Résumé « Backtesting » Ratio Rating Ranking Ratio Rating ...s4.e-monsite.com/2011/05/02/90072811rrbacktesting-pdf.pdf · 04-26-2011 Performance Historique du «RATIO RATING RANKING»

Résumé « Backtesting » Ratio Rating Ranking L’analyse du « backtesting » pour la période du 27/3/2009 au 1/04/2011 de la Stratégie Ratio Rating Ranking démontre que la sélection des 30 premières actions donne toujours le meilleur résultat quelques soit la période de détention des actions, la plus favorable, 4 semaines, donne un rendement moyen de 72,8% soit 33,1% de plus que le S&P500.Un nombre plus grand d’actions 50 ou N (980 à 156) ne donne aucun avantage, mais confirme la surperformance de la méthode par rapport à l’indice S&P500

Periode DétentionNbre de sociétés

Retour du Ratio

Rating Ranking %

Retour du S&P

500 Return %

Retour supplémentaire

de RRR %Annualisé 4 semaines 30 72.8 30.6 33.1Annualisé 12 semaines 30 69.2 30.4 31.9Annualisé 24 semaines 30 67.6 31.7 31.3Annualisé 52 semaines 30 60.2 30.5 29.7Annualisé 4 semaines 50 59.6 30.6 22.7Annualisé 12 semaines 50 59 30.4 23.5Annualisé 24 semaines 50 55.9 31.7 21.1Annualisé 52 semaines 50 54.6 30.5 24.1Annualisé 4 semaines N 58.6 30.6 21.9Annualisé 12 semaines N 57 30.4 21.8Annualisé 24 semaines N 65.2 31.7 29.2Annualisé 52 semaines N 55.9 30.5 25.4

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR 30) du 27/03/2009 au 1/04/2011, 4 semaines de détentions

Period Date Companiesin Portfolio

Tot Returnof Portfolio %

S&P 500 TotReturn %

Excess Retof Screen %

1 3/27/2009 30 27.3 6.4 20.82 4/24/2009 30 6.1 2.6 3.53 5/22/2009 30 11.4 4.1 7.34 6/19/2009 30 5.3 2.3 35 7/17/2009 30 11 6.9 46 8/14/2009 30 7.7 4 3.77 9/11/2009 30 5.8 2.9 2.88 10/9/2009 30 -1.7 -0.1 -1.69 11/6/2009 30 1.9 3.6 -1.7

10 12/4/2009 30 1.6 1 0.611 1/1/2010 30 4.1 -3.5 7.712 1/29/2010 30 5.6 3 2.513 2/26/2010 30 2.8 5.8 -2.914 3/26/2010 30 7 4.5 2.515 4/23/2010 30 -11.8 -10.5 -1.316 5/21/2010 30 2.5 2.9 -0.417 6/18/2010 30 -4.8 -4.6 -0.318 7/16/2010 30 4.9 1.5 3.419 8/13/2010 30 4.5 3 1.520 9/10/2010 30 9.7 5.2 4.521 10/8/2010 30 6.9 5.4 1.622 11/5/2010 30 0.1 0 0.123 12/3/2010 30 3.2 2.8 0.424 12/31/201

030 4.5 1.6 2.9

25 1/28/2011 30 2.8 3.6 -0.826 2/25/2011 30 -1.7 -0.3 -1.427 3/25/2011 30 -0.4 1.9 -2.3

Average 30 4.3 2.1 2.2

Up Markets

22 30 6 3.4 2.6

Down Markets

5 30 -3.2 -3.8 0.6

Annualized

72.8 30.6 33.1

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 196,4% 71,0%Total Compounded Return $ $29.64 $17.11Compounded Annual Growth Rate % 68,7% 29,5%Win Ratio % 81% 81%Winning Periods/Total Periods 22 of 27 22 of 27Avg. # of Stocks Held 30,0Avg. Periodic Turnover % 20,4%Avg. Return per Period % 4,3% 2,1%Avg. Winning Period % 6,2% 3,4%Largest Winning Period % 27,3% 6,9%Avg. Losing Period % -4,1% -3,8%Largest Losing Period % -11,8% -10,5%Max. Drawdown % -13,9% -12,1%Avg. Winning Stretch (# of Periods) 5,5 4,2Best Stretch (# of Periods) 8 8Avg. Losing Stretch (# of Periods) 1,3 1,0Worst Stretch (# of Periods) 2 1

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR30) du 27/03/2009 au 1/04/2011, 12 semaines de détentions

Period DateCompanies in Portfolio

Tot Return of Portfolio %

S&P 500 Tot Return %

Excess Retof RRR %

1 3/27/2009 30 42.5 13.7 28.82 6/19/2009 30 27.1 13.8 13.43 9/11/2009 30 6.3 6.5 -0.34 12/4/2009 30 11 0.3 10.75 2/26/2010 30 -4.5 -1 -3.46 5/21/2010 30 0.6 -0.3 0.97 8/13/2010 30 21 14.1 6.98 11/5/2010 30 10.2 4.5 5.79 1/28/2011 30 1.9 5.2 -3.3

Average 30 12.9 6.3 6.6Up Markets 7 30 17.1 8.3 8.8Down Markets 2 30 -1.9 -0.7 -1.2Annualized 69.2 30.4 31.9

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 179,0% 71,1%Total Compounded Return $ $27.90 $17.11Compounded Annual Growth Rate % 63,9% 29,5%Win Ratio % 89% 78%Winning Periods/Total Periods 8 of 9 7 of 9Avg. # of Stocks Held 30,0Avg. Periodic Turnover % 40,4%Avg. Return per Period % 12,9% 6,3%Avg. Winning Period % 15,1% 8,3%Largest Winning Period % 42,5% 14,1%Avg. Losing Period % -4,5% -0,6%Largest Losing Period % -4,5% -1,0%Max. Drawdown % -4,5% -1,3%

s Avg. Winning Stretch (# of Periods) 4,0 3,5Best Stretch (# of Periods) 4 4Avg. Losing Stretch (# of Periods) 1,0 2,0Worst Stretch (# of Periods) 1 2


Period DateCompaniesin Portfolio


S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 30 76.2 29.4 46.82 9/11/2009 30 13.2 6.9 6.43 2/26/2010 30 -9.1 -1.3 -7.74 8/13/2010 30 27.3 19.2 8.1



04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR30) du 27/03/2009 au 1/04/2011 52, semaines de détentions




Excess Retof RRR %

1 3/27/2009 30 115.3 46.5 68.92 3/26/2010 30 5.1 14.6 -9.5

Average 30 60.2 30.5 29.7Up Markets 2 30 60.2 30.5 29.7Down MarketsDown Markets 0 N/A N/A N/A N/AAnnualized 60.2 30.5 29.7

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 126,3% 67,9%Total Compounded Return $ $22.63 $16.79 Compounded Annual Growth Rate % 50,4% 29,6%Win Ratio % 100% 100%Winning Periods/Total Periods 2 of 2 2 of 2Avg. # of Stocks Held 30,0Avg. Periodic Turnover % 96,7%Avg. Return per Period % 60,2% 30,6%Avg. Winning Period % 60,2% 30,6%Largest Winning Period % 115,3% 46,5%Avg. Losing Period % 0,0% 0,0%Largest Losing Period % 0,0% 0,0%Max. Drawdown % 0,0% 0,0%Avg. Winning Stretch (# of Periods) 2,0 2,0

Best Stretch (# of Periods) 2 2Avg. Losing Stretch (# of Periods) 0,0 0,0Worst Stretch (# of Periods) 0 0




S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 50 21.9 6.4 15.52 4/24/2009 50 6.8 2.6 4.23 5/22/2009 50 7.3 4.1 3.24 6/19/2009 50 3.5 2.3 1.25 7/17/2009 50 12.8 6.9 5.96 8/14/2009 50 8.2 4 4.27 9/11/2009 50 5.2 2.9 2.38 10/9/2009 50 -2.8 -0.1 -2.89 11/6/2009 50 1 3.6 -2.6

10 12/4/2009 50 1.8 1 0.811 1/1/2010 50 1.3 -3.5 4.912 1/29/2010 50 4.3 3 1.313 2/26/2010 50 4.3 5.8 -1.514 3/26/2010 50 9.1 4.5 4.615 4/23/2010 50 -11.9 -10.5 -1.416 5/21/2010 50 2.5 2.9 -0.417 6/18/2010 50 -5.9 -4.6 -1.318 7/16/2010 50 3.3 1.5 1.819 8/13/2010 50 4 3 120 9/10/2010 50 8.8 5.2 3.621 10/8/2010 50 6.2 5.4 0.822 11/5/2010 50 0.2 0 0.123 12/3/2010 50 3.6 2.8 0.724 12/31/2010 50 2 1.6 0.425 1/28/2011 50 1.8 3.6 -1.8

26 2/25/2011 50 -0.6 -0.3 -0.227 3/25/2011 50 0.4 1.9 -1.5

Average 50 3.7 2.1 1.6Up Markets 22 50 5.4 3.4 2Down Markets 5 50 -4 -3.8 -0.2Annualized 59.6 30.6 22.7




S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 50 37.2 13.7 23.52 6/19/2009 50 24.7 13.8 10.93 9/11/2009 50 4.4 6.5 -2.24 12/4/2009 50 7.5 0.3 7.25 2/26/2010 50 -1.6 -1 -0.66 5/21/2010 50 -1.5 -0.3 -1.27 8/13/2010 50 20.4 14.1 6.48 11/5/2010 50 9.9 4.5 5.39 1/28/2011 50 0.7 5.2 -4.5

Average 50 11.3 6.3 5Up Markets 7 50 15 8.3 6.7Down Markets 2 50 -1.6 -0.7 -0.9Annualized 59 30.4 23.5

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 148,0% 71,1%Total Compounded Return $ $24.80 $17.11Compounded Annual Growth Rate % 54,8% 29,5%Win Ratio % 78% 78%Winning Periods/Total Periods 7 of 9 7 of 9Avg. # of Stocks Held 50,0Avg. Periodic Turnover % 40,3%Avg. Return per Period % 11,3% 6,3%Avg. Winning Period % 15,0% 8,3%

Largest Winning Period % 37,2% 14,1%Avg. Losing Period % -1,6% -0,6%Largest Losing Period % -1,6% -1,0%Max. Drawdown % -3,1% -1,3%s Avg. Winning Stretch (# of Periods) 3,5 3,5Best Stretch (# of Periods) 4 4Avg. Losing Stretch (# of Periods) 2,0 2,0Worst Stretch (# of Periods) 2 2




S&P 500 Tot

Return %Excess Retof RRR %

1 3/27/2009 50 64.8 29.4 35.42 9/11/2009 50 11.2 6.9 4.43 2/26/2010 50 -7.2 -1.3 -5.84 8/13/2010 50 22.2 19.2 3


STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 107,8% 62,7%Total Compounded Return $ $20.78 $16.27Compounded Annual Growth Rate % 48,6% 30,2%Win Ratio % 75% 75%Winning Periods/Total Periods 3 of 4 3 of 4Avg. # of Stocks Held 50,0Avg. Periodic Turnover % 65,3%Avg. Return per Period % 22,8% 13,5%Avg. Winning Period % 32,7% 18,5%Largest Winning Period % 64,8% 29,4%Avg. Losing Period % -7,2% -1,3%Largest Losing Period % -7,2% -1,3%Max. Drawdown % -7,2% -1,3%Avg. Winning Stretch (# of Periods) 2,0 2,0

Best Stretch (# of Periods) 2 2Avg. Losing Stretch (# of Periods) 1,0 1,0Worst Stretch (# of Periods) 1 1

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR50) du 27/03/2009 au 1/04/2011 ,52 semaines de détentions

Period DateCompanies in Portfolio

Tot Return of Portfolio %


Excess Ret of RRR %

1 3/27/2009 50 99.2 46.5 52.72 3/26/2010 50 10.1 14.6 -4.4

Average 50 54.6 30.5 24.1 Up Markets 2 50 54.6 30.5 24.1 Down Markets 0 N/A N/A N/A N/A Annualized 54.6 30.5 24.1

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return 119,3 67,9Total Compounded Return $ $21.93 $16.79Compounded Annual Growth Rate 48,1 29,6Win Ratio 100 100Winning Periods/Total Periods 2 of 2 2 of 2Avg. # of Stocks Held 50,0Avg. Periodic Turnover 92,0Avg. Return per Period 54,6 30,6Avg. Winning Period 54,6 30,6Largest Winning Period 99,2 46,5Avg. Losing Period 0,0 0,0Largest Losing Period 0,0 0,0Max. Drawdown 0,0 0,0Avg. Winning Stretch (# of 2,0 2,0

Periods)Best Stretch (# of Periods) 2 2Avg. Losing Stretch (# of Periods) 0,0 0,0Worst Stretch (# of Periods) 0 0

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR) du 27/03/2009 au 1/04/2011, 4 semaines de détentions



S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 981 19.3 6.4 12.82 4/24/2009 744 9.1 2.6 6.53 5/22/2009 626 6.4 4.1 2.44 6/19/2009 548 1.3 2.3 -0.95 7/17/2009 519 12.4 6.9 5.56 8/14/2009 311 7 4 37 9/11/2009 279 6 2.9 3.18 10/9/2009 226 -2.4 -0.1 -2.49 11/6/2009 229 1.9 3.6 -1.710 12/4/2009 214 2.5 1 1.511 1/1/2010 193 -0.2 -3.5 3.412 1/29/2010 201 3.5 3 0.513 2/26/2010 183 6.2 5.8 0.514 3/26/2010 156 7.8 4.5 3.315 4/23/2010 129 -9 -10.5 1.516 5/21/2010 189 3 2.9 0.117 6/18/2010 188 -4.6 -4.6 018 7/16/2010 229 1.9 1.5 0.419 8/13/2010 240 3.7 3 0.820 9/10/2010 223 7.5 5.2 2.421 10/8/2010 183 6.7 5.4 1.422 11/5/2010 167 0.4 0 0.423 12/3/2010 165 3.2 2.8 0.424 12/31/2010 158 2.1 1.6 0.5

25 1/28/2011 155 2.9 3.6 -0.726 2/25/2011 153 -2.1 -0.3 -1.827 3/25/2011 159 0.9 1.9 -1

Average 287 3.6 2.1 1.5Up Markets 22 311.8 5.3 3.4 1.9Down Markets 5 177.8 -3.7 -3.8 0.1Annualized 58.6 30.6 21.9


04-26-2011Performance Historique «RATIO RATING RANKING» (RRR) from 27/03/2009 to 1/04/2011, 12 semaines de detentions



S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 981 35.1 13.7 21.42 6/19/2009 548 21.4 13.8 7.73 9/11/2009 279 5.6 6.5 -0.94 12/4/2009 214 4.9 0.3 4.65 2/26/2010 183 4.4 -1 5.46 5/21/2010 189 0.1 -0.3 0.47 8/13/2010 240 18.8 14.1 4.78 11/5/2010 167 6.7 4.5 2.19 1/28/2011 155 1.8 5.2 -3.4

Average 328.4 11 6.3 4.7Up Markets 7 369.1 13.5 8.3 5.2Down Markets 2 186 2.2 -0.7 2.9Annualized 57 30.4 21.8

STATISTICS ex.: $10,000 start StrategyS&P 500

Total Compounded Return % 145,0% 71,1%Total Compounded Return $ $24.50 $17.11Compounded Annual Growth Rate % 54,0% 29,5%Win Ratio % 100% 78%Winning Periods/Total Periods 9 of 9 7 of 9Avg. # of Stocks Held 328,4Avg. Periodic Turnover % 36,8%Avg. Return per Period % 11,0% 6,3%

Avg. Winning Period % 11,0% 8,3%Largest Winning Period % 35,1% 14,1%Avg. Losing Period % 0,0% -0,6%Largest Losing Period % 0,0% -1,0%Max. Drawdown % 0,0% -1,3%s Avg. Winning Stretch (# of Periods) 9,0 3,5Best Stretch (# of Periods) 9 4Avg. Losing Stretch (# of Periods) 0,0 2,0Worst Stretch (# of Periods) 0 2

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR) du 27/03/2009 au 1/04/2011, 24 semaines de détentions



S&P 500 TotReturn %

Excess Retof RRR %

1 3/27/2009 981 66.1 29.4 36.72 9/11/2009 279 11.5 6.9 4.73 2/26/2010 183 2.3 -1.3 3.64 8/13/2010 240 24.4 19.2 5.2

Average 420.8 26.1 13.5 12.5

Up Markets 3 500 34 18.5 15.5Down Markets 1 183 2.3 -1.3 3.6Annualized 65.2 31.7 29.2

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 135,7% 62,7%Total Compounded Return $ $23.57 $16.27Compounded Annual Growth Rate % 59,1% 30,2%Win Ratio % 100% 75%Winning Periods/Total Periods 4 of 4 3 of 4Avg. # of Stocks Held 420,8Avg. Periodic Turnover % 60,2%Avg. Return per Period % 26,1% 13,5%Avg. Winning Period % 26,1% 18,5%Largest Winning Period % 66,1% 29,4%Avg. Losing Period % 0,0% -1,3%Largest Losing Period % 0,0% -1,3%Max. Drawdown % 0,0% -1,3%

Avg. Winning Stretch (# of Periods) 4,0 2,0Best Stretch (# of Periods) 4 2Avg. Losing Stretch (# of Periods) 0,0 1,0Worst Stretch (# of Periods) 0 1

04-26-2011Performance Historique du «RATIO RATING RANKING» (RRR) du 27/03/2009 au 1/04/2011 52, semaines de détentions



S&P 500 TotReturn %

Excess Ret of RRR %

1 3/27/2009 981 95.8 46.5 49.32 3/26/2010 156 16 14.6 1.4

Average 568.5 55.9 30.5 25.4Up Markets 2 568.5 55.9 30.5 25.4Down Markets 0 N/A N/A N/A N/AAnnualized 55.9 30.5 25.4

STATISTICS ex.: $10,000 start Strategy S&P 500Total Compounded Return % 127,1% 67,9%Total Compounded Return $ $22.71 $16.79Compounded Annual Growth Rate % 50,7% 29,6%Win Ratio % 100% 100%Winning Periods/Total Periods 2 of 2 2 of 2Avg. # of Stocks Held 568,5Avg. Periodic Turnover % 84,0%Avg. Return per Period % 55,9% 30,6%Avg. Winning Period % 55,9% 30,6%Largest Winning Period % 95,8% 46,5%Avg. Losing Period % 0,0% 0,0%Largest Losing Period % 0,0% 0,0%Max. Drawdown % 0,0% 0,0%Avg. Winning Stretch (# of Periods) 2,0 2,0Best Stretch (# of Periods) 2 2

Avg. Losing Stretch (# of Periods) 0,0 0,0Worst Stretch (# of Periods) 0 0

Documents

Résumé « Backtesting » Ratio Rating Ranking Ratio Rating ...s4.e-monsite.com/2011/05/02/90072811rrbacktesting-pdf.pdf · 04-26-2011 Performance Historique du «RATIO RATING RANKING»