Jamie Gritton's MI Backtester

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This is a tool for backtesting stock screens, as defined and used by the Mechanical Investing (MI) message board at The Motley Fool. While it's quite handy (if I do say so myself), it is by no means an introduction to (or even a description of) mechanical investing.

Testing Screens:

Standard Backtester

Test screens from the standard MI lists. You can run the tests with parameters you choose, including how many stocks to hold and how long to keep them.

Screen Builder

Build your own screens from Value LineŽ data. Stocks can be selected and sorted using any combination of the supplied data fields, allowing many variations of existing screens, and well as testing completely new ideas.

Combining Screens:

Screen of Screens

Combine the listings of multiple screens, adding their ranks and picking the stocks that score highest overall.

Blender

Build an entire investment portfolio, with different fractions of the total allocated to different screens.

Overlap

Select stocks that appear on both of two screens - like Screen of Screens, but more limited.

Screen Variations:

Hold-'til-Drop

Buy the stocks at the top ranks of a screen, and keep them until they are no longer on the screen at all, or ranked too low.

Dozens

Stagger longer-hold screens with a part of the portfolio trading each month.

Screen Switching

Choose between two screens based on the recent outcome of an index, looking for those that are better suited for up or down markets.

Meta-tester tools:

All-Months Summary

Run a backtest for all possible start months at once, and give composite statistics. This removes seasonality effects from longer-hold screens and can give a more accurate picture of their expected return.

Options Simulator

Use the Black-Scholes model to simulate option strategies using the backtested screens for underlying stocks. Various combinations of long and short stock, calls, puts, and cash can be simulated.

Crystal Ball

Pick the best stocks for the upcoming month, based on future performance. This clearly isn't an actual backtest, but may lead to something useful. Or not.

Weird Old Stuff:

These old backtester concepts seemed like a good idea at the time, but aren't of much use these days.
Movers Relative Strength of Screens Freshmen Overlap Occasional Overlap

Enter a backtest code:

Other Backtesters

Most of the screens on this site, and everything you can make with the Screen Builder, come from the Value Line database. For more screen possibilities, check out these two other publicly available backtesters:

Keelix's SIPRO backtester uses the SIPRO database available from The American Association of Individual Investors. You can test from a database of all stocks traded on American exchanges (instead of the 1700 Value Line looks at), with weekly data going back to 1997. The site also includes a message board, and rankings of many SIPRO screens.

Hugh Todd's WER Trade Simulator uses the Weekend Review data from Investors' Business Daily. It has fewer stocks that Value Line, pre-screened to IDB's own criteria. Weekly data is available back to 1992. There is also an associated message board for this tester.

Related Tools and Resources

RadiScreen (also here) is an essential tool for getting current picks from your own screens. Armed with a subscription to Value Line and a backtester code, this excel spreadsheet will do all necessary calculations for you. You can also use RadiScreen to get picks from the SIPRO database.

For SOS (Screen of Screens) picks, Brian Matthews' Saucer is the easy way to find the current list. Choose any of the standard MI screens, and the Saucer will combine them.

The Mechanical Investor by Michael Ghens features screen picks and a message board for MI and related subjects.

VTAlumni's VT-MI.com: Tools and analysis for backtest.org and keelix.com sponsored screens. A site to help aid in the process of selecting which group of blends, screens and ranks to use.

Mechanical Investing Board Resources by Mark Willcox has tools for the MI board, including a handy search function much better than TMF's own, and automated links to various screen rankings posts.