Subject: 1 Year SIP Backtests to 2024 July
One year GTR1 backtest results for standard SIPro screens (monthly hold 5) are below. Sorted by CAGR.
(From 20230707 to 20240708, 21 day hold, 0.4% friction, 5 deep.)
The short screen results have no friction and are held long (negative results are better).
I included blends of the short screens (20% short screen combined with 80% S&P 500 market cap weight index).
Average of all 51 long screens underperformed the S&P 500 indexes, but outperformed the S&P 1500 benchmark. There was a wide range of results, with CAGR ranging from -38 to 67. (Standard deviation of CAGR for the 51 screens was 20.)
Screen CAGR GSD Sharpe Beta AT
FCF26 67 29 1.88 1.7 5
Incoming_Cash 54 22 1.78 0.9 5
VG_Horse 48 43 1.09 1.2 6
Quality_Earnings 42 31 1.20 1.3 7
Blue_Skies 41 43 0.97 0.9 8
Small_Value 40 20 1.56 0.1 6
Fried_500 37 10 2.79 0.4 2
Dipstick 36 18 1.53 0.2 12
POI 33 37 0.87 1.5 7
Rabbitt 29 25 0.96 1.0 10
Value_at_the_Top 26 20 1.00 0.3 7
BI 24 22 0.82 0.6 11
VG_Zebra 22 38 0.59 1.0 7
Steady_Growth 20 11 1.27 0.6 2
3pt_Relative_Value 18 20 0.71 0.8 12
Shrinkage 17 16 0.75 0.6 2
HighOnVolume 16 37 0.36 1.0 12
HighRelativeValue 16 20 0.49 0.8 12
YldEarnYear_SI 15 22 0.52 0.3 7
LowPSplus 15 41 0.30 1.4 11
GS_PCF 14 23 0.43 0.8 11
LowPSvol 13 20 0.43 0.8 12
POG 12 30 0.34 1.5 6
LowMult 11 25 0.29 0.8 9
GS_Mungo 11 21 0.35 0.8 12
WK_Voom 11 28 0.32 0.5 8
Silver_Parachute 11 19 0.33 0.4 6
GS_X 11 23 0.20 0.9 10
GS_Mungo_Voom 10 21 0.28 0.8 12
Bob 8 19 0.21 0.9 2
ARS 6 14 0.11 0.4 8
Zweig_26 6 16 0.05 0.5 3
CANSLIM_26 5 22 0.05 1.3 8
Gentle_Screamers 5 30 0.03 1.3 12
Money_Flow 4 28 -0.05 0.7 9
Up5X3 3 25 -0.02 0.9 12
PS_ILoveYou 1 18 -0.21 0.6 7
Z26saTA 1 17 -0.25 0.6 3
78RPM 0 32 -0.13 1.2 8
NetNetsGrahamified -1 37 -0.18 1.2 5
Up5pct -3 29 -0.27 1.2 11
AdvancedHelper -4 30 -0.28 1.0 9
Turnarounds -6 31 -0.36 0.9 11
OptiMan -6 28 -0.34 1.3 2
Advanced -8 24 -0.64 0.7 9
GS_X2 -8 22 -0.66 0.8 9
RS_100 -8 25 -0.57 0.7 11
Melange -14 33 -0.59 1.4 7
SP_Peg -16 23 -1.05 1.4 5
PIH_Naked -24 49 -0.78 1.8 12
Microcap_Momentum -38 92 -0.76 2.1 11
The_Mirror_s 9 68 0.26 2.8 11
HIAR_s 3 43 0.05 2.1 10
Negative_FCF_s -13 43 -0.49 1.6 10
Current_Ratio_s -69 66 -2.48 1.7 9
Dilution_s -85 87 -3.26 1.1 9
blend_Dilution 62 15 3.32 0.6 1
blend_Current_Ratio 51 13 2.97 0.6 1
blend_Negative_FCF 30 11 2.12 0.6 1
blend_HIAR 26 9 2.03 0.5 1
blend_The_Mirror 24 13 1.51 0.4 1
SP500MktCapWeight 29 12 1.80 1.0 0
SP500EqualWeight 13 14 0.55 1.0 0
SP1500EqualWeight 10 17 0.31 1.1 0
Averages CAGR GSD Sharpe Beta AT
avgLongScreen 12 27 0.35 0.9 8
avgShortScreen -31 61 -1.18 1.8 10
avgShortBlend 39 12 2.39 0.5 1
avgIndex 17 14 0.89 1.0 0