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The Daily Reckoning

New Feature: Backtesting in All-In-One Screener

We have just released the backtesting feature

June 20, 2016

We are excited to let you know that we have added the Backtesting feature in All-In-One Screener which is free of survival bias caused by the historical mergers/acquisitions/spin-off/delisting.

Here is how to use GuruFocus Backtesting Function:

  1. Go to GuruFocus All-In-One Screener
  2. Set up the filters for the strategy that you want to invest with just like the way you use All-In-One Screener
  3. In the results area of the All-In-One Screener, look for the “Backtesting” tab, which is next to “Active Filters”
  4. Under the “Backtesting” tab, you can set up your backtesting parameters:
    1. The year you want to start the backtesting (up to 3 years for Premium Members and 10 years for PremiumPlus Members.)
    2. The frequency you want to rebalance the portfolio (quarterly, semi-annually, and annually)
    3. How you want to rank the list with, only the filters you selected are available for the ranking
    4. In which order to rank the list
    5. Up to how many stocks you want to have in the testing portfolio
  5. The results of the backtesting will be displayed after the calculation is finished. You can see the annual and overall performances of strategy from the “Performance” tab. You can also check out the historical holdings from the “Results” tab.

This is the first release of the backtesting function. Filters such as Gurus, Insiders are not yet functional. We will continue to work on the backtesting feature and make it cover all the filters and make it faster. In the meantime, please let us know if you observe any bugs or if you have any suggestions.

The backtesting should be free of survival bias as all of the historical mergers/acquisitions/spin-off/delisting are considered in the backtesting.

Premium Members can backtest for up to 3 years. PremiumPlus members can back test for up to 10 years. If you are not a Premium Member, please feel free to take a 7-day Free Trial.

About the author:

Charlie Tian, Ph.D. - Founder of GuruFocus. You can now order his book Invest Like a Guru on Amazon.

Rating: 5.0/5 (2 votes)



Praveen Chawla
Praveen Chawla premium member - 2 years ago

Great feature - though I note that it does not seem to work with my customized metrics.

Also could enable a "no rebalance option" in the rebalancing drop down (i.e. buy and hold). Most times it takes more than 12 months for a stretegy to show results.

Gurufocus premium member - 2 years ago
It's not working with customized filters yet, but will be in future releases.
Don Li
Don Li premium member - 2 years ago

Hi Pravchaw, we will consider your suggesion adding "no rebalance option" in the rebalancing drop down.

Mark - 2 years ago    Report SPAM

Thanks. Potentially great feature. Even better if we can set sorting on pre-set value screens like Magic Formula etc with added filters.

GuruTom - 2 years ago    Report SPAM

Weekly and Monthly periods would be useful to many who use rotational strategies, or simply for comoparison of other time frames.

Options to weight position sizes relative to volatility implied risk such as with Percentage Average True Rage, ATR%(n) where n is a user-selected number of days, or some other measure would be useful. This could also be provided as an option for ranking stocks for equal-weight portfolio selection, such that higher rank would be assigned to stocks with lower volatility. A user option to assign higher rank to direct or inverse correlation to the parameter provides for more evaluation flexibility.

Richday101 - 2 years ago    Report SPAM

Backtesting is a great feature. Unfortunately, 3 years is too short for backtesting any strategy. It would be nice if Premium Members could get 10 years history. Keep up the good work.

Tripitaka - 2 years ago    Report SPAM

Great to have this feature available thank you - something I have been looking for & hoping gurufocus would deliver. Can I confirm that the returns calculated are in US dollars rather than domestic currency for non-US stocks?

If I could add my wishlist it would be: longer look-back period, greater number of stocks included & ability to use custom filters.

Gurufocus premium member - 2 years ago

Backtesting is currently only for US stocks.

We will add the customized filters to backtesting, too.

Wazvito - 2 years ago    Report SPAM

Would love to see the Backtesting go back even further than 10 years, to the full 20 years since those financial statements are available on the site already.

Depfa01 premium member - 1 year ago

One clarification please - what are the entry and exit prices taken as reference? I would assume the open of the month and the close of the month of the applicable period. I double checked and found many inconsistencies and this is way I am asking.

Thank you in advance



Cogito - 1 year ago    Report SPAM

Sounds great - and it would be very helpful if this was avaible also for European stocks and via an API, thus allowing full control by the user (might make me consider Premium Plus if it was available there)

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Brad.grasl premium member - 8 months ago

Can you confirm that the backtest portion of the screener uses Morningstar data as well?

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