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Author: Syvash Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254198  
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 6:21 PM
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Mark, Thank you for the help.

I have reduced the YIELD definition to take out the Cpit data.

Here is what I get for the simply form. I hope it is still with in the original meaning of the screen.

http://gtr1.backtest.org/2011/?aprc(1)gt5:av10.a:1gt10000:Yi...


Share URL: aprc(1)gt5:av10.a:1gt10000:Yield:al10:dspo:gt126:trp(1,126)tn20:Yield:linear(100,ratio(dpsind.s,sprc(0,1)))

Download Spreadsheet

Command
field0=aprc:1
field1=av10.a:1
field2=dspo
field3=trp:1,126
field4=sprc:0,1
field5=dpsind.s
field6=ratio:field5,field4
field7=linear:100,field6
Yield:field7
step0=field0gt5
step1=field1gt10000
step2=field7al10
step3=field2gt126
step4=field3tn20

Backtest Engine Feedback
Default start=19970902 used.
Default end=20130221 used.
Default hold=20 used.
Default rskintvl=20 used.
Default risk=g (GSD) used.
Default friction=1 used.
Default rebaln=1 used.
Default lag=1 used.
lag=1 overriden: field4=sprc:0,1
Default lag=1 applied: field5=dpsind.s
Steps have been re-ordered for performance optimization:
step0
step1
step3
step2
step4
Clock: 17

Command Translation
Create [Yield]: [100*[[SI Dividend - Indicated; lag=1 days]/[daily SI-adjusted Price; share_lag=0 days; quote_lag=1 days]]]
step0: [Actual closing Price; share_lag=1 days; quote_lag=1 days] > 5
step1: [Actual Average daily Vol 10d; lag=1 days] > 10000
step2: [Yield] >= 10
step3: [mkt Days Since security Opened for purchase] > 126
step4: [Total Return % over 126 days; lag=1 days] Top param0; Long, Cash When Fewer
Holding period = 20 mkt days; Fully rebalance every 1 periods

Please note the Bolded [Yield] reduction.
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