Hi
Totaly new here so perhaps I’ve made somewhere mistake but to me this looks like there is survivorship bias in data. When I played around with backtester I set number of stocks to 500 and chose SP500 as universe. So obviously screen would be invested just in all sp500 stocks and therefore I expected to see the performace of screen to be almost exactly like SP500. Other parameters were default. But results showed annual performance of the screen to be 9.49% p.a. while sp500 was 3.37%. I didn’t insert graphs but lines were copying each other perfectly with only difference that line of the screen was steadily further and further away from SP500 line.
My question is. Is there something I’m doing wrong or is there any issue with the data?
EDIT: Can anyone please try to recreate backtest I did and post results? Thank you 