![]() ![]() Periodic Turnover % - percentage of turnover (stocks sold and new stocks bought) in the portfolio each period. # of Stocks Held – average number of stocks help in the portfolio each period.Īvg. ![]() Winning Periods/Total Periods – number of winning periods out of the total number of periods in the test.Īvg. (This shows how often your strategy's portfolio wins and how often it loses.) Win Ratio – winning periods divided by the total number of periods in the test. If the test period was for more than a year (five years for example), or less than a year (5 months for example) the Compounded Annual Growth Rate would show the annual return (i.e., how the 5-year total return breaks down into annual returns or how the 5 month return would look on an annual basis if the same type of results continued for the rest of the year). If the test period was for an entire year, the Total Compounded Return and the Compounded Annual Growth Rate would be the same. Total Compounded Return % – performance for the test period.Ĭompounded Annual Growth Rate % – a measure that translates performance into a yearly return. This displays the return and risk metrics. The snapshot below is of the statistics table. Lists the excess returns (or deficit returns) of the strategy compared to the benchmark. Indicates the benchmark's periodic returns. In this example, this screen was designed to always pick five stocks.ĭisplays the strategy's periodic returns. Specifies the number of stocks that passed your screen in each period. List the individual holding periods in your test along with the corresponding start dates. It also includes other summary statistics such as the average number of stocks held, and etc. Specifies the average return of your strategy and the benchmark during your test period, including the average return when the market was up and the average return when the market was down. Indicates the number of up and down markets (periods) seen by the MARKET, i.e., the benchmark selected – in this case the S&P 500), during your test period. ![]() On the Research Wizard Menu Bar, select Backtest.ĭisplays the annualized returns for your backtest report. Let's run a backtest on one of the saved screens that comes loaded with the Research Wizard. In other words, does your screen generally find stocks that go up once they've been identified or does your screen generally find stocks that go down once they've been identified? This is important information to know.Īnd in this week's Tips and Tricks, we'll go over how to read the backtest reports so you can make a more informed decision on your screens results. Once you've created a screen, you can backtest it to see how good (or bad) your screening strategy has performed. With over 8,500 stocks to choose from, it's essential to know if your strategy has success at finding the good ones.īut of course, just because you narrowed down 8,500 stocks to only a handful, does not necessarily mean that you've picked the best stocks on the planet. Backtesting is one of the only ways to see how successful your screening strategies or trading strategies are before you place a trade. ![]()
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