A lot of the old-time MI screens crapped out a few years ago.
Unfortunately this seems to be true.
I just took a look at the performance of all of the standard screens in lohill’s GTR helper. Picked the top 10 screens based on their perpetual SAWR (safe annual withdrawal rate). Then compared their last 10 years performance compared to the SP500.
Screen Name CAGR TR Log2TR SAWRÍ20) GSD(20) DIGSDÍ20 LDD LDDD3 MDD Ul(20) Sharpe(20) Beta(20) Tl(20 AT Start Date Years CAGR10y SAWR10y
WK_Voom 31.0 1,595,608 13.5 12.7 36.7 39.2 19.3 12.2 -55.7 15.1 0.93 0.9 31.2 8.6 19870302 35.08 21.9 13.4
WK_Voom_Liquidity 32.1 2,004,279 14.0 12.4 35.5 38.0 18.6 11.9 -55.5 15.2 0.97 0.9 32.6 8.4 19870302 35.08 19.4 12.3
S&P500 10.6 3,343 5.1 5.5 17.6 20.7 11.8 10.7 -54.8 13.8 0.53 1.0 8.5 0.0 19870302 35.08 14.4 12.3
Up5X3 27.6 46,022 8.5 12.9 33.7 38.2 19.2 13.7 -62.9 15.1 0.94 1.0 27.2 12.2 19970902 24.58 15.0 10.2
RS-100 31.9 2,421,781 13.9 12.4 35.5 38.3 18.8 10.9 -55.7 14.9 0.96 0.9 33.6 11.1 19870302 35.08 13.3 8.8
LowPS+ 34.5 4,642,333 14.8 12.1 43.5 47.0 22.8 14.6 -71.3 18.0 0.90 1.1 31.1 11.8 19870302 35.08 13.8 8.5
YEY_SIPro 29.2 811,773 12.9 11.2 31.6 35.6 17.7 12.0 -61.1 13.6 0.98 0.9 29.2 5.9 19870302 35.08 13.3 8.1
Low_Mult 27.1 671,405 12.0 10.6 33.7 35.7 18.0 11.1 -51.8 14.9 0.87 0.8 30.4 9.5 19870302 35.08 12.8 8.0
VG-Horse 31.9 108,780 9.7 12.4 41.3 42.1 20.7 13.3 -59.5 18.1 0.90 0.9 35.5 9.9 19970902 24.58 12.5 7.7
Rabbitt 29.2 68,719 9.0 11.4 37.3 40.4 20.1 13.8 -67.6 17.5 0.91 0.9 30.7 11.2 19970902 24.58 8.0 4.8
BI 24.4 23,831 7.6 10.3 31.6 34.1 17.4 12.3 -53.3 14.8 0.87 0.8 31.5 10.7 19970902 24.58 2.7 1.7
Assuming a 0.35% friction on trades only 2 of the 10 screens outperformed the SP500 based on SAWR.
Following Mungo’s advice to use his screen doesn’t seem to be a bad idea. I’ve been using it with only SIP data and a slight mod to filter out very high or low beta stocks that has outperformed the S&P for the last couple of years.
RAM