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.