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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 252746  
Subject: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 2:46 AM
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I have been trying to update the result for the example screen from this link which only has data only up to 2007-12-31:

http://members.iinet.net.au/~rgeary/example.html

to the end of 2012 even try to use:

http://gtr1.backtest.org/2011/

but even by copy past of each step in each field does not run.

Any way to use the link of the examples for 2007 which update to 2012?

Thank you for your help
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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241806 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 9:43 AM
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Many/most of them will run if you take the URL for the "Jamie Gritton's form entry" link
from the examples page, change the "backtest.org/" in the URL to be "backtest.org/2011/" then loading the changed URL.

Some fields don't have data up to date, so they won't run.

For those, try changing the 2007 to 2009 in the URL.
That works for most screens up to March 2011. Not yesterday, but more interesting than ending December 2007.

Jim

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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: 241812 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 3:03 PM
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Jim, Thank you for the reply.

For example on the example list:
Silver_Parachute

after copy each step from gtr1.backtest.org/

to http://gtr1.backtest.org/2011/

you will get the following response from the tester:


Share URL: aprc(1)gt5:av10.a:1gt10000:Yield:al10:dspo:gt126:trp(1,126)tn20:Yield:linear(100,pref(ratio(dpsind.s,sprc(0,1)),ratio(dviq1.c,cprc(0,1))))

Download Spreadsheet

Command
field0=aprc:1
field1=av10.a:1
field2=dspo
field3=trp:1,126
field4=sprc:0,1
field5=cprc:0,1
field6=dpsind.s
field7=ratio:field6,field4
field8=dviq1.c
field9=ratio:field8,field5
field10=pref:field7,field9
field11=linear:100,field10
Yield:field11
step0=field0gt5
step1=field1gt10000
step2=field11al10
step3=field2gt126
step4=field3tn20

Backtest Engine Feedback
Unable to read-open gtoc.c for field5
Check field file availability via command argument 'list'.
Clock: 8

Command Translation

Results
END OF THE OUTPUT.

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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: 241813 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 3:09 PM
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Sorry click submit too fast.

Even changing http://gtr1.backtest.org/2011/

to http://gtr1.backtest.org/2009/

in URL you still will get the same out come.

What am I doing wrong?

Thanks

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Author: TGMark Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241815 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 4:02 PM
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I think the cprc and the other field with .c won't work, Robbie found a bug in a recent data update and removed it some time ago. I couldn't find Robbie's post on the subject just now, it was a while ago.

You can take those lines out or replace them with sipro or vl equivalents. I think (without trying it) that this would work, except the backtest is only valid over the timeframe for which SiPro data is available:

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





Mark

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Author: TGMark Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241818 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 5:14 PM
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This post http://boards.fool.com/i-have-added-1397-si-pro-field-files-... and this one http://boards.fool.com/all-standard-edition-vl-data-has-been... mention the CpiT data problem. It means that the earliest date you can start a SI backtest is 1997, you cannot extend it further back in time using the CpiT data. A lot of the GTR1 code examples, like what you posted, still have the code in them to extend the backtest using that data, so they bomb out.


Mark

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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: 241820 of 252746
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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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: 241821 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 6:31 PM
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Here is the return & stat for the top 10



Avg Min Max SD
CAGR: 25.395527 21.765739 28.578817 1.661624
TR: 3212.235107 1968.554443 4679.658691 651.736023
GSD(20 25.339422 24.177359 26.372925 0.589920
DD(20) 15.709821 14.711261 16.914816 0.579240
MDD: -57.820965 -63.409294 -50.324261 3.298944
UI(20) 13.491442 11.124134 15.909194 1.242647
Sharpe 1.020918 0.876843 1.126703 0.059899
Beta 0.705510 0.663250 0.749680 0.024255
TI(20) 32.538109 27.450571 35.664974 2.062640
AT: 5.817807 5.676056 5.928230 0.073099



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Author: DrBob2 Big funky green star, 20000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241822 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 6:31 PM
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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


I see two words in English here, field and Yield. Not what I would call user friendly.

DB2

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Author: TGMark Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241826 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/22/2013 7:59 PM
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I see two words in English here, field and Yield. Not what I would call user friendly.

GTR1 fits in perfectly with mechanical investing...it takes a little effort, and so keeps most people away. The code is easy to read if you've gone over Robbie's posts. No different than Radiscreen IMO.

aprc=actual price, av10.a=10 day volume, dspo=days since available for purchase, trp=total return percentage, sprc=sipro price, dpsind=dividend per share indicated, fields with .s are sipro, .v are valueline, .c are CpiT...

The GTR1 glossary is somewhat out of date, I guess, but most of what you need is there.

And now you can generate picks with GTR1! If you haven't used GTR1, you're missing out, it is just amazing what you can do.


Mark

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Author: lholger Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241828 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/23/2013 6:21 AM
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Here is the return & stat for the top 10


Avg Min Max SD
CAGR: 25.395527 21.765739 28.578817 1.661624
TR: 3212.235107 1968.554443 4679.658691 651.736023
...


Can you get this output from the GTR1 directly? How?

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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: 241829 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/23/2013 8:20 AM
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Can you get this output from the GTR1 directly? How?
yes need to use the blend version. You can get to blend by clicking on any "variant" hyper link number after you run your screen
in:
http://gtr1.backtest.org
to get to:
http://gtr1.backtest.org/2011/blend.cgi

then run the same screen again.

Syvash

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Author: mark19601962 Big red star, 1000 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241834 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/23/2013 10:52 AM
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Mark,

How long do you think it would take the average person to learn?

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Author: TGMark Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241836 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/23/2013 11:25 AM
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How long do you think it would take the average person to learn?

Someone already familiar with mechanical investing, and backtesting on the other backtesters, can learn GTR1 in a few months of off-and-on again effort, I suppose.

There are a few steps to learning it, I think. First, you've got to read all of Robbie's posts on GTR1 to give you a general background of how it works and what it is doing, and the changes through the last few years.

Then, pick your favorite screen that you already understand from VL or SiPro, and search this board for posts that others have made with GTR1 translations.

Finally, work through the translation, using the glossary at http://members.iinet.net.au/~rgeary/glossary.html. Read any posts having to do with the translation of that screen. There will be many nuances to understand, so you have to work through a number of screens and follow discussions here.


Mark

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Author: mark19601962 Big red star, 1000 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 241837 of 252746
Subject: Re: Question on Robbie Geary's GTR1 backtest Date: 2/23/2013 12:53 PM
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Thanks. That was just what I was looking for. A structured way to learn it.

As I understand it, modifying existing screens is probably enough in terms of what you need to learn.

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