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Understanding Backtest Output Report |
The Historical
Performance of the Screen report shows a summary of your
strategy and compares it with the specified Benchmark. It
shows statistics such as portfolio return, Benchmark
return and excess returns for entire time span and for
individual periods. It also displays how the investment
strategy performed in up and down markets. The Historical
Performance of the Screen report contains the following
data: Period –
displays the number of holding periods in your
backtest.
This number will depend on the time span and the number
of weeks in your holding period
specifications. Date –
identifies holding period end dates. Companies In
Portfolio – number of companies passed the
screen in each period. Total Return of
Portfolio % – the return of the portfolio
comprised of stocks that passed the screening
criteria for the
period. The returns are "forward -looking" - that is the
return value for the week 6/11/1999 represents the return
that would be earned during the week from 6/11/1999 to
6/18/1999. These returns are unweighted - in other words,
the return for the portfolio is the arithmetic mean of
the returns for individual companies in the
portfolio. Calculation:
Total Return of Portfolio%: TotRet = PrChMean +
DivYldMean * nWeekBt / 52; where PrChMean = Average of
i120 (1 wk) or i11(4 wk) or i13(12 wk) or i15(24 wk) for
active universe (DBCMHIST), and DivYldMean = Average i26
for active universe. Benchmark Total
Return % – the return of the benchmark for the
period shown. Excess Return of
Screen % – the return of the portfolio less the
return for the benchmark return for the period
shown. Average –
average value of each of the columns. Up Markets
– average for those rank dates where the benchmark
return was positive. Displays number of
periods. Down Markets
– average for those rank dates where the benchmark
return was negative. Displays number of
periods. Annualized
Return – calculated as the average return raised
to the power (52 / Holding Period in Weeks).
Calculation: ((1+(Average of
TotRet)/100)^(52/nWeekBt)-1)*100
.