|I have started something similar to your screens--see below|
I would like to throw this out there to anyone interested that might have the resources to have some back testing capabilities. I have often read about studies indicating owning CEF's with discounts being a good strategy for total return etc.
So back in late June of this year I set up the criterion listed below and started screening in cefconnect.com--the plan was to screen weekly or monthly, or both, and stay invested in the top five funds that continue to meet the criterion. My problem is I have no back testing capabilities to gain confidence in the model or know to abandon it ASAP--LOL. It would be super interesting to know the record on this simple procedure over say the last 15-25 years or thereabouts.
Anyway the screening criterion is as follows:
I started by running the screen based on Fridays closing numbers--eg. weekly. Select the top 5 funds with the largest discounts to NAV that also pay a monthly dividend greater than xx% per annum. ( I arbitrarily set it at 7% when I started)
Buy equal monetary amounts of each of the five and stay invested until one or more drops out of the top 5--sell the drop outs at the open on the following Monday and replace them at the same time with the funds that took there place in the top 5 list.