Updates for March 2016 – #2

Following up from the new functionality added to the screener a few weeks ago, today we are releasing the option to define a Supplementary Entry Rule.  This rule will only be evaluated when a position is first taken, and will be ignored in subsequent periods where a position is carried over.  Several of you that we’ve spoken with have asked about the purpose of this rule, while others have emailed with questions about how to test a strategy where this rule would have helped.

Let’s approach this with an example from one of the recently published screens. There have been several published recently that are quite interesting, and If you haven’t already, you might want to take a look.  Regardless, we began with the screen BettiPenn4-63.  Quite a simple screen and implemented with an interesting mix of funds.    Personally, one might remove ZIV from the screen, but that is just a minor personal tweak, and the screen backtests well with it included.  The performance chart looks good for this screen before any changes producing a CAGR of 21.6, a Std. Dev. of 16.0, and an Ulcer Index of 4.1 when holding two positions for 21 day investment cycles.  Click here or the chart above for the screen backtest.

The first change was to tidy up the screen by removing several insignificant rules and then to add a rule to enter a new position only if the RSI-14 was below 75.  This should reduce the chances of purchasing a fund that is overly extended on a short term basis.  You can see from the cleaned up code at the right how simple this screen really is, and it gives a CAGR of 21.9, a Std. Dev. of 14.7, and an Ulcer Index of 3.6 with the addition of the new Entry Rule.

Because some symbols were skipped due to the Entry Rule the exposure rate for this run dropped from 100% to below 92%, and that means we could have been leaving money on the table.  The Minimum Acceptable Return rule introduced earlier this month never looks further down a screen for acceptable buys, but the Entry Rule will search until the end of the Hold Through Rank specification, with the goal being to fill the screen whenever possible.  If we take this two position screen and define a Hold Through Rank of just three, we can further improve this screen’s performance.  This takes our Exposure Rate back to 98+% and further improves our CAGR to 22.2%,  with a Std. Dev. of 16.0 and an Ulcer Index of  3.9.

These changes aren’t earth shattering for this screen, but that wasn’t the point.  The point was to demonstrate the use of this new capability, and we know some of you will find good uses for it – you already have.

We have several other features in various states of development, and which will be the next released has yet to be determined.  It could be a new breakout signal or a new section devoted to the volatility (a.k.a. VIX) funds.  The latter could be interesting and is probably the one with the greatest potential, but we’ll have to wait and see.  Additionally, there are a number of other more minor changes in the works.

We should acknowledge that we had too many issues with the Cash Investment feature released previously, and for that we apologize.  We hope this release goes better but trust you will let us know where it comes up short.  We always appreciate your feedback.

One thought on “Updates for March 2016 – #2

  1. This is my first exposure . I’m looking forward to learning
    what you have. I’m famliar with with stock screening but nothing on etfs.

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