Subject: Re: Quality Screen
"23-yr P123 backtest 108,000% return" is a 50% CAGR. Sounds unlikely to be real. Some liquidity requirements are needed. Some questions:

1. How many start dates are in this backtest. Can you do a rolling backtest? What is the distribution of CAGRs for the different start dates? (standard deviation, minimum, maximum, count)
2. What is the CAGR in the last 10 years?
3. How does the screen do with the Prussell3000 universe?
4. What are today's picks?

Getting from -76% MDD to -55% MDD is easy. Just mix in 30% cash. The result would be 35% CAGR and -53% MDD.

What are the results for the following screen:

{lowPS_R3000}
universe is Russell 3000
[PS] Bottom 8

Is deblanking needed? (PS>0)
The CAGR should be negative, as this screen will pick many stocks going bankrupt. (A few of these will recover, and so if the backtest has survivorship bias the CAGR will be positive.)

Compare picks to the list from the screener https://www.barchart.com/stock...

Russell 3000: "The smallest company in the index is Akoustis Technologies with a total market cap of $240.1 million"
https://content.ftserussell.co...