Jamie Gritton's MI Backtester

Hold-'Til-Drop Backtest

Buy the stocks at the top ranks of a screen, and keep them until they are no longer on the screen, or ranked too low.

through
Starting in
Holding Period: months
Name:
codes

General instructions

Run the tester over the specified range of years. Available data runs from 1986 through 2008 for most screens. You may start at any month of the year, but other than January can only run through 2007/2008.

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.

$ initial investment
Fixed allocation
Add $ every months
Rebalance: never always
every months
$ commission, % spread
Short-term tax: %
Long-term tax: %
Pay taxes every:
Trade day(s) after rankings

Trading simulation

Start with an initial investment. You may also add more money periodically. You can also subtract from the portfolio by adding a negative amount.

Instead of adding or subtracting a fixed amount, you can elect to keep the portfolio at a fixed allocation. This is useful for testing costs without considering the effects of compounded growth, to see what your money might do this year.

Normally, the stocks held in a screen are rebalanced on every trade. You can also specify to never rebalance, which may allow one stock to dominate a screen as it grows, or rebalance at a fixed interval (which must be a multiple of the holding period).

You can pay a fixed commission (which is applied to every buy and sell) as well as a percentage spread (half applied on buy, half on sell).

Capital-gains taxes can be applied, both short-term and long-term. Taxes may be taken out on every trade, quarterly, or annually.

Screen rankings come out on Friday, and backtests are typically done with the closing prices on the next Monday, one day after the rankings. This lag between ranking and trading can be varied from zero days (trade on Friday) and upward.

Screen:
Buy ranks to
Sell below rank
Transition:
Sell below rank

Hold-'Til-Drop Backtest instructions

Select the screen to choose from, and which ranks to buy on that screen. Specify to sell when a stock falls below a rank. Whenever a stock falls too low, it will be replaced with the highest-ranked stock (among those ranks chosen) not already held.

You may also select a transition screen. In that case, stocks that drop off the main screen are retained until they also drop off the transition screen, or fall below a rank on it. New stocks are never picked from the transition screen, only from the main screen.