sp500.a !=null
ratio(tr(1,5),tr(1,200)) bottom 10
ratio(Mcap,float.s) bottom 5
where Mcap=product(sprc(1),csoq1d.s)
Create [Mcap]: [[daily SI-adjusted Price; share_lag=1 days; quote_lag=1 days]*[SI (d) Common Shares Outstanding; lag=1 days]]
step0: [S&P 500 Member; lag=1 days] != null
step1: [[Total Return Multiplier over 5 days; lag=1 days]/[Total Return Multiplier over 200 days; lag=1 days]] Bottom 10
step2: [[Mcap]/[SI Float; lag=1 days]] Bottom param0; Cash When Fewer
Holding period = 20 mkt days
20081231 forward to end of gtr current tester time limit
CAGR 19.82 v. 14.77
GSD(20) 29.2 21
Sharpe(20) .8 .8
LDD(20; 0%) 16.5 6.76
UI(20) 12.5 6.2
Beta(20) .93 1.1
max dd -44.3 -39.8
https://gtr1.net/2013/?s20081231::sp500.a:nenull:ratio%28tr%281,5%29,tr%281,200%29%29bn10:ratio%28Mcap,float.s%29bn5:Mcap:product%28sprc%281%29,csoq1d.s%29
8 Likes
Translating to English from GTR1-ese (for the 3 people in the world left who might read this board and don’t know GTR1)
- out of all S&P500 stocks
- total return over last 5 days as a percentage of total return last 200 days is in the bottom 10 (worst 10 5 day mean reversions)
- of those 10, highest 5 float %s using most recent quarter’s market cap
- hold for 1 trading month (20 market days)
- backtest from end of 2008 to current daily backtester end date (as of writing is March 10 '23 due to hard drive failure of the backtester server.)
11 Likes
It also works with the Nasdaq100:
CAGR 20.56 11.0
GSD 16.2 28.0
Sharpe .697 .42
LDD 20.39 16.3
UI 22.4 28.1
Beta 1.17 1.3
TI 18.6 8
AT 5.65 .69
mdd -69.26 -80.8
19970902 to 20230310
nas100.a !=null
ratio(tr(1,5),tr(1,200)) bottom 10
ratio(Mcap,float.s) bottom 5
where Mcap=product(sprc(1),csoq1d.s)
Create [Mcap]: [[daily SI-adjusted Price; share_lag=1 days; quote_lag=1 days]*[SI (d) Common Shares Outstanding; lag=1 days]]
step0: [NASDAQ 100 Member; lag=1 days] != null
step1: [[Total Return Multiplier over 5 days; lag=1 days]/[Total Return Multiplier over 200 days; lag=1 days]] Bottom 10
step2: [[Mcap]/[SI Float; lag=1 days]] Bottom param0; Cash When Fewer
Holding period = 20 mkt days
3 Likes
Would there be any chance of getting the GTR1 link for the sp500 version? (The link shown was not working.) It would be nice to see, now that GTR1 is up to date.
Thanks
John
Many thanks for that! Sorry I wrote that the GTR1 link was missing–I’ve since realised that the link you sent was the SP500. This in fact I’m going to find quite useful to compare with my results.
I’m getting to understand better what your screen is about. In the first pass it picks the currently worst-performing stocks in the sp500 in relation to their 200-day performance. Second it looks for the proportion of available capital. This has been shown to pick the more stable stocks in the set as these stocks have proportionally more equity in the market. I like its contrarian nature and simplicity, making use of ‘reversion to the mean’.
As a Brit I’m unable to invest in $-based USA ETFs [a stupid old pre-Brexit rule], so I keep hunting for a good SP500 proxy. In my tax-free account [ISA] I have an SP500 ETF but it’s in British pounds.
I see GTR1 has temporarily halted–let’s hope it continues very soon. I’ve missed it.
All the best
John
Thanks for that. As I’ve mentioned, I’m invested in SP500 as a proportion of my ISA account in British pounds and that’s pretty cheap to run. I also have a taxable $ account and that’s the one I can’t invest in an SP500 ETF so have to use a proxy. Unfortunately there’s capital gains to pay this way, compared with a buy-it-and-forget–it purchase.
All the best
John