Stock Backtest – How It’s Done

Written by

Jae Jun

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Stock Backtest Performance and How Each One is Done

Along with the predefined value stock screens, a detailed discussion and stock backtest is performed on each stock screen.

Rather than just creating new value strategies and publishing it, I want to make sure that it has a good long term track record which is why a stock backtest is performed and refined before the screens are published.

Here are a few common stock backtesting criteria across all the value screens.

  • No financial stocks
  • No ADR’s
  • No OTC stocks
  • Minimum volume required
  • 15 positions
  • Slippage range of 1% to 5% depending on strategy

All the screens are currently 100% long. No short screens available at the moment.

To learn more about each stock backtest, read about each one using the links below.

How the Stocks Backtest Were Performed

Altman Z score Stock Backtest

Backtesting to see how high Altman Z score stocks perform.

Benjamin Graham Stock Selection Backtest

A stock screen based on Benjamin Graham’s stock selection criteria consisting of 10 points. Results show that just four out of the ten criteria produce the best performance.

Value Stocks with the Graham Formula

A screen based on Benjamin Graham’s original intrinsic value formula.

V* = EPS X (8.5+2g) X 4.4 / Y

CROIC and ROIC Stock Screen Backtest

This screen is designed to identify turnaround stocks by searching for companies where CROIC has been increasing for 3 years.

FCF Stock Screen Backtest

Screening for stocks with increasing free cash flow (FCF) and reduction in debt.

This screen is labeled “FCF cows” as it seeks to find stable, cash rich companies growing their FCF, yet selling at a cheap multiple to FCF.

Insider Buying Stock Screen Backtest

A screen that seeks to identify companies where insiders are buying on the open market without any recent sale transactions.

Low Expectations Screen Backtest

A screen for companies where PE is between 7 and 8.5.

Negative Enterprise Value Screen Backtest

Stocks that pass this screen have excess cash far outweighing debt but are viewed negatively by the market.

NCAV NNWC Backtest

Screens for stocks where the price of the stock is trading below the Net Current Asset Value (NCAV).

NCAV, NNWC and Increasing NNWC Backtest

This screen displays companies with positive and increasing Net Net Working Capital (NNWC) compared to the previous quarter.

Best Piotroski Combination Backtest

This screen uses only the best performing criteria from the Piotroski score.

Piotroski Score Screener Backtest

Earning a Piotroski Score of 9 places a company onto this screener.

Share Buyback Screen Backtest

A screen for companies where the shares outstanding for the most recent quarter is less than the trailing twelve month shares outstanding.

More Free Stock Backtest Resources

If you want to try performing some backtests yourself, here are some links to help you out.