Post #4034 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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I don’t use O’Shaughnessy type screens but:

AAII Stock Investor Pro has 6 O’Shaughnessy Screens you can run if you have a subscription.

They publish the results after the end of the year. Results as of Dec 10 2024 where:

Screen	12_10_24	2023	2022	2021	2020	5Yr	10Yr	SinceIncep	RiskAdj	Yrs>SP500	BullMkt	BearMkt	RiskIndex	AvgStcks
O’Shaughnessy: SmCp Grth & Val	39.9	11.5	-11.4	180.6	5.5	32.5	18.6	18.7	15.2	70	74.7	-20.9	1.85	18
O'Shaughnessy: All Cap	-1.2	19.1	-22.9	36.7	-3.3	3.7	5.1	9.7	8.9	44	29.7	-30	1.6	10
O'Shaughnessy: Growth II	59.1	14.3	8.5	80.4	15.5	32.7	18.3	17.2	14.8	63	105.1	-3.7	1.61	50
O'Shaughnessy: Grth Mkt Leaders	41.3	8.4	11.6	18.1	3.1	15.8	12.1	9.3	8.9	48	80.1	-5	1.22	3
O'Shaughnessy: Tiny Titans	40.8	31.9	13	61.9	42.4	37.1	22.2	24.5	18	81	113.9	-1.9	1.91	25
O'Shaughnessy: Value	18.2	7.9	1.6	21.1	2.2	8.4	5.2	5.7	4.1	41	48.2	-18.3	1.29	42

If you have a subscription to SIP you can run Trending Value on GTR1. Here is one version by tetranomad.
I ran a similar version for a couple of years way back when his last version of What Works on Wall Street came out.
19991220 to 20250708 Hold 20 CAGR 16.1, SAWR 8.4, MDD -58.6,Sharpe 0.74,AT 1.23
https://gtr1.net/2013/?!!QlpoMTFBWSZTWRPcJpYAAxxfg...

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