Author: borisnand

Subject: 1 Year SIP Backtests to 2021 November

Date: 11/2/2021

Recommendations: 23

One year GTR1 backtest results for standard SIPro screens (monthly hold 5) are below. Sorted by CAGR. (From 20201030 to 20211101, 21 day hold, 0.4% friction, 5 deep.) The results for all screens are held long. No shorting, timing, or blending here. The short screen results have no friction. I included blends of the short screens (20% short screen combined with 80% S&P 500 market cap weight index). Screen CAGR GSD Sharpe Beta AT AdvancedHelper 128 79 1.51 1.1 9.8 WK_Voom 127 46 2.24 -0.7 8.0 Money_Flow 126 56 1.79 -0.1 9.9 POI 125 47 2.26 -0.7 6.8 78RPM 121 48 2.14 0.0 8.2 Small_Value 116 30 2.92 0.0 5.0 Silver_Parachute 114 32 2.74 0.4 7.0 Net-Nets_Grahamified 113 46 2.03 0.7 2.9 Up5X3 106 30 2.75 0.5 11.4 P/S_I_Love_You 98 39 2.10 0.1 7.4 Up_5pct 97 26 2.97 0.5 10.4 Blue_Skies 86 28 2.58 0.4 9.4 Rabbitt 86 30 2.22 0.0 10.2 Advanced 82 38 1.78 0.5 10.8 YldEarnYear_SI 81 36 2.00 0.6 5.0 FCF-26 80 25 2.68 0.8 6.5 GSX2 80 33 2.15 0.3 9.7 Microcap_Momentum 76 54 1.36 0.1 9.6 Dipstick 76 43 1.65 1.2 11.2 Value_at_the_Top 74 25 2.53 0.4 8.3 Fried_500 73 27 2.28 1.6 2.5 LowPS+ 73 81 1.02 1.1 11.3 Quality_Earnings 67 32 1.91 0.5 6.8 OptiMan 66 23 2.45 0.7 4.4 Low_Mult 63 33 1.76 0.8 9.5 Incoming_Cash 62 27 2.05 0.5 6.5 GS_PCF 62 29 1.89 -0.1 10.7 Shrinkage 60 20 2.59 1.2 2.8 VG-Horse 58 30 1.80 0.3 7.9 RS-100 58 39 1.47 0.0 11.4 POG 56 37 1.41 0.8 8.4 VG-Zebra 52 32 1.59 0.2 8.8 ARS 50 25 1.93 0.7 8.1 GS_Mungo_Voom 49 17 2.51 0.3 11.7 GS_Mungo 46 18 2.35 0.3 11.7 Bob 44 20 2.06 1.1 5.3 PIH_Naked 40 72 0.65 0.8 11.9 BI 38 25 1.47 0.2 11.0 GSX 37 38 1.06 0.9 10.5 Zweig-26 37 22 1.64 0.9 3.6 Turnarounds 36 46 0.88 0.2 11.2 Gentle_Screamers 36 36 1.05 0.3 11.8 High_Relative_Value 35 26 1.41 0.7 11.7 CANSLIM-26 31 29 1.15 1.1 7.4 Melange 30 48 0.86 0.6 6.4 3pt_Relative_Value 27 26 1.07 0.7 11.7 HighOnVolume 27 39 0.76 0.8 11.9 S&P_Peg 21 16 1.36 0.5 3.4 LowPSvol 18 27 0.70 0.5 11.9 Z26saTA 7 15 0.53 0.5 3.9 Steady_Growth 6 8 0.78 0.6 1.7 Dilution_s -9 70 0.03 1.6 6.6 HIAR_s 25 72 0.58 2.8 9.3 The_Mirror_s 75 61 1.24 2.5 9.7 Negative_FCF_s 120 46 2.04 2.1 10.5 Current_Ratio_s 189 84 1.82 2.5 6.7 blend_Dilution 44 16 2.73 0.6 1.1 blend_The_Mirror 27 13 2.21 0.6 1.1 blend_HIAR 23 17 1.48 0.4 1.3 blend_Negative_FCF 18 11 1.61 0.5 1.2 blend_Current_Ratio 6 18 0.45 0.2 1.3 SP1500EqualWeight 64 19 2.83 1.0 0.3 MC1700 53 16 2.79 1.0 0.4 SP500EqualWeight 51 14 3.09 1.0 0.3 WER 49 18 2.42 0.9 6.1 SP500MktCapWeight 43 12 3.17 1.0 0.1 Averages CAGR GSD Sharpe Beta AT avgLongScreen 66 34 1.78 0.5 8.3 avgShortScreen 80 67 1.14 2.3 8.5 avgShortBlend 24 15 1.70 0.5 1.2 avgIndex 52 16 2.86 1.0 1.4