The user must select the Start and End dates (1) to view the transactions within the application. Additionally, the user can export the data to a CSV file by clicking the Export to CSV button (2). There are two export options: the user can either export the data for the current view or choose to export all historical data for a more comprehensive dataset.
On this page, the user can view the percentage allocation invested in each sector, along with the cash position, for each month of the strategy. This breakdown provides a clear overview of how the portfolio’s sector allocations and cash holdings have evolved over time.
This page presents an overview of the strategy configuration for Super Value and is divided into three main sections: General Settings, Ranking Criteria, and Strategy Parameters. Here's a breakdown of each section:
1. General Settings
- This section provides an overview of the key parameters governing the backtest.
- Period: Displays the timeframe of the backtest, in this case, from August 2004 to September 2024.
- Benchmark: Indicates the benchmark index used for comparison, which is the S&P/TSX Composite Total Return (TSXTR).
- Initial Cash Investment: Specifies the starting value of the portfolio, which is $1,000,000 in this example.
- Target Cash: This is set to 0%, meaning no specific cash allocation target is set for this strategy.
- Cash Interest: The interest earned on cash holdings, which is currently not specified.
- Cash Management: Cash in the portfolio is managed on a Monthly basis.
- Buy/Sell Frequency: The frequency at which the Buy/Sell list is updated is set to Quarterly.
- Based On: The strategy is based on Calendar Year Ends, meaning adjustments are made at the end of each quarter.
2. Ranking Criteria
- This section outlines the variables used to rank the stocks in the strategy.
- P/E CYM (Price to Forward Earnings): One of the key ranking variables, weighted at 50%. The strategy prefers stocks with lower P/E values, indicated by the preference for Low values are best.
- P/B (Price to Book Value): Another ranking variable, also weighted at 50%, with a similar preference for Low values are best.
- These two variables form the basis of the stock ranking within the portfolio.
3. Strategy Parameters
- This section lists the rules and conditions that govern the strategy's buy and sell decisions.
- Buy Rules: The conditions required to trigger a buy include:
- The stock must rank in the top 20% based on the ranking criteria.
- The stock's Cash Flow from Operations (CFOA) over the last four quarters must be greater than or equal to zero.
- Sell Rules: Not specified on this page, but likely similar in format to the buy rules.
- Backtest Rules:
- Industry Screens: No industry screens have been applied, meaning the strategy does not exclude any specific industries.
- Portfolio Screens: No additional portfolio screens are applied to the strategy.
Overall, this page gives a detailed summary of the configuration for the Super Value strategy, including the variables used, the cash management policies, and the buy/sell rules that guide the investment process.
Accessing the Strategy Module
Creating a New Strategy
Defining Ranking, Buy and Sell Rules
Advanced Configuration
Back-Testing the Strategy
Analyzing Back-Test Results
