Relative Strength of Screens Backtest

Choose from among a set of screens, picking the one that performed best in the recent past and hoping is will perform best for the present.

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 2016 for most screens. You may start at any month of the year, but other than January can only run through 2015/2016.

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.

Last periods seasonal
Ranks to
Screens:

Relative Strength of Screens Backtest instructions

Enter the candidate screens to check the returns of and select from. Should there be a tie for the best screen, the first listed be chosen. Enter the ranks on the screens to use.

Enter the number of past periods to check the screens over. The gain of the screens over that many periods in the past will be the basis for choosing the screen for the next period. There are two ways to test the screens' past performance. Normally, the most recent periods before the present are checked. You can also select seasonal checking, where the same month (or quarter/half) of the year is checked for the specified number of years.