No. of Recommendations: 11
Can somebody figure out how to backtest this with GTR1? gtr1 uses SIP fields, and so is not quite the same as the version using VL fields. But the SIP screen backtest has a slightly higher CAGR compared to the benchmarks, with about the same GSD.
gtr1.net: GTR1 Backtester - LargeCapCash_Div_20200524_mungofitchstep0: [Security Type; lag=1 days] == 0,10,11,12,18,30,31,48
step1: [Mkt Days Since Security Opened; lag=1 days] >= 1265
step2: [MktCap] Top 1700
step3: [Div] > 0
step4: [ROE] Top 30%
step5: [CashLessLTDebt] Top 45
step6: [CashLessLTDebt] Top 40; Cash When Fewer
Holding period = 42 mkt days
Hold while passing step5
Frictional loss of 0.4% applied to all sales (closing long/opening short)
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 6 holding periods
from 19870302 to 20251128:
Screen CAGR GSD MDD Sharpe
LargeCapCash_Div 13 19 -51 0.64
SP500MktCapWeight 11 18 -54 0.55
SP500EqualWeight 11 20 -60 0.52
SP1500EqualWeight 11 22 -60 0.50
