{gWERindex24} and WERindex roughly agreed from 1992 to 2019, but WERindex shows lower returns since 2020. (WERindex data is from http://tradesim.info/chartdata.php )

  Date     WERindex  gWERindex24  ratio
19921231     138         1.37      100
20151231    8,269       81.00      102
20161230    9,442       92.91      102
20171229    11,610     114.25      102
20181231    10,681     105.06      102
20191231    13,742     134.86      102
20201231    17,807     179.54       99
20211231    22,440     234.44       96
20221230    15,434     173.18       89
20231229    18,041     220.41       82

year   WERindex  gWERindex24  difference
2016     14%         15%          -1%
2017     23%         23%          0%
2018     -8%         -8%          0%
2019     29%         28%          0%
2020     30%         33%          -4%
2021     26%         31%          -5%
2022    -31%         -26%         -5%
2023     17%         27%         -10%

20231031 to 20231229 return: {gWERindex24} 22%, WERindex 15%

The screen I used was:

Define {WER}
step0: [Security Type; lag=1 days] == 0,10,11,12,18,30,31,48,71,72
step1: [Mkt Days Since Security Opened; lag=1 days] >= 63
step2: [% Rank (tie-averaged) by [Average dollar-volume over 63 days; lag=1 days] (Asc) at step2] >= 50
step3: [WER Rank In List; lag=1 days] != null; Cash When None
Holding period = 21 mkt days
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 1 holding periods
All trades at market close.
gtr1.net: GTR1 Backtester - WER

Define {gWERindex24}
step0: [WER Rank In List; lag=1 days] != null; Cash When None
Holding period = 1 mkt days
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.
gtr1.net: GTR1 Backtester - gWERindex24