No. of Recommendations: 5
gtr1.net: GTR1 Backtester - Nas100_Mom9_PHL252_SumRanks:
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Stocks Timed CAGR Untimed post 10/1993...? Thanks for this interesting sum-of-ranks screen.
I tweaked it to my favorite parameters and 1/3/6/12 RS, from 2/1/1985, 0.25% friction, no timing.
(All the necessary data is available from finviz and barcharts)
I get Average CAGR 29.28% (5 stock)
Looking at the various screens for the cycle with the 25'th percentile returns, with and without timing,
In terms of stdev, MaxDD(12), and Sortino, PHL52 5HTD12 is still the best, then RS52, then sum-of-ranks.
CAGR is in the same order.
With low confidence, it looks like PHL/RS overlaps is worse than all of these.
(Overlaps is tough, since the GTR1 backtest varies the number of stocks from 0 to 5, with an average around 3. I wouldn't like that, so I'd somehow fill in the empty slots with non-overlap picks. I don't know if GTR1 could somehow do this. Absent that, I have no confidence in it.
Sum-of-ranks seems like a better choice for a 3rd screen/portfolio.
Here are the top 10 picks from the GTR1 screener and the picks common of SoR and PHL & RS:
PHL-52 RS52 PHL-52 RS52
PHL-52 RS52 SumRanks SR Common top 10 SR Common top
WBD PLTR WBD WBD WBD WBD WBD
AVGO AVGO MU MU MU MU MU
MU WBD AVGO AVGO AVGO AVGO AVGO
LRCX MU LRCX LRCX LRCX LRCX LRCX
GOOGL LRCX GOOGL GOOGL GOOGL GOOGL
GOOG GOOGL GOOG GOOG GOOG
IDXX GOOG INTC
AMAT APP IDXX IDXX IDXX
KLAC KLAC AMAT AMAT
EA IDXX KLAC KLAC KLAC
CEG ASML APP APP