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Would SI-Pro work better? I'm a long time voldemort aficionado, but this is tempting me to throw in the towel.

Here's a step toward an answer. I've attempted to replicate Jim’s original ROE_Cash screen (no dividend criterion) using SI and CPiT data.

As a first step I used MCap top 1700. Admittedly this will not replicate the VL universe, but as Jim indicated large cap stocks should generally rise to the top in ROE_Cash screening.

In both URLs I attempted to use Robbie’s derived (*d.c and *d.s) fields where appropriate. I backtested over the interval from 19970902 to 20100601, which is common to CPiT and SI.

Here are the results:

Average ROE_Cash_SI ROE_Cash_CPiT
CAGR 11.5388 10.7471
GSD(20) 29.1350 23.0162
DIGSD(20; 0%) 32.3887 25.3770
LDD(20; 0%) 18.1481 14.4165
LDDD3 16.4984 14.0752
MDD -57.2831 -53.4873
UI(20) 19.9528 15.4811
Sharpe(20) 0.4428 0.4563
Beta(20) 1.2093 1.0704
TI(20) 9.2616 8.7625
AT 2.2199 1.4249

CAGR is greater using SI. Risk numbers (LDD, LDDD3, MDD & UI) are better using CPiT. AT is lower using CPiT. I believe that CPiT is a better data source than SIPro for this screen, but I don't have a lot of experience using CPiT, and I'll defer to Robbie if he disagrees.

http://gtr1.net/2013/?~ROE_Cash_CPiT:s19970902e20100601h42f0...
http://gtr1.net/2013/?~ROE_Cash_SI:s19970902e20100601h42f0.4...

I don't have authorization for historic screening using GTR1, so I can't compare past CPiT picks and associated data fields to those from SI. Similarly, I no longer have a VL subscription, so I can't compare SI picks to VL picks. And, of course, (thanks to Lord V's lawyers) I can't backtest over the same interval using VL.

I never expect to find a data source that is sufficiently complete, current, consistent, correct, and cheap. But, observations like those posted earlier in this thread led me to drop my VL subscription years ago. I could never figure out how to get VL numbers to agree with company-posted GAAP/non-GAAP numbers.

Eric
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