This tool lets you see how a screen would have performed in the past. To run a performance simulation for a screen, select the screen then click on the "Backtest..." button as shown below:
Figure 1
The the following page appears:
Figure 2
Start Date - Selects the starting date for the analysis.
Holding Period - This period indicates the rebalance frequency. For example if the Holding Period is 6 months and you are starting 1 year ago, there will be two rebalances.
Benchmark - The screen performance is charted versus the selected benchmark.
Output - Performance Chart
When you click "Run" a performance graph will be displayed that is similar to the one below. The first chart shows the screen performance versus the benchmark. The second and third charts show the turnover and number of positions at each rebalance period.
Stocks are purchased in equal dollar amounts at the start of the period and sold/rebalanced at the next period.
The impact of factors such as commissions, bid-ask spread, dividends and time-slippage (time between deciding to buy a stock and the actual purchase) are ignored.
Figure 3
Output - Performance Table
Below the performance chart, a table with details and statistics for each period is displayed. You can also download the results to Excel for further analysis. By clicking on the links in the "No Companies" column you can see the actual stocks selected at each period.
