclination to do so.

Another thing to do is to convert the 3 screens to a Zacks format
and try a combo. I know that the YEYPayout screen conversion does great.
Print the post  

Announcements

When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.