No. of Recommendations: 4
Nice work, especially for an Annual screen (low trading for those that are taxed)!
Just adding the standard BCC (and a small change to 252 trading days for reasons - doesn't change the results really) to (mostly) reduce the moderately frequent negative years already improves the GscoreHigh screen to ...
Results
Statistics are calculated from 19880302 to 20241108 over daily closing portfolio values for all 252 trading cycles.
Avg Min Max SD
CAGR: 15.028172 14.20667 15.926455 0.29794
TR: 16984.583984 12976.708984 22527.361328 1629.75708
Log2TR: 7.410031 7.030856 7.821925 0.137083
SAWR(20; 0.95): 10.612482 9.939157 11.330691 0.300106
GSD(20): 18.980368 18.355295 19.567358 0.24761
DIGSD(20; 0%): 21.148109 20.386206 21.979813 0.377738
LDD(20; 0%): 11.445286 11.032278 11.952506 0.22102
LDDD3: 8.119306 7.436218 8.881767 0.268355
MDD: -38.182415 -46.089619 -33.897877 2.281894
UI(20): 11.809819 10.573466 13.663349 0.571028
Sharpe(20): 0.731354 0.683201 0.77604 0.015233
Beta(20): 0.783587 0.7678 0.801364 0.007492
TI(20): 16.158493 15.192879 17.07169 0.333716
AT: 1.107518 1.064199 1.148228
Slightly higher CAGR (+1.36pp), lower GSD (-2.93pp), circa +1.5 SAWR & lower drawdowns (-38.2 vs. -57.2) at the expense of greater AT (1.11 vs. 0.63)(but you'd mostly want to trade to cash at those times anyway). A fine starting point for a screen (perhaps needs a final sort).
https://gtr1.net/2013/?~GscoreHigh:h252f0.1::Gscor... 