Subject: Flaws in timing with GTR1
Flaws in timing with GTR1
The way to run a screen is:
1) The night before trading day
**** Compute the IN/OUT timing signal
**** Generate the screen picks
2) On the morning of trading day
**** If the timing signal is OUT, sell everything and go to cash
**** If the timing signal is IN, do the sells & buys according to the screen picks.
3) Wait until the next trading day. Do not sell or buy or look at the timing.
The timing in the below GTR1 screen does not work this way. It is fundamentally flawed for the above steps.
I have looked at the GTR1 steps but until today I did not see.
The GTR1 field is "Close all liquid positions and hold cash on any market dates where ..."
GTR1 will go to cash and then to the investments on any day, regardless of where it is in the holding period.
We do not trade a screen that way.
BTW, GTR1 evidently imputes interest on cash.
Screen:
https://gtr1.net/2013/?~nas100...
For full details, check these two boxes
Portfolio Values: Download daily portfolio values for all cycles of the focus variant.
Signal Values: Download daily values of any defined signal fields for the focus variant.
Here are a few examples.
The first shows that it goes to cash and back to stocks in the middle of a holding period.
The second shows it going to cash in the middle of one holding period and then back to stocks in the middle of the next holding period.
There are even times where it would flip back and forth every few days.
Date Value day# in holding period BCC signal
10/04/94 $88.88 8 IN
10/05/94 $91.76 9 IN
10/06/94 $90.11 10 OUT
10/07/94 $90.13 11 OUT
10/10/94 $90.16 12 OUT
10/11/94 $90.18 13 OUT
10/12/94 $90.19 14 OUT
10/13/94 $90.20 15 IN
10/14/94 $90.40 16 IN
11/19/07 $2,896.86 17 IN
11/20/07 $2,913.03 18 IN
11/21/07 $2,875.24 19 OUT
11/23/07 $2,875.72 20 OUT
11/26/07 $2,876.47 0 OUT
11/27/07 $2,876.71 1 OUT
11/28/07 $2,876.96 2 OUT
11/29/07 $2,877.20 3 OUT
11/30/07 $2,877.43 4 IN
12/03/07 $2,850.50 5 IN
12/04/07 $2,839.55 6 IN
Here are all the OUT periods, the number of days in a row of OUT and the number of times that occurred.
It was OUT for just 1 day 19 times. It was OUT for 10 days twice.
Half of the OUT periods were less than 18 days.
The holding period is 21 market days.
Sequential days Count
out
1 19
2 7
3 8
4 2
5 2
6 4
8 1
9 1
10 2
15 1
17 1
24 1
28 1
35 1
39 1
40 1
43 1
49 1
52 1
55 1
120 1
196 1
246 1
413 1
635 1
If anybody wants to see the spreadsheet that gathers all this information, let me know and I'll upload it somewhere. Or email it to you.