No. of Recommendations: 3
I realize that it was simpler if I preprocessed the GTR1 data.
There were 56 holding period with 0 stocks held.
The gains of those periods ranged from 0.000017 to 0.005907, average 0.002565768
That would be an average annual return of about 4.68%.
Right in the range of 1 year Tbills.
There were 531 holding period with 5 stocks held.
The gains of those periods ranged from -0.411386 to 0.005907, average 0.009678855
That would be an average annual return of about 17.66%.
Number with negative gain: 227. Positive: 304
Average of the positive periods: 0.080548464
That would be an average annual return of about 147.00%.
Average of the negative (loss) periods: -0.085230225
Note: to get the average annual return accurately you'd have to compute the weighted average instead of the simple average. These are the simple average.
The weighted average number of stocks held was 3.2 stocks.
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Compare the common periods where the overlap was 5 stocks, to
the overlap screen and the RS-only version of the overlap screen.
If the supposition is correct, then the holding period return of each such date will be the same, because the same 5 stocks are in each of the three screens.
There were 528 5-stock periods.
The differences ranged from -0.009651000 to 0.000075000, average -0.000166063.
Annualizing to 0.30% average difference.
Conclusion: Overlaps screen as backtested CONFIRMED.
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Here are the statistics for each of the screens.
Overlap Avg Min Max
CAGR: 31.21 26.84 37.44
TR: 9,233,258 1,638,552 43,318,768
MDD: -75.80 -86.89 -60.25
UI(20): 26.45 21.07 32.21
RS only Avg Min Max
CAGR: 27.47 26.14 29.99
TR: 2,114,014 1,308,032 4,461,812
MDD: -73.07 -81.88 -63.65
UI(20): 24.25 20.19 29.71
HL52 only Avg Min Max
CAGR: 28.80 26.76 31.18
TR: 3,303,037 1,596,815 6,461,678
MDD: -71.93 -84.21 -58.27
UI(20): 21.86 17.68 27.42
The "only" screens were done by changing the overlaps rule from one each to both the same.
