Portfolio123 - Screen

TNA Div Author: gfagerlin

or to view and run this screen.

About

settings

reference

Universe

Benchmark

Max No. ETFs ( 0 for all )

NA's

Ranking

This tool lets you test how a screen would have performed in the past. The screen simulates holding stocks in equal weights at the beginning of each rebalance period. Commission and dividends are not included in the simulation.

To test the historical performance of this screen follow these steps:

Select Settings
1. Select the Universe and Benchmark.
2. Max No. Stocks
  Enter a positive number to limit the number of stocks. If no Ranking Option selected, the screen will select the number of stocks randomly from the ones that pass the screen.
3. Select the Ranking Option to rank results.
Select Transaction Type (whether the position is entered as a 'Long' or 'Short').
Enter percent of price Slippage to factor into your backtest.
Max Pos %
Set this value to the maximum position size as a % of total. This prevents from loading up in a few positions when few pass the screen.
Price
Select whether you want to price hypothetical buys as of the next day opening price, the next day closing price, or the average of next days's high and low prices.
Enter Start Date and End Date.
Select a Rebalance Frequency.
Click Run Backtest.

The tool lets you see how a screen would have performed for each period and summarizes the results calculating relevant statistics. This analysis tests the 'robustness' of a screen.

For example, there are 49 4-week periods in one year. By setting the Holding period to 4 Weeks and the Screen Frequency to 'Every Week', the test will calculate relevant statistics for each of the 49, 4-week periods.

To run an advanced backtest follow these steps:

Select Settings
1. Select the Universe and Benchmark.
2. Max No. Stocks
  Enter a positive number to limit the number of stocks. If no Ranking Option selected, the screen will select the number of stocks randomly from the ones that pass the screen.
3. Select the Ranking Option to rank results.
Select Transaction Type (whether the position is entered as a 'Long' or 'Short').
Enter Start Date and End Date.
Select Frequency
How often the screen should be run.
Select Holding Period.
This period indicates how long the stocks that pass the screen are held. To enter a custom period select 'Custom' in the drop down and enter the number of days.
Click Run Backtest.