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The Backtest: All you need to know

Open the Next Generation: Piotroski Score Stock Screener and backtest the strategy

This strategy only allows 10 stocks at a time because we indicated the maximum number of holdings in the "max_holdings" tab.

The Backtest will buy all stocks that pass the strategy on the start date of the backtest, in the case above that date is Jun 1, 2003.

The backtest, by default, rebalances every Tuesday. What does it do when it rebalances?

- When the backtest rebalances it checks to see whether the stocks that passed since the previous rebalance still pass the strategy and it also checks to see if any new stocks pass the strategy. It sells the stocks that no longer pass and buys the stocks that recently pass the strategy.  It also gives equal portfolio weight to each stock in the strategy at each rebalance.

What If you want to change when it rebalance?

- Create a Tab Called "rebalance" and specify when or how often You want it to rebalance.

- Putting True inside of the tab will make the backtest rebalance daily and putting False inside the tab will make the backtest never rebalance.

Lets change the backtest to a monthly rebalance:

Now re-backtest the strategy:

Notice how the number of trades went from 1600 to 1000 thru 10 years

The green line represents the strategy based on buying and selling the stocks that pass the Next Generation: Piotroski Score stock screener. Notice how it starts at $100 and goes up or down from there. If at any point the green line reaches 200 that means your strategy has made a 100% return on that date.

Click on Screener to view the annualized and total returns of the strategy:

How are returns calculated?

- The returns are calculated per stock based on the open of the day the stock was bought to the open of the day the stock was sold. Then that return for the particular stock while it was held in the backtest is added to the total return of your strategy.

What stocks passed the strategy at a certain point in the backtest?

- Click on any point in the backtest and you can select view results as of Month Day, Year

How do I change the dates in which the backtest is run?

There are two ways to change the dates

- Use the date chooser or type the dates in manually

- Scroll up on the graph to zoom in on specific dates then you can click on the graph and drag to move horizontally.

Plot the average of a property of the stocks in the backtest on a particular date

- Switch to the Tools Tab and drag the property PE to "Show in Results"

Now Re-Backtest and notice how the average PE of the stocks that were in the backtest for any particular date is now plotted on the graph.

Backtest Breakdown

The backest breakdown shows you the performance of a strategy in each particular year. If you zoom in on the chart you can view performance on each particular month and day in the past. 

In the upper right hand corner of the graph there is an option to "show all days", "show only bullish days", "show only bearish days", and "show random days". Selecting any of those optionswill allow you to compare the performance of the strategy versus the market only on days when the market is going up or going down or a random set of days.

Backtest Table

The Backtest Table displays the value of every line in the backtest for every single date in the backtest

Click on the Excel Export Icon

Explorer Tab

The Explorer Tab will ALWAYS be located on the upper left hand corner of the program. It allows you to easily access all parts of the program without having to return to your main account screen.




System Watchlists contains all watchlists that Equities Lab has created and are available to view by YOU

System Stock Screeners contains all of the stock Screeners that we have already created for you to browse and hopefully find potential investments.

System Trading Models contains all of the trading models that we have already created for you to browse through and hopefully get a better understanding of buying and selling based on technical and/or fundamental criteria.

System Formulas are a set of formulas that we have created for you to use in the creation of your stock screeners or trading models. They can be anything from popular technical indicators to fundamental criteria to ratios that aren't already included in our data.

Examples Stock Screeners are a set of stock screeners designed to get you familiar with Equities Lab. Inside this category you will find sub categories of Quick Start Screeners which correspond with the stock screener quick start guide. You will also find the Operators 101 Stock Screeners which use each one of our powerful mathematical operators. Getting familiar with our operators will be important in your creation of stock screeners and trading models.

Examples Trading Models are a set of trading models that are designed to get you familiar with our powerful mathematical operators in Trading Models.

My Stock Screeners are all stock screeners that you have created and saved, system stock screeners that you have saved in your account, and system stock screeners that you have changed and saved into your account.

My Watchlists are all watchlists that you have created. In these watchlists you will find securities that pass certain criteria.

My formulas are saved formulas that you have either created from scratch, or formulas that you have saved from a stock screener or trading model after you converted it into a variable.

My Trading Models are all trading models that you have created and saved, system trading models that you have saved in your account, and trading models  that you have changed and saved into your account.

Details Box

The description box will give a short summary of whatever your mouse is currently hovering over.

The Create New _____ Toolbar

Create New Stock Screener
Create New Trading Model
Create New Watchlist
Create New Formula

Backtest Graphs

The Rotating Backtest graph displays backtest results of any stock screener or watchlist you are hovering over.

The backtests rotataes from a 1 year, 3 month and 1 month time interval to give you a snapshot of how the stock screener or watchlist is performing

Searching in Explorer Tab

To search for something specific simply type it inot the search bar or to limit your results to only showing stock screeners, watchlists, Trading Models, or formulas simply click on the corresponding icon next to the search bar illustrated below.