Jamie Gritton's MI Backtester
This is a tool for backtesting stock screens, as defined and used by the
Investing (MI) message board at The Motley Fool. While it's quite handy
(if I do say so myself), it is by no means an introduction to (or even a
description of) mechanical investing.
Test screens from the standard MI lists. You can run the tests with
parameters you choose, including how many stocks to hold and how long to
Build your own screens from Value LineŽ data. Stocks can be selected and
sorted using any combination of the supplied data fields, allowing many
variations of existing screens, and well as testing completely new ideas.
Combine the listings of multiple screens, adding their ranks and picking
the stocks that score highest overall.
Build an entire investment portfolio, with different fractions of the
total allocated to different screens.
Select stocks that appear on both of two screens - like Screen of Screens,
but more limited.
Buy the stocks at the top ranks of a screen, and keep them until they are no
longer on the screen at all, or ranked too low.
Stagger longer-hold screens with a part of the portfolio trading each
Choose between two screens based on the recent outcome of an index, looking
for those that are better suited for up or down markets.
Run a backtest for all possible start months at once, and give composite
statistics. This removes seasonality effects from longer-hold screens and
can give a more accurate picture of their expected return.
Use the Black-Scholes model to simulate option strategies using the
backtested screens for underlying stocks. Various combinations of long
and short stock, calls, puts, and cash can be simulated.
Pick the best stocks for the upcoming month, based on future performance.
This clearly isn't an actual backtest, but may lead to something useful.
Weird Old Stuff:
Most of the screens on this site, and everything you can make with the
Screen Builder, come from the Value Line database. For more screen
possibilities, check out these two other publicly available backtesters:
Keelix's SIPRO backtester uses
the SIPRO database available from The American Association of Individual
Investors. You can test from a database of all stocks traded on American
exchanges (instead of the 1700 Value Line looks at), with weekly data going
back to 1997. The site also includes a message board, and rankings of many
Hugh Todd's WER Trade Simulator
uses the Weekend Review data from Investors' Business Daily. It has fewer
stocks that Value Line, pre-screened to IDB's own criteria. Weekly data is
available back to 1992. There is also an associated message board for this
Related Tools and Resources
RadiScreen is an
essential tool for getting current picks from your own screens. Armed with
a subscription to Value Line and a backtester code, this excel spreadsheet
will do all necessary calculations for you. You can also use RadiScreen to
get picks from the SIPRO database.
For SOS (Screen of Screens) picks, Brian Matthews'
Saucer is the easy way to find
the current list. Choose any of the standard MI screens, and the Saucer
will combine them.
The Mechanical Investor
by Michael Ghens features screen picks and a message board for MI and
VTAlumni's VT-MI.com: Tools and analysis
for backtest.org and keelix.com sponsored screens. A site to help aid in the
process of selecting which group of blends, screens and ranks to use.
Mechanical Investing Board Resources
by Mark Willcox has tools for the MI board, including a handy search
function much better than TMF's own, and automated links to various screen