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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.
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Trading simulation
Start with an initial investment. You may also add more
money periodically. You can also subtract from the portfolio by adding a
negative amount.
Instead of adding or subtracting a fixed amount, you can elect to keep the
portfolio at a fixed allocation. This is useful for testing costs
without considering the effects of compounded growth, to see what your money
might do this year.
Normally, the stocks held in a screen are rebalanced on every trade.
You can also specify to never rebalance, which may allow one stock to dominate
a screen as it grows, or rebalance at a fixed interval (which must be a
multiple of the holding period).
You can pay a fixed commission (which is applied to every buy and
sell) as well as a percentage spread (half applied on buy, half on
sell).
Capital-gains taxes can be applied, both short-term and
long-term. Taxes may be taken out on every trade, quarterly, or
annually.
Screen rankings come out on Friday, and backtests are typically done with
the closing prices on the next Monday, one day after the rankings.
This lag between ranking and trading can be varied from zero days (trade on
Friday) and upward.
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Screen Builder instructions
Screens are built from a series of rules. Each rule is a filter that
excludes stocks that don't pass - a stock must pass all rules to be selected.
You may start with all stocks, restrict to a selected range of
Timeliness™ ranks.
Rules (except optional initial backtest code or Timeliness™) are
generally entered as algebriac/programming expressions of Value LineŽ
data fields and numbers (and ocasionally quoted strings), with the comparison
operators (= != > < >= <=), arithmetic operators
(+ - * / **), and parentheses. The boolean operators
"&" (AND) and "|" (OR) can be used to satisfy
multiple conditions in a single expression. The field (column) names are
represented by 3 or 4-letter codes, as explained in this
field guide.
Sort rules are entered using the keywords "top" (i.e. descending)
and "bottom" (i.e. ascending), followed by a number. Tie-breakers
can be included as a comma-separated list of expressions before the
"top" or "bottom". You may select a percentage
of the current stock list (rounding down), instead of a fixed number of stocks,
by appending a "%" to the number.
Some screens are built with fields that don't exist during the entire
backtest period. To extend the backtest further in these cases, you can assign
replacement values to missing fields. Use the special form "(fld1 |
fld2)" to use the field fld2 when fld1 is
unavailable. Similarly, you can use a constant when a field is unavailable,
e.g. "(fld1 | 0)". Many screens also use total-return fields not
available from earlier Value LineŽ data (such as tr4w - Total
Return 4-Week), but this is handled automatically from the daily price
data.
All this may sound pretty complicated. It is, but not unreasonably so. For
example, here's the popular
PEG
screen. If you can make sense of that, you should be able to build your own
screens as well. There's also a simpler method of building
(simple) screens using pull-down menus of some fields, and a single comparison
or sort operator. Only some fields are available (those that existed before
1997) and no arithmetic expressions are possible. Still, this is sufficient
for many screens.
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