Jamie Gritton's MI Backtester

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.

through
Holding Period: months
Name:
trading simulator

General instructions

Run the tester over the specified range of years. Available data runs from 1986 through 2011 for most screens. You may start at any month of the year, but other than January can only run through 2010/2011.

Stocks are picked from the screens every holding period (between 1 and 120 months) and held for that period.

Instead of selecting from the available screens, you may choose to enter codes from any of the backtesters to create hybrid tests. Simply copy the link listed at the top of a run & paste into the form. Also see the backtester code guide.

If you want to simulate actual trading, you can enter more parameters in the trading simulator.

You may give your backtest a name for convenience. If you use this backtest code in other testers, its name will be shown instead of a full description.

Screen:

All-Months Summary instructions

Select to screen to test, and ranks on that screen. The backtest is run twelve times, beginning in each month of the year. Results are given for each start month, as well as a composite for all months. Because of the delayed starts, you should run all-months summaries for one year shorter than for other tests.