This strategy is a slightly modified version of the 'Dobermans of the Dow' strategy introduced by Michael Cannivet in Forbes magazine in 2019. Unlike the original strategy, we do not rank the components of the DJIA index by ROE (Return On Equity) and FCF (Free Cash Flow) but set the filtering criteria so that the stocks have ROE and FCF above the threshold values. Next, we rank the selected stocks by FCF in descending order and take the top ten. To do this, we use the 'Prioritize Stocks by' parameter and limit the portfolio size to 10 positions. Conditions for closing a position are not set, but the portfolio is rebalanced annually.
Type of Positions
Long
Position Opening
Criteria for Opening a Position:
index(dow) and roe > 10 and fcf_yield > 5
Prioritize Stocks by [?]
Highest FCF Yield
Order Execution Model:
Close Prices
Backtest Parameters
Initial Capital:
$10,000
Capital at Risk:
10%
per trade
Portfolio Max Size:
10 positions
Comm. per Trade:
0.05%
Avg Bid-Ask Spread:
0.1%
Close position at the end of:
Year
Period:
1/1/2025 - 12/31/2025
The backtester displays results for the current year only. Please sign up to view the full report.
Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.
