3-Year Backtests to 2022 September

Three year GTR1 backtest results for standard SIPro screens (monthly hold 5) are below. Sorted by CAGR.
(From 20191001 to 20220930, 21 day hold, 1 day risk interval , 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.
Short screen blends are 20% short screen combined with 80% S&P500 market-cap weight. For example, blend_Dilution

       Screen         CAGR
Net-Nets_Grahamified   38
       FCF-26          29
    Small_Value        26
      Fried_500        20
   YldEarnYear_SI      19
        POI            18
        78RPM          18
      WK_Voom          17
      Rabbitt          15
       RS-100          14
       LowPS+          13
      Up_5pct          12
      Shrinkage        11
      Z26saTA          10
        Up5X3          10
      Low_Mult          9
  Microcap_Momentum     9
      VG-Zebra          8
      OptiMan           8
   AdvancedHelper       8
  Silver_Parachute      7
      Melange           6
     Money_Flow         6
      Advanced          6
      VG-Horse          6
   P/S_I_Love_You       5
    HighOnVolume        4
        ARS             3
    Turnarounds         3
  Value_at_the_Top      2
  Quality_Earnings      1
      Zweig-26          0
        POG            -1
        Bob            -2
    GS_Mungo_Voom      -2
      GS_Mungo         -2
  Gentle_Screamers     -3
      LowPSvol         -4
      Dipstick         -5
    Incoming_Cash      -5
     CANSLIM-26        -5
High_Relative_Value    -5
     Blue_Skies        -6
       GS_PCF          -7
         BI            -8
      S&P_Peg          -9
 3pt_Relative_Value   -10
        GSX2          -10
        GSX           -12
    Steady_Growth     -13
      PIH_Naked       -14
 
     Dilution_s       -44
       HIAR_s         -13
    The_Mirror_s      -11
  Current_Ratio_s      10
   Negative_FCF_s      13
 
   blend_Dilution      18
  blend_The_Mirror      7
     blend_HIAR         5
 blend_Negative_FCF     4
blend_Current_Ratio     3
 
  SP500MktCapWeight     9
  SP1500EqualWeight     8
  SP500EqualWeight      8
       MC1700           7
        WER             4
 
average Long Screen     5
average Short Screen   -9
    average blend       7
    average index       7

These links use the wayback machine internet archive.
Link to screen definitions.
Link to Radiscript.
Link to screen origins.

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Here are some links if you want to refresh this data. In the gtr1 link, click Run Screener (no password needed) to see screen CAGR results. (It will take several minutes to run all of the screens.)

Link to MI thread “How to Refresh the top screens of last 3 years”.
Link to gtr1 SIPscreens_5deep_3yrCAGR

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Thanks for sharing.

For comparison the SPY is about 6.4% CAGR over the last 3 years.

Interesting to see YldEarnYear_SI doing well. I had written it off a few years ago.

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