Subject: Overlaps GTR1 backtest is flawed.
Overlaps GTR1 backtest is flawed.
I believe the "overlaps" backtest as linked in post #5663 is wrong.
The idea is to invest monthly in the stocks that are common between the top 5 picks of two related Nasdaq 100 screens. The screens are "9-month Relative strength" and "price/(52-wk high + 52-wk low)" top 5.
The holding period in all these screens is 20 market days.
There can be anywhere between 0 and 5 stocks in the overlap screen, depending on the stocks in the top 5 of both screens. 0 if no stocks are in common, 5 if the same stocks are in common.
I downloaded the daily screen values and the stocks count and lined up the values with the counts.
The problems are:
1) The number of overlap stocks changes from day to day, even though the picks are made on the first day of the holding period.
2) The portfolio daily values change even when the overlap screen has 0 (zero) stocks.
Ex 1:
Date Cycle value Day return Date Count
19851021 0 1.28 -1.47% 19851021 2
19851022 1 1.29 1.04% 19851022 3
19851023 2 1.32 1.73% 19851023 2
19851024 3 1.35 2.34% 19851024 3
19851025 4 1.35 -0.08% 19851025 2
19851028 5 1.33 -1.16% 19851028 2
19851029 6 1.35 1.36% 19851029 2
19851030 7 1.34 -0.53% 19851030 2
19851031 8 1.33 -0.96% 19851031 2
19851101 9 1.35 1.61% 19851101 3
19851104 10 1.34 -0.35% 19851104 3
19851105 11 1.34 -0.18% 19851105 3
19851106 12 1.35 0.25% 19851106 4
19851107 13 1.35 0.00% 19851107 4
19851108 14 1.36 0.99% 19851108 2
19851111 15 1.39 2.40% 19851111 3
19851112 16 1.38 -0.58% 19851112 3
19851113 17 1.35 -2.19% 19851113 3
19851114 18 1.34 -0.88% 19851114 2
19851115 19 1.34 -0.39% 19851115 3
Ex 2:
Date Cycle value Day return Date Count CNT == 0?
20220125 0 47,964.74 -6.22% 20220125 1
20220126 1 47,648.43 -0.66% 20220126 1
20220127 2 47,397.14 -0.53% 20220127 0 zero
20220128 3 49,583.18 4.61% 20220128 0 zero
20220131 4 52,233.15 5.34% 20220131 0 zero
20220201 5 53,101.24 1.66% 20220201 0 zero
20220202 6 54,454.34 2.55% 20220202 0 zero
20220203 7 52,190.98 4.16% 20220203 0 zero
20220204 8 55,236.33 5.84% 20220204 0 zero
20220207 9 53,986.91 -2.26% 20220207 1
20220208 10 55,329.46 2.49% 20220208 1
20220209 11 57,961.86 4.76% 20220209 1
The screen: http://gtr1.net/2013/?~Nas100_...
I am not sure how to fix this overlap backtest. It appears that maybe the stocks in the source screens are not nailed down on the first day of the holding period, but are re-evaluated every day. I am not conversant enough in GTR1 to check or correct this.