Screen-Switching Backtest

Choose between two screens based on the recent outcome of an index, looking for those that are better suited for up or down markets.

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 2023 for most screens. You may start at any month of the year, but other than January can only run through 2022/2023.

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.
Index:
Last periods
Cutoff: %
Hold until switch
High Screen:
Low Screen:
Ranks to

Screen-Switching Backtest instructions

Select the index to check. This may be an actual stock index, or any screen. Enter the number of past periods to check the index over, and the cutoff of index returns to decide which screen to use. If the index return is below the cutoff, the specified ranks of the low screen will be used for the next period, otherwise the high screen will be used.

If you select Hold until switch, the stocks will only be chosen when the screen is switched, and held until the next switch, even if the screen would normally choose different stocks.