backtests
Contents 1. The Strategy 2. Methodology 3. Results 4. When It Works 5. When It Struggles 6. Run It Yourself 7. Limitations 8. Part of a Series The Oversold Quality strategy on Chinese A-shares produced 7.54% CAGR over 25 years, compared to 8.01% for SPY. The gap is
backtests
52-Week Low Quality: We Tested It on 14 Global Exchanges. Here's What Happened. The strategy is straightforward: buy financially healthy stocks that are near their annual lows, wait for them to recover, rotate quarterly. Simple premise. The question is whether the premise holds globally or just in certain
backtests
We combined two ideas that shouldn't need explaining separately: buy stocks near their lows, but only the ones with strong balance sheets. The 52-Week Low Quality strategy screens for US stocks within 15% of their 52-week low, then filters to those with a Piotroski F-score of 7 or
backtests
Buying stocks near their annual lows sounds like a straightforward mean-reversion play. Add a Piotroski quality filter to avoid value traps and you have a disciplined, testable strategy. We ran it on the SIX Swiss Exchange from 2002 through 2025. The result: $10,000 became $10,634 over 24 years.
backtests
52-Week Low Quality in India: 24-Year Backtest (BSE, NSE) India's result looks reasonable on paper: 7.11% CAGR over 24 years, with $10k growing to $51,143. Then you see the Sharpe ratio: 0.023. That's barely above zero. The strategy generated returns, but the risk
backtests
A $10,000 investment in 2002 following this strategy on the Hong Kong Stock Exchange was worth $5,472 by end of 2025. That's a 45% nominal loss over 24 years, not accounting for inflation. Contents 1. Method 2. What We Found 3. Year-by-Year 4. Why Hong Kong
backtests
The same strategy, different market. On XETRA, the 52-Week Low Quality screen returned 8.95% annually over 23.8 years. The S&P 500 returned 9.67% in the same period. The gap is 0.71%, effectively a tie on absolute return. But the way the strategy produced that
backtests
52-Week Low Quality on Chinese Equities: 24-Year Backtest (Shanghai, Shenzhen) China's equity markets are retail-dominated, sentiment-driven, and structurally disconnected from the fundamentals of individual companies. That makes them a strange testing ground for a quality-filtered 52-week low screen. The result is strange too. Contents 1. Method 2. What
backtests
52-Week Low Quality on the TSX: 24-Year Canada Backtest The TSX isn't the S&P 500. Energy companies, banks, and miners dominate Canada's index. They trade cyclically. When commodity prices fall, quality resource stocks hit 52-week lows. When the cycle turns, they recover. This backtest
backtests
Same signal. Same methodology. 16 different markets. The results aren't uniform, and the pattern tells you something real about where value screens actually work. Contents 1. Method 2. Results 3. Where It Works: North America and Northern Europe 4. The Middle: Italy and Germany 5. Where It Struggles:
backtests
Net Debt/EBITDA in Sweden: The Best Developed-Market Result in 22 Exchanges Out of 22 exchanges we tested the Net Debt/EBITDA screen across, Sweden's Stockholm Stock Exchange produced the best result among developed markets: 10.29% CAGR, +2.28% above SPY annually, Sharpe ratio 0.412. The
backtests
Private equity firms live by the Net Debt/EBITDA ratio. Under 2x means a company can repay its debt in two years of operating earnings. It's the first filter PE analysts run when sizing up an acquisition. We tested whether that same logic translates to public equity alpha