GTR backtest of Mungofitch' CheapHigh
Submitted by Keelix on Wed, 04/22/2009 - 17:36
Here's an attempt at a backtest of Mungofitch' CheapHigh screen from the Mechanical Investing board, updated to show both my "buggy" version and Jim's original:
CheapHighJim and CheapHighBug
Note to self:# backtest(CheapHighBug)
Industry::pref(incd.s,incd.f)
PE::pref(ratio(sprc(0,1),epscon12q1d.s),ratio(cprc(0,1),epspx12q1d.c))
Ind1::if(pref(incd.s,incd.f)>=6000,1,0)
Ind2::if(pref(incd.s,incd.f)<6800,1,0)
Ind3::if(pref(incd.s,incd.f)=6210,-1,0)
prih52::ratio(gprc:1,ph253.g)
Industry > 0
linear(1,Ind1,1,Ind2,1,Ind3) != 2
PE > 0
PE < 11.77
prih52 top 50
trp(2,126) top 5
# backtest(CheapHighJim)
Industry::pref(incd.s,incd.f)
PE::pref(ratio(sprc(0,1),epscon12q1d.s),ratio(cprc(0,1),epspx12q1d.c))
Ind1::if(pref(incd.s,incd.f)>=6000,1,0)
Ind2::if(pref(incd.s,incd.f)<6800,1,0)
Ind3::if(pref(incd.s,incd.f)=6210,-1,0)
Industry > 0
linear(1,Ind1,1,Ind2,1,Ind3) != 2
PE > 0
PE < 11.77
ph253.g top 50
trp(2,126) top 5
# blend(CheapHighJim,CheapHighJim)
# blend(CheapHighBug,CheapHighBug)
# cquotes(19870101,20071231,ya:^GSPC)
# plotparams(riskgeo=-geometry +60+220,size=900x800)
# plot(CheapHighJim:minSharpe,CheapHighJim:medSharpe,CheapHighJim:maxSharpe,CheapHighBug:minSharpe,CheapHighBug:medSharpe,CheapHighBug:maxSharpe,ya:^GSPC)
Comments
CheapHigh plot
Please explain how three curves are generated: minsharpe, medsharpe, and maxsharpe.
The backtest uses a monthly
The backtest uses a monthly hold, starting a new and theoretically independent (assuming it's a high turnover screen generating lots of new picks every day) every day. The three variants are the best, worst and median of the daily portfolios (of the 20/21 generated from the first starting month).
Two months after her
Two months after her commissioning in January 1910, Minas Geraes was featured in Scientific American, which described her as "the last word in heavy battleship design and the ... most powerfully armed warship afloat".[7] In November 1910, Minas Geraes was the focal point of the Revolta da Chibata (English: Revolt of the Whip). The mutiny spread from Minas Geraes to buy ultram other ships in the Navy, including her sister São Paulo, the elderly coastal defense ship Deodoro, and the recently commissioned cruiser Bahia. Led by the "Black Admiral" João Cândido Felisberto, the mutineers threatened to bombard the Brazilian capital of Rio de Janeiro if their demands were not met. As it was not possible to end the situation militarily—the only loyal troops nearby being small torpedo boats and army troops confined to land—the National Congress of Brazil gave in and the rebels disbanded.
When Brazil entered the First World War in 1917, buy fioricet Britain's Royal Navy declined Brazil's offer of Minas Geraes for duty with the Grand Fleet because the ship was outdated; she had not been refitted since entering service, so range-finders and a fire-control system had not been added. São Paulo underwent modernization in the United States in 1920; in 1921, Minas Geraes received the same treatment. A year later, Minas Geraes sailed to counter the first of the Revolução Tenentista (English: Tenente revolts). São Paulo shelled the rebels' fort, and they surrendered shortly thereafter; Minas Geraes did not fire her guns.meridia In 1924, mutineers seized São Paulo and attempted to persuade the crews of Minas Geraes and several other ships to join them, but were unsuccessful.