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|Subject: GTR1 Backtester Update (Important)||Date: 10/11/2012 5:33 AM|
|Author: rgearyiii||Number: 239856 of 263493|
VL, VL+, SI Pro and WER Data Lags Have Changed
Before this update, all VL, VL+ and SI Pro data took effect for trading in backtests on the first market date after the Friday of publication, usually the following Monday. Data now takes effect for trading in backtests at the close of the same Friday of publication, or the most recent market date if Friday was a holiday. Likewise, WER data now takes effect for trading at the close of the same Thursday of publication, or the close of the most recent market date if Thursday was a holiday.
Because of this change, it is now advisable to use a lag of one market day for all VL, VL+, SI Pro and WER data fields in backtests in order to avoid crystal ball effects. However, for your convenience, the backtester automatically applies this lag of one market day to all field files that are not explicitly lagged by some other amount. For example, if a backtest references the field file tim.v, the backtester will interpret it as tim.v:1 in backtests. This automatic lag can be overridden by either explicitly specifying a lag other than 1 (including 0), or by using the new option called "Field File Lag" in the user interface, which allows you to change the default lag applied to all field files whose lag is not explicitly specified. In all cases, the backtester will always honor a lag that is specified at the end of a filename using the filename:n notation.
The lags in technical analysis functions like tr, rrs, sma etc are not affected by either the "Field File Lag" setting or the automatic lag--they work exactly as they did before. While the new automatic lag does affect generic field files like pav63p.a, ph253.g, etc derived from daily data, these files have not changed at all, and it is perfectly safe to apply lags of zero market days to these fields if that is what you've been doing before.
The only field functions affected by automatic lagging or the "Field File Lag" setting are the special pricing functions for specific data sources, such as vprc, pprc and sprc, which use field files gtov.v, gtop.p and gtos.s respectively. When no lag arguments are specified for these field functions, the same field file lag is assumed for these arguments (both share_lag and quote_lag) that is applied to field files.
The main reason for making these changes is that they allow me to update the VL, VL+ and SI Pro data over the weekend instead of on Monday nights, which is much more convenient for me.
New Screener Mode
The user interface at backtest.org/gtr1/2011 now has two "Run" buttons: a "Run Backtest" button and a "Run Screener" button. The "Run Screener" button generates a list of all stocks eligible for the screen's final step on the last day of the backtest, sorted by the field used at the final step (if the final step uses an absolute comparison, e.g., tim.v = 1, then the list is unsorted and consists only of stocks passing the final step). The results also show all field values for the stocks listed.
When you click "Run Screener" for the first time, a section is added to the form for entering passwords for the various data sources before showing any results. Once you've entered any required passwords, you will need to click "Run Screener" again to get results. Since your passwords are not added to URLs, you will need to re-enter your passwords each time you run the screener. I recommend using iMacros (described below) to automate your password entry.
The second reason for changing when VL, VL+, and SI Pro takes effect is that it allows you to run the screener on the new data over the weekend instead of having to wait until Monday night. Likewise, screening on new WER data can be done on Thursday night instead of Friday night at the earliest.
The default lag is changed from 1 market day to 0 market days in screening mode. Thus, if you want to get screen picks for a screen you've been backtesting, you don't need to change the lags of field files in the screen definition. You will, however, have to manually change the lags in technical analysis functions if you want your trading to be consistent with the lags used in backtests.
Calculating Passwords for Stock Screening
If you are a subscriber to one of the data services below, you can calculate a stock screening password as follows:
VL+: Export all of the latest Summary and Index data to text file. Select all stocks where [Technical Rank] = 5 and [Alert] = 0 and sort them in ascending order by [Ticker Symbol]. Form the password by stringing together all resulting ticker symbols that begin with the letter 'A'. Strip the ticker symbols of any white space, but include any punctuation (such as '/', '-', '.', etc). Do not separate the ticker symbols by commas or any other characters.
The VL+ screening password for 9/28/2012 would have been:
VL: If you are a VL+ subscriber, you do not need a separate VL screening password--simply enter your VL+ password in the "VL" box.
For standard VL subscribers, export all of the latest Summary and Index data to text file. Select all stocks where [Technical Rank] = 5 and [Alert] > 0 and sort them in ascending order by [Ticker Symbol]. Form the password by stringing together all res