Subject: Re: Profit latch & Advanced screen
Adding a 5% stop gain to {Advanced} leads to lower CAGR and lower GSD. GTR1 results from 19870302 to 20250324 (5 deep, no friction, 20 day hold):
Screen CAGR GSD Sharpe
Advanced 32 34 1.00
Advanced_05stopgain 21 21 0.97
The 5% stop gain led to higher Total Return in recent years:
YearEnding Advanced Advanced_05stopgain
20221230 -14 -3
20231229 -2 10
20241231 19 18
A stop gain can improve some screen results. For example, the 20% stop gain in {NetNetsNCAV21} greatly improves results. GTR1 results from 19870302 to 20250324 (10 deep, 2% friction, 30 month hold):
Screen CAGR GSD Sharpe
NetNetsNCAV21 32 50 0.76
NetNetsNCAV21_NoStopGain 3 74 0.27
Another example. Adding a 20% stop gain to {NetNetsGrahamified} improves results. GTR1 results from 19870302 to 20250324 (5 deep, 2% friction, 21 day hold):
Screen CAGR GSD Sharpe
NetNetsGrahamified 15 53 0.43
NetNetsGrahamified_20stopgain 21 44 0.57
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