Occasional Overlap Backtest

This applies different overlap and freshmen screens, choosing the first overlap which actually pick any stocks.

through
Starting in
Holding Period: months
Name:
codes

General instructions

Run the tester over the specified range of years. Available data runs from 2003 through 2017 for most screens. You may start at any month of the year, but other than January can only run through 2016/2017.

Stocks are picked from the screens every holding period (between 1 and 120 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 and paste into the form. Also see the backtester code guide.

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.

$ 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.

Screens:RanksLim. FS
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Occasional Overlap Backtest instructions

Select a set of overlaps, including screens, ranks, and a limit of stocks.

An overlap may also be marked F for the freshmen rules to apply.

Marking S will skip the #1 resulting stock in any months where more than one stock is picked in that particular overlap.

Each overlap is tried in order. If any stocks are picked for that overlap, they will be the selections for the period. Otherwise, the next overlaps are tried in succession until one is picked (or all are exhausted).

If there are months without any stocks picked, an "effective CAGR" will be reported, which is the return including only those months that had selections.