VL, VL+, SI Pro and WER Data Lags Have ChangedBefore 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 ModeThe 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 ScreeningIf 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:ABGABIOACHNACMEAEZ.TOAHAIMCALVRAMCFAMCNANLYANTHAONEAPAGFARISARSDASURATEAATGNATHNATLATPAQAUDCAVSRAXIHVL: 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 resulting ticker symbols. 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:AEISAVIDAYICRUSDFESGGCGHDXGRMNHAINJNSKBHLENLFLSIMUMWNDSNNLSPCSROKRRGBSHLMSMPSTXTPXWDCZQKNote that the use of the VL field [Alert] means that the password cannot be constructed from the printed version of the VL Summary and Index.SI Pro: The screening password is simply the upper-case MD5 hash of the latest Program/Data Installation file available to subscribers at http://www.aaii.com/stock-investor-pro/downloads . The SI Pro screening password for 9/28/2012 would have been:1A025CA920BB2B3E9175DDE6612E9423For getting MD5 hashes in Windows, I would recommend the freeware HashTab, which allows you to get various hashes by right-clicking on files in Windows Explorer. I haven't used it before (I use the md5 command in Cygwin), but the reviews look good.WER: The screening password consists of all ticker symbols found in the latest WER, in the order they appear, separated by commas. If you are using Windows, which does not come with a decent text editor, I recommend TextPad for forming the password. If you have the list of WER ticker symbols sorted in ascending order by RIL "rank in list", copy and paste the list into TextPad. Then select "Search", "Replace", and choose "Regular expression". Enter \n for "Find what" and a single comma for "Replace with" and then click "Replace All". The list of ticker symbols should now be all on the first line, separated by commas. If there is a comma at the end, delete it.DO NOT SHARE SCREENING PASSWORDS. If I suspect that anyone is sharing passwords, then I will remove this feature. If you want the feature to remain permanent, then please consider volunteering to help come up with and program a better system for validating subscribers to these services.Using iMacros for Firefox to Automate Password EntryI recommend the Firefox add-on iMacros for automating the entry of passwords. To record a macro that enters the above (expired) VL screening password, go to backtest.org/gtr1/2011 in a new Firefox window and click "Run Screener". When the the password entry form appears, start recording the macro (after you've installed the Add-on, there should be an iOpus icon next to your forward/back buttons). Paste the password into the box next to "VL:" and then stop recording (or you may also want to click "Run Screener" again before you stop recording to save yourself that click as well). Since by default, a macro is recorded to refresh whatever page you were at when you started recording, you'll needed to edit the macro. Right click the new macro (which is called #Current.iim until you give it a new name) in the iOpus pane and choose "Edit Macro". Delete all lines before the lineTAG POS=1 TYPE=INPUT:TEXT FORM=ACTION:./ ATTR=NAME:pwdv CONTENT=AEISAVIDAYICRUSDFESGGCGHDXGRMNHAINJNSKBHLENLFLSIMUMWNDSNNLSPCSROKRRGBSHLMSMPSTXTPXWDCZQKand then click "Save & Close." When you replay this macro, it will add the password to the form and, if you chose to, click "Run Screener" for you. This same process can be used to automate the entry of "Miscellaneous Options" that are not encoded in URLs, such as risk=gdstub, etc.Robbie Geary
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