Subject: Re: Portfolio123 Testing 2026
*** 9. Thanks for all the fish ***
All right, that's the end of my posts in this too long thread. My overall impression is P123 is adept, P123 has an excellent GUI and extra features, and GTR1 is amazing. I prefer GTR1's backtest methodology, the coding quality is solid, and GTR1 runs magically fast. A 100-year backtest in a few seconds. Amazing. Even frozen in time, GTR1 is a useful resource. Comparing two quality backtesters leads to higher confidence in both. Timing studies benefit from 100 year backtests. And long backtests help counter "this time is different".
A summary of all the backtests in this thread (10-year backtest CAGR) (LC are large-cap screens):
type Screen GTR1 P123 diff CorMER depth sdCG nSD MCap
univ RSP 12.01% 11.98% -0.03% 0.64 504 0.11% 0.24 LC
univ UnivZero 14.84% 29.08% 14.24% 0.69 5306
univ UnivOne 10.43% 10.46% 0.03% 1.00 3867
univ SP1500ew 11.28% 11.43% 0.15% 0.99 1499 0.22% 0.69
univ RS2000ew 8.99% 9.50% 0.51% 1.00 2000 0.34% 1.51
univ NasBig100 13.88% 12.29% -1.59% 0.94 100 0.27% 5.83 LC
univ Base 10.31% 11.12% 0.82% 1.00 2673 0.19% 4.42
univ BaseAlt 10.17% 10.83% 0.66% 1.00 2775 0.15% 4.28
univ Foreign 9.80% 15.97% 6.17% 0.73 285 0.17% 35.44
univ ADR 9.65% 9.82% 0.17% 0.99 192 0.26% 0.66
univ IPO 5.84% 4.45% -1.39% 0.94 106 2.44% 0.57
sector REIT 5.02% 4.97% -0.05% 1.00 182 0.21% 0.23
sector Finance 9.79% 10.94% 1.15% 0.98 557 0.17% 6.64
sector Health 6.13% 7.89% 1.76% 0.99 278 0.23% 7.54
sector Staples 5.47% 5.43% -0.03% 0.72 91 0.33% 0.10
sector Tech 13.95% 16.13% 2.18% 0.98 371 0.19% 11.72
sector Utils 11.78% 12.40% 0.63% 0.93 83 0.20% 3.07
stress Low10Prc -13.50% -5.80% 7.70% 0.90 10 4.68% 1.64
stress Low100Prc -2.62% 2.17% 4.79% 0.99 100 1.21% 3.97
stress Low10Vol -19.73% -16.27% 3.47% 0.67 10 3.21% 1.08
stress Low100Vol -0.04% 5.22% 5.25% 0.95 100 1.05% 5.00
stress High10Vol -14.42% -10.89% 3.53% 0.77 10 5.34% 0.66
stress High100Vol 4.50% 8.51% 4.01% 0.93 100 1.89% 2.12
stress NIPE10 -8.29% -1.60% 6.69% 0.88 10 1.21% 5.52
stress NIPE100 7.15% 8.66% 1.50% 0.98 100 0.99% 1.52
screen screen451 21.35% 20.33% -1.03% 0.97 5 1.64% 0.63 LC
screen screen118 24.92% 23.93% -0.99% 0.94 5 2.52% 0.39 LC
screen screen638 14.05% 13.83% -0.22% 0.96 10 1.54% 0.14 LC
screen screen694 24.06% 26.05% 1.99% 0.92 5 3.56% 0.56 LC
screen screen920 23.02% 26.73% 3.71% 0.89 5 2.99% 1.24 LC
screen screen841 21.89% 24.94% 3.04% 0.74 10 3.69% 0.82
screen screen153 19.80% 17.12% -2.68% 0.72 10 2.37% 1.13
screenz screen139 24.45% 18.53% -5.92% 0.77 10 2.50% 2.37
screenz screen548 23.95% 22.72% -1.23% 0.81 5 2.27% 0.54 LC
screenz screen657 24.20% 21.78% -2.42% 0.94 10 0.56% 4.30 LC
screenz screen797 27.84% 26.21% -1.63% 0.86 10 2.33% 0.70 LC
screenz screen562 34.44% 26.08% -8.36% 0.80 10 1.96% 4.26
screenz screen225 30.27% 35.00% 4.73% 0.88 10 2.07% 2.28
screenz screen186 25.69% 19.26% -6.43% 0.89 10 3.69% 1.74
screenz screen236 23.63% 17.63% -6.00% 0.83 10 1.49% 4.04
screenz screen296 25.14% 29.10% 3.96% 0.94 10 3.39% 1.17
avg average 12.47% 13.51% 1.05% 0.89 523 1.63% 3.35