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Subject:  Re: YEY in GTR1 SI universe Date:  2/25/2013  4:29 AM
Author:  lholger Number:  241856 of 270772

Thank you for the suggestions mungofitch. One comment regarding this:

GTR1 has a cool facility for trying lots of different values for a
given parameter at the same time, have you tried that?

I assume you mean the "Shrink" feature? I suppose everyone knows this
already, but just in case there is someone else also learning GTR1:
I found a post 204352 from MainiacJoe which seems to describe the GTR1
"Shrink" feature. After reading that post I learned that you can also
test different values for more than one parameter in the same backtest.
In short, you can do this by:
(1) replacing the screen values of interest with param0, param1, ... up
    to paramN
(2) select the "Shrink" check-box in the top right corner of the GTR1 UI
(3) hit "Run backtest"
(4) insert the values for param0, param1, ... paramN to the 
    text-box that automatically opens when "Shrink" is selected 
    after "Run backtest" is hit.
(5) hit "Run backtest" again

So, for example, running the screen
with "Shrink" selected, and then copy-pasting the below list of value
pairs to the text-box will test different values of both "top N" and the
"recent lag":
  100 10
  120 10
  140 10
  100 20
  120 20
  140 20

Would anyone know how to test a percentage value with "Shrink" feature
in GTR1? 

warrl wrote:
Create [pri]: [daily SI-adjusted Price; share_lag=0 days; quote_lag=2 days]
It's been a while since I did anything with SI, so I can't say this is
necessarily true of that data source...
... but on Yahoo, the adjusted price for the current day is always the
same as the closing price, and prior days' adjusted price are relative
to that.

If I got it right, the word 'adjusted' in the description of sprc field 
function refers to GTR1 internal price adjustment, not the adjustment 
performed by any external data provider. I believe the price values 
returned by sprc are simply SIPRO published weekly close prices,
adjusted as described by rgearyiii in posts 161591 and 155831. I may be
absolutely wrong here so feel free to correct me if I have understood
something incorrectly.

finfusion, thanks for the dpsind.s and epscon12m.s tips. I ended up
using dps12m.s and eps12m.s simply based on description of field files I
got after running a backtest with list:* in "Misc. Options"-field. I
found out that this document:
also provides some clarification to the SI-fields in case the name
itself is not too descriptive.

mark19601962 wrote:
If I am not mistaken, they use a different universe of stocks. You
get much more small cap stocks in the si version. Much more stocks in

I run a couple of simple tests to help compare the GTR1 VL+ and SI


I used the "Shrink" and "Count" modes and the below list of Daily$Vol
values to replace the param0 in the above screens with different
cutoffs. I ended up with the following table that compares the VL+ and
SI universes:

start=19970829 end=20130222
Min Daily$Vol	     avg # stocks (SI)	          avg # stocks (VL+)
10,000			5946.1				4856.99
50,000			5216.46				4343.43
100,000			4791.86				4033.6
200,000			4332.73				3694.27
300,000			4047.95				3479.78
400,000			3834.28				3315.39
500,000			3665.69				3184.1
1,000,000		3128.38				2757.08
1,500,000		2815.66				2502.22
2,000,000		2593.2				2315.87
2,500,000		2417.95				2167.3
5,000,000		1876.32				1702.68
10,000,000		1373.19				1256.87

So measured with daily dollar volume, it seems that the GTR1 SI universe
is indeed somewhat larger than the VL+ universe. Theoretically, if SI
published the exact same fields that are used in the YEY+, we should
therefore be able to get better results with "YEY SI" than with "YEY+".

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