lholger

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lholger posted to the Mechanical Investing board. 4:28 PM

GTR1: Problem with SI screen picks

I was able to generate picks with GTR1 using the SIPRO 03/01/2013 data
update, but have not been able to generate picks with the latest
03/08/2013 update.

Has anyone else been able to generate screen picks with GTR1 using the [more]

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lholger replied to the Mechanical Investing board. 2:14 AM

Re: Trying to Replicate PIH_CSO using SIPRO in G

I wrote:

product(21,product(sprc,av63.a)) > 60000

but I intended to write:

product(21,product(aprc,av63.a)) > 60000

Edit would be a nice addition to this forum software!

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lholger replied to the Mechanical Investing board. 2:05 AM

Re: Trying to Replicate PIH_CSO using SIPRO in GTR1

Just a quick note. You are apparently requiring that the daily dollar
volume is greater than 60 000 in step 4 by calculating:

product(sprc,av63.a) > 60000

I'm pretty sure that this is a bug, because you should not [more]

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lholger replied to the Mechanical Investing board. 5:35 AM

Re: YEY in GTR1 SI universe

You don't have to click the shrink box to test different parameters Thanks for correcting that. Not sure what made me think it needs to be selected.

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lholger replied to the Mechanical Investing board. 4:30 AM

Re: YEY in GTR1 SI universe

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" [more]

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lholger posted to the Mechanical Investing board. 3:22 PM

YEY in GTR1 SI universe

In an attempt to learn GTR1 backtester, I have been playing a round with a version of YldEarnYear that uses the SIPRO universe available in the GTR1 backtester. I thought I might share the screen here in case someone else is also interested: [more]

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lholger replied to the Mechanical Investing board. 6:22 AM

Re: Question on Robbie Geary's GTR1 backtest

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 [more]

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lholger posted to the Mechanical Investing board. 10:13 AM

gtr1.backtest.org down

gtr1.backtest.org has been unreachable for at least 5 - 6 hours now. I can confirm that it was still up some 8 hours ago, and at that time gtr1.backtest.org/2011 [more]