Jamie Gritton's MI Backtester

Freshmen Overlap Backtest

Freshman stocks are those that are new on a screen, i.e. weren't on it last month (or quarter, etc). At least for RS screens, these seem to do well, especially if the overlap concept is applied to them. It's not uncommon for this screen to not find any stocks for a given month, so the regular overlap screen is used as a fallback in that case.

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Starting in
Holding Period: months
Name:
codes trading simulator

General instructions

Run the tester over the specified range of years. Available data runs from 1986 through 2007 for most screens. You may start at any month of the year, but other than January can only run through 2006/2007.

Stocks are picked from the screens every holding period (between 1 and 24 months) and held for that period.

Instead of selecting from the available screens, you may choose to enter codes from any of the backtesters to create hybrid tests. Simply copy the link listed at the top of a run & paste into the form. Also see the backtester code guide.

If you want to simulate actual trading, you can enter more parameters in the trading simulator.

You may give your backtest a name for convenience. If you use this backtest code in other testers, its name will be shown instead of a full description.

Screens:
Freshmen ranks: to
Overlap ranks: to
Limit to stocks

Freshmen Overlap Backtest instructions

Select the screens to overlap. For a stock to be picked, it must appear on all selected screens for the given month.

Select the ranks to find the "freshmen" in. A stock is considered a freshman if it was in the selected ranks this period, but was not there in the last period (though it may have been elsewhere in the list). If multiple screens are selected, a stock must be in the specified positions of every list this period, but not in those positions of any list in the previous period.

Often, no freshmen candidates will be found for a given period. In that case, stocks will be chose from the regular overlap instead (see the overlap tester). Select ranks to use for the regular overlap.

You may limit the selection to a specified number of stocks. If you do, up to the limit may be chosen, though fewer are possible. Otherwise, all applicable stocks will be selected.