Set criterion based the change the price earnings ratio over days less than

3. Also, we set a criterion based on the change in the price to earnings ratio over 251 days to be less than 1.5. We had initially set the change over 252 days which is assumed to be the number of trading days in 1 year, however, after adding the restrictions to do the backtest, we arrived with only 20 stocks at the end of the day when using 252 days.

The reason for including this criterion is because stocks with low price to earnings ratios are more often than not regarded as value stocks and since Miller value investing strategy was focused on stocks below their intrinsic value, this is equally important.

A screenshot of the relative performance graphs against the S&P 500 is shown below:

Based on the results from the backtest analysis, I would choose not to invest according to the Miller value strategy because on average, it generated lower returns when compared with the S&P 500 benchmark.