No. of Recommendations: 4
Phase CAGR range FOR #2ad63 screen: 25.70% to 29.83%
All 20 phases exceeded 25% CAGR.
Best phase MDD: −20.85%
Worst phase MDD: −41.55%
The point is you can find S&P500 universe screens with decent results (twice SPY with the same or better drawdown).
a #3 screen
Start with the stocks that were members of the S&P 500 on the selection date.
For each stock, calculate its 21-trading-day Volume Price Trend, or VPT21. Each day’s price percentage change is multiplied by that day’s trading volume, and those values are added over the last 21 trading days.
A stock receives a high VPT21 score when it has recently risen on substantial volume.
Retain the 35 stocks with the highest VPT21 values.
Rank those 35 stocks by PHL. Our PHL measure compares the current price with the combination of the stock’s 52-week high and 52-week low:
$$ PHL=\frac{\text{current closing price}} {\text{52-week high}+\text{52-week low}} $$
Select the three stocks with the highest PHL scores and invest equally—one-third in each.
Recalculate the screen monthly. The rankings use information available through the preceding trading day’s close, and purchases occur at the designated trading day’s close.
Invest only when SPY’s preceding close is above its 325-trading-day moving average. Otherwise, hold cash.
Apply a 0.10% full bid–ask spread to actual portfolio turnover.
In plain English: first find 35 S&P 500 stocks experiencing the strongest price-supported buying volume over the previous month; then select the three whose current prices are strongest relative to their 52-week price ranges.
Across the 20 monthly trading-date positions, using the same 341-month sample:
Average timed CAGR: 24.34%
CAGR range: 15.68%–32.12%
Average MDD: −47.71%
MDD range: −34.36% to −62.89%
Average Sharpe: 0.862
Performance varies dramatically by monthly trading date. That is the opposite of the consistency demonstrated by AD63.