| Author: borisnand |
| Subject: Re: Tiny Titans |
| Date: 3/10/2022 |
| Recommendations: 7 |
{TinyTitans_2022d} is a version using ranks that has similar results. The htd might be easier to manage. No rebalancing reduces turnover slightly and does not affect results much. Screen CAGR SAWR GSD MDD Sharpe AT TinyTitans_2022c2 33 15 32 -66 1.07 3.2 TinyTitans_2022d 34 15 32 -64 1.11 2.6 Command Translation Define {TinyTitans_2022d} Create [rA]: [Rank by [MktCap] (Asc) at step8] Create [rB]: [Rank by [PS] (Asc) at step8] Create [rD]: [Rank by [PH52i] (Desc) at step8] Create [rC]: [Rank by [Total Return % over 186 days; lag=8 days] (Desc) at step8] Create [rAll]: [[rA] + [rB] + [rC] + [rD]] step0: [Security Type; lag=1 days] == 10,11 step1: [Mkt Days Since Security Opened; lag=1 days] >= 252 step2: [Average dollar-volume over 63 days; lag=1 days] >= 20000 step3: [Average dollar-volume over 10 days; lag=1 days] >= 20000 step4: [Actual closing Price] >= 2 step5: [MktCap] >= 25 step6: [Sales] >= 50 step7: [PS] > 0 step8: [rAll] Bottom 100 step9: [rAll] Bottom 10 Holding period = 21 mkt days Hold while passing step8 Frictional loss of 0.4% applied to all sales Rebalance to equal weight among new positions only All trades at market close. http://gtr1.net/2013/?~TinyTitans_2022d:h21r0f0.4::styp.a:et... |