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
Backtesting to see how high Altman Z score stocks perform.
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.
A screen based on Benjamin Graham’s original intrinsic value formula.
V* = EPS X (8.5+2g) X 4.4 / Y
This screen is designed to identify turnaround stocks by searching for companies where CROIC has been increasing for 3 years.
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.
A screen that seeks to identify companies where insiders are buying on the open market without any recent sale transactions.
A screen for companies where PE is between 7 and 8.5.
Stocks that pass this screen have excess cash far outweighing debt but are viewed negatively by the market.
Screens for stocks where the price of the stock is trading below the Net Current Asset Value (NCAV).
This screen displays companies with positive and increasing Net Net Working Capital (NNWC) compared to the previous quarter.
This screen uses only the best performing criteria from the Piotroski score.
Earning a Piotroski Score of 9 places a company onto this screener.
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.