Some SIP Screen Shipwrecks 2022

Investing Strategies Mechanical Investing
1

Before using a screen, I check the long term performance against a benchmark, and avoid underperforming screens. This criteria can be extended back to consider all possible end dates. A screen with lower total return is shipwrecked. The screen might recover (refloat). (Dropping shipwrecked screens improved my WWL results.)

Shipwreck: a screen with a lower average total return compared to a benchmark over the longest backtest (at least 10 years).

Of the 51 long standard SIPro screens (monthly hold 5), there were 9 Shipwrecks:

Screen wreckDate
PIH_Naked 20220329
ARS 20161129
Z26saTA 20160129
Steady_Growth 20120810
Zweig_26 20120727
SP_Peg 20110610
OptiMan 20080716
CANSLIM_26 20071112
Dipstick 19980806

There were 2 Shipwrecks on 19970214 that refloated: {Value_at_the_Top} and {High_Relative_Value}. {Turnarounds}, {GS_Mungo_Voom}, {GS_Mungo}, {Incoming_Cash}, {Money_Flow}, and {POG} are sinking fast and may shipwreck soon.

links:
PIH_Naked
ARS
Z26saTA
Steady_Growth
Zweig_26
SP_Peg
OptiMan
CANSLIM_26
Dipstick
Value_at_the_Top
High_Relative_Value
Turnarounds
GS_Mungo_Voom
GS_Mungo
Incoming_Cash
Money_Flow
POG

---- background data ----

Screen CAGR TR From To wreckDate
SP1500EqualWeight 10.9 1159 19970902 20220329
PIH_Naked 8.1 1124 19970902 20220329
SP1500EqualWeight 10.2 548 19970902 20161129
ARS 10.0 546 19970902 20161129
SP1500EqualWeight 9.0 235 20011231 20160129
Z26saTA 8.5 230 20011231 20160129
SP1500EqualWeight 8.7 249 19970902 20120810
Steady_Growth 8.6 247 19970902 20120810
SP1500EqualWeight 8.1 127 20011231 20120727
Zweig_26 7.5 124 20011231 20120727
SP1500EqualWeight 8.9 225 19970902 20110610
SP_Peg 8.7 224 19970902 20110610
SP1500EqualWeight 8.4 139 19970902 20080716
OptiMan 8.2 137 19970902 20080716
SP1500EqualWeight 10.4 173 19970902 20071112
CANSLIM_26 9.6 172 19970902 20071112
SP1500EqualWeight 13.2 314 19870302 19980806
Dipstick 11.6 271 19870302 19980806
Screen CAGR TR From To Today Level
PIH_Naked 6 648 19970902 20221003 shipwreck
ARS 8 657 19970902 20221003 shipwreck
Z26saTA 7 314 20011231 20221003 shipwreck
Steady_Growth 6 378 19970902 20221003 shipwreck
Zweig_26 5 223 20011231 20221003 shipwreck
SP_Peg 5 270 19970902 20221003 shipwreck
OptiMan 9 746 19970902 20221003 shipwreck
CANSLIM_26 3 123 19970902 20221003 shipwreck
Dipstick 5 1385 19870302 20221003 shipwreck
SP1500EqualWeight 11 4071 19870302 20221003 benchmark
SP1500EqualWeight 10 920 19970902 20221003 benchmark
SP1500EqualWeight 10 576 20011231 20221003 benchmark
Value_at_the_Top 14 10718 19870302 20221003 refloated
High_Relative_Value 18 41469 19870302 20221003 refloated
Turnarounds 11 4995 19870302 20221003 sinking
GS_Mungo_Voom 12 7032 19870302 20221003 sinking
GS_Mungo 12 8149 19870302 20221003 sinking
Incoming_Cash 13 2158 19970902 20221003 sinking
Money_Flow 13 2278 19970902 20221003 sinking
POG 12 2246 19970902 20221003 sinking
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2

We used to call such screens Torpedoed. Same idea.

Elan

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3

They are not the same idea. Related, but different. Torpedo damage is the CAGR drop when comparing gtr1 results to some other backtester. Consider {WK_Voom} as an example.

Some links to old Fool board posts using the term “torpedo”:

“What this demonstrates is that the differences seen between GTR1 and Keelix.com backtests of the same SI Pro screens could be much, much bigger than those we typically see. What’s remarkable is not the torpedo damage, but the fact that most of the SI Pro screens still float after GTR1 backtesting, unlike my short-lived RS-KickA** .” from GTR1 Backtester Update 2013

“LowPS+ comes out better on the GTR1 backtester (a reverse torpedo)” from SiPro Screens GTR1 vs Keelix 2012

In A Moose Torpedoed 2008 MainiacJoe wrote: “There is one way that this discrepancy between the two backtests might be explained”

rgearyiii wrote in 2008: “You’ve taken umbrage at my use of the word “torpedo” many times before, but as in those previous cases, you seem to be misunderstanding both what I mean by “torpedo” (which I have admitted can vary from one post to the next) and what I claim to have torpedoed.”

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