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Greg,
Thanks for the screen. The results indeed look very
interesting. However, with regards to using QP2 to
backtest, please read the following message from
Tomasz responding to my question about QP2 and
backtesting fundamental data:
http://groups.yahoo.com/group/amibroker/message/19891
Since the valueline screen goes back to 1986, I don't
think you can get AMIBroker to read from QP2 that
back,
either because QP2 doesn't provide the data (they
only go back 8 quarters I believe), or AB doesn't
have the required fields.
Let me know if you find a way to backtest such data
with AB--I would be very interested.
Walid
--- greg <greg.bean@xxxx> wrote:
> Hi,
>
> I found this screen using P/E and Price to book
> value that seems to give good returns. I don't have
> P/E or PTB data but thought those that do might want
> to try doing some backtests. There are some
> variations that give better results and I wanted to
> include them, but I am having trouble downloading
> them. it would be interesting to see what market cap
> range gives the best returns. I'm not sure if
> Valueline Timeliness ratings were part of the
> attached backtest results so your results may be
> different from those below. I started an afl to give
> you an idea of what parameters to plugin. Looks like
> I'm going to have to use QP2 data , if I want to
> test this and the float analysis afl. Maybe I'll
> subscribe in August.
>
> Greg
>
> /* MI PEBsize */
>
>
>
> //Current P/E Ratio bottom 30%//
>
> //Book Value per share != 0//
>
> //Price / Book Value per share bottom 50%//
>
> //Price / Book Value per share top 60%//
>
> //Market Cap $ (Mil) bottom 5//
>
> //Buy on first Monday of month,h old for One Month//
>
>
> Jamie Gritton's Backtest Engines
> Screen Builder
> "7bpeb73697a65"
> Current P/E Ratio bottom 30%
> Book Value per share != 0
> Price / Book Value per share bottom 50%
> Price / Book Value per share top 60%
> Market Cap $ (Mil) bottom 5
> URL:
>
SBv86010101Q7bpeb73697a65QXcpeB30HXbvsNE0XpriDbvsB50HXpriDbvsT60HXmcpB5UUUUU
> through
> Starting in
>
JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecember
>
> Holding Period: months
> List picked stocks
> Show all months
> URLs trading simulator
>
> TimelinessTM -
>
> Timeliness(tm) RankSafety
> RankFinancial StrengthIndustryIndustry RankPrice
> Stability RankBetaCurrent EPSCurrent
> DividendTechnical RankPriceHigh Price 52-WeekLow
> Price 52-WeekCurrent P/E Ratio% Current YieldPrice
> to Book ValueTotal Return 13-WeekTotal Return
> 26-WeekMarket Cap $ (Mil)Options ListingSales%
> Earned Net Worth% Retained to Common EquityBook
> Value per shareDebt as % Capl Latest Qtr% EPS Chg
> from Last Qtr% EPS 12-Month Chg Latest QtrEPS Growth
> 5-YearDividend Growth 5-YearBook Value Growth
> 5-YearEst % EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs
> OutEst % EPS Chg Fiscal YearProj 3-5 Yr %
> AppreciationProj EPS Growth RateProj Dividend Growth
> RateProj Book Value Growth RateProj 3-5 Yr Avg
> ReturnCashTotal Current AssetsTotal AssetsCurrent
> LiabilitiesLong-Term DebtNet WorthCash FlowNet
> IncomeIndustry NameExchange Code% Institutional
> HoldingsCommon Shares Outstanding
> =!=><>=<=topbottom
> Timeliness(tm) RankSafety
> RankFinancial StrengthIndustryIndustry RankPrice
> Stability RankBetaCurrent EPSCurrent
> DividendTechnical RankPriceHigh Price 52-WeekLow
> Price 52-WeekCurrent P/E Ratio% Current YieldPrice
> to Book ValueTotal Return 13-WeekTotal Return
> 26-WeekMarket Cap $ (Mil)Options ListingSales%
> Earned Net Worth% Retained to Common EquityBook
> Value per shareDebt as % Capl Latest Qtr% EPS Chg
> from Last Qtr% EPS 12-Month Chg Latest QtrEPS Growth
> 5-YearDividend Growth 5-YearBook Value Growth
> 5-YearEst % EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs
> OutEst % EPS Chg Fiscal YearProj 3-5 Yr %
> AppreciationProj EPS Growth RateProj Dividend Growth
> RateProj Book Value Growth RateProj 3-5 Yr Avg
> ReturnCashTotal Current AssetsTotal AssetsCurrent
> LiabilitiesLong-Term DebtNet WorthCash FlowNet
> IncomeIndustry NameExchange Code% Institutional
> HoldingsCommon Shares Outstanding
> =!=><>=<=topbottom
>
>
> Timeliness(tm) RankSafety
> RankFinancial StrengthIndustryIndustry RankPrice
> Stability RankBetaCurrent EPSCurrent
> DividendTechnical RankPriceHigh Price 52-WeekLow
> Price 52-WeekCurrent P/E Ratio% Current YieldPrice
> to Book ValueTotal Return 13-WeekTotal Return
> 26-WeekMarket Cap $ (Mil)Options ListingSales%
> Earned Net Worth% Retained to Common EquityBook
> Value per shareDebt as % Capl Latest Qtr% EPS Chg
> from Last Qtr% EPS 12-Month Chg Latest QtrEPS Growth
> 5-YearDividend Growth 5-YearBook Value Growth
> 5-YearEst % EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs
> OutEst % EPS Chg Fiscal YearProj 3-5 Yr %
> AppreciationProj EPS Growth RateProj Dividend Growth
> RateProj Book Value Growth RateProj 3-5 Yr Avg
> ReturnCashTotal Current AssetsTotal AssetsCurrent
> LiabilitiesLong-Term DebtNet WorthCash FlowNet
> IncomeIndustry NameExchange Code% Institutional
> HoldingsCommon Shares Outstanding
> =!=><>=<=topbottom
> more rules
> Expressions post-1997 fields
>
> Screen S&P
>
> CAGR 41 14
> GSD 30 18
> Sharpe Ratio 1.23 0.58
>
> CAGR+3s 206 85
> CAGR+2s 137 57
> CAGR+1s 83 34
> CAGR-1s 9 -3
> CAGR-2s -16 -17
> CAGR-3s -35 -30
>
> Winning stocks 541
> Average gain 11
> Losing stocks 379
> Average loss -8
>
> 1986 55 24
> 1987 -14 5
> 1988 84 11
> 1989 55 36
> 1990 21 -5
> 1991 112 31
> 1992 35 7
> 1993 54 10
> 1994 27 2
> 1995 84 39
> 1996 19 23
> 1997 32 27
> 1998 14 33
> 1999 2 20
> 2000 26 -11
> 2001 120 -9
>
> January 5 3
> February 4 1
> March 3 1
> April 5 2
> May 4 2
> June -0 1
> July 3 0
> August 2 -0
> September 0 -1
> October 1 1
> November 0 2
> December 7 2
>
> 971 trades (5.1 / period)
>
> all-months summary
> spreadsheet export
>
> 6 Jul 2002 Purchased Gain Ann'd S&P Total
> Pick
>
> Initial 10000
> 6 Jan 1986 -7 -56 2 9336
> 3 Feb 1986 12 286 5 10447
> 3 Mar 1986 15 436 6 12016
> 30 Mar 1986 -3 -30 -0 11670
> 5 May 1986 16 466 3 13484
> 2 Jun 1986 9 168 3 14638
> 30 Jun 1986 -4 -36 -6 14107
> 4 Aug 1986 3 44 6 14539
> 1 Sep 1986 1 15 -7 14708
> 29 Sep 1986 3 49 7 15208
> 3 Nov 1986 -6 -54 2 14259
> 1 Dec 1986 9 177 2 15522
> 5 Jan 1987 1 13 10 15684
> 2 Feb 1987 15 443 2 18058
> 2 Mar 1987 0 1 2 18069
> 30 Mar 1987 -1 -14 0 17841
> 4 May 1987 0 1 0 17848
> 1 Jun 1987 3 35 7 18304
> 29 Jun 1987 1 14 3 18510
> 3 Aug 1987 4 68 4 19330
> 31 Aug 1987 -7 -56 0 18067
>
=== message truncated ===
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