I have a screen and ranking system which backtest great by choosing the 4 highest-ranked stocks.
My question is, instead of choosing stocks ranked 1 - 4, how would I choose stocks ranked 2 - 5 or 7 - 10 or whatever? I want to be able to backtest this.
Thanks, but it doesn’t work the way I would expect it to.
If Max # Stocks = 4 and NO RankPos rule: Ann ret. = 40.45%
If Max # Stocks = 0 and Between (RankPos, 1, 4): Ann ret. = 12.20%
I would expect both of those conditions to return the same result because the screen is (supposedly) selecting stocks ranked 1 - 4. They are logically identical.
To cover the other permutations:
If no Rank Pos Rule and Max # Stocks = 0: Ann ret. = 12.23%
If Max # Stocks = 4 and Between (RankPos, 1, 4): Ann ret. = 12.20%
I get different backtest results depending on whether this rule is engaged and Max # Stocks is set to 0, or the rule is disengaged and Max # Stocks is set to 3.
The actual stock picks are identical; only the backtest results differ. If the stock picks are identical, then the backtest results should also be.