Re: Profit latch & Advanced screen

Investment Strategies / Mechanical Investing

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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

gtr1.net: GTR1 Backtester - Advanced
gtr1.net: GTR1 Backtester - Advanced_05stopgain
gtr1.net: GTR1 Backtester - NetNetsNCAV21
gtr1.net: GTR1 Backtester - NetNetsNCAV21_NoStopGain
gtr1.net: GTR1 Backtester - NetNetsGrahamified
gtr1.net: GTR1 Backtester - NetNetsGrahamified_20stopgain

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