Trading the Strategies and Calculating Performance Trading the Strategies All stocks are ‘purchased’ with an equal dollar amount. At the end of the holding/rebalancing period, the screen is run again, keeping the stocks that remain qualified, selling the stocks that no longer qualify and buying the new stocks that newly qualify.
Holding/Rebalancing Period: the amount of time a stock will be held once it qualifies the screen. In most cases, the holding/rebalancing period is four weeks (unless otherwise indicated). * Win Ratio: the number of winning (profitable) holding periods out of the total number of available holding periods within the backtested time span. For example; if there were 39 winning holding periods out of a total of 52 available holding periods, the win ratio would be 75%.
Calculating Performance At the beginning of each holding period, a list of stocks (portfolio) is generated. The period’s returns are calculated using the % change in price from the beginning of the holding period to the end of the holding period, plus any applicable dividends. The returns for the portfolio is the arithmetic mean of the returns for the individual companies in the portfolio. Compounded performances (when stated), were calculated by taking a hypothetical starting equity amount and calculating the total return for the period. Each subsequent period then used the resulting equity balance as its start to calculate that period’s total return. No consideration was been given to commission costs, slippage or any other real-world constraints, in any of the performance calculations.
