*** 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

Mechanical Investing FAQ

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