# Help Request - GTR1

Suppose I had a portfolio consisting of 90% (or whatever) cash and 10% invested in a screen (e.g. Yldernyr, or whatever). I want to backtest this with periodic rebalancing, so I’m in the screen for 12 months (or whatever) and then rebalance back to 10% of my total portfolio value in the screen.

Example: Portfolio is \$1K, w/ \$900 in cash, \$100 in screen.
Yr 1: screen returns 100%, so portfolio is 900+100+100 = 1100.
Now rebalance screen to 10% of portfolio, or \$110.
Yr 2: screen returns -50%, so portfolio is 990 + 110 - 55 = 1045.

Notice Screen CAGR is 0%, but my portfolio is up 4.5% in two years.

Can this type of strategy be backtested in GTR1?
Maybe as an SOS w/ one of the screens being cash?
I have limited GTR1 experience, maybe a month or so. Never built an SOS.

Thanks for any help.

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GTR1 Basic Blender does that.

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Thanks, I’ll take a look.

I’ll tack on another question here, if anyone is still reading this thread.

Suppose I wanted to do a “bad but not too bad/good but not too good” type screen.
E.g., suppose one step is “sort descending by Div Yield, take the 70-90 percentile”.
Or “sort descending by Div Yield, keep positions 20-100”.
Is that possible in GTR1?

Suppose I wanted to do a “bad but not too bad/good but not too good” type screen.
E.g., suppose one step is “sort descending by Div Yield, take the 70-90 percentile”.
Or “sort descending by Div Yield, keep positions 20-100”.
Is that possible in GTR1?

yes. Div yield Bottom 90%
Div yield Bottom 22%

Craig

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Another question:

Some screens have “crap filters”, e.g.:
styp.a != 14!15!44!45!73!74!75

I think styp stands for “stock type”. Is there a list anywhere of allowable tokens and their meaning? Is this different than “industry”? I’ve seen this:

incd.s

and thought maybe it stands for “industry”. If so, is there a list of tokens and meanings for industry?

J3 - start with the GTR1 page in the FAQ, especially the “GTR1 for Dummies” dropbox document created by WaveDoc.
FAQ Backtesters page

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Post deleted by submitter

Here’s what I have stored away for styp.a & incd.s - the tables are hidden under the details tagging, just click on them to see the table …

styp.a is the share type code (see http://www.crsp.com/products/documentation/name-history-arra… ).

styp.a
Share Type - First Digit Share Type - Second Digit
1 Ordinary Common Shares 0 Securities Which Have Not Been Further Defined
2 Certificates, Americus Trust Components* 1 Securities Which Need Not Be Further Defined
3 ADRs (American Depositary Receipts) 2 Companies Incorporated Outside The U.S
4 SBIs (Shares Of Beneficial Interest) 3 Americus Trust Components*, Exchange Traded Funds**
7 Units, Exchange Traded Funds** 4 Closed-End Funds and Unit Investment Trusts
5 Closed-End Fund Companies Incorporated Outside The US
6 US-incorporated SPAC
7 SPAC Incorporated Outside The US
8 REIT’s (Real Estate Investment Trusts)

And for incd.s (industry code) …

incd.s
sector.s incd.s
01 - Basic Materials 0103 - Chemical Manufacturing
01 - Basic Materials 0106 - Chemicals - Plastics and Rubbers
01 - Basic Materials 0109 - Containters & Packaging
01 - Basic Materials 0112 - Fabricated Plastic & Rubber
01 - Basic Materials 0115 - Forestry & Wood Products
01 - Basic Materials 0118 - Gold & Silver
01 - Basic Materials 0121 - Iron & Steel
01 - Basic Materials 0124 - Metal Mining
01 - Basic Materials 0127 - Misc. Fabricated Products
01 - Basic Materials 0130 - Non-Metallic Mining
01 - Basic Materials 0133 - Paper & Paper Products
02 - Capital Goods 0203 - Aerospace and Defense
02 - Capital Goods 0206 - Construction & Agricultural Machi
02 - Capital Goods 0209 - Construction - Supplies and Fixtu
02 - Capital Goods 0212 - Construction - Raw Materials
02 - Capital Goods 0215 - Construction Services
02 - Capital Goods 0218 - Misc. Capital Goods
02 - Capital Goods 0221 - Mobile Homes & RVs
03 - Conglomerates 0303 - Conglomerates
04 - Consumer Cyclical 0403 - Apparel/Accessories
04 - Consumer Cyclical 0406 - Appliances & Tools
04 - Consumer Cyclical 0412 - Auto & Truck Manufacturers
04 - Consumer Cyclical 0415 - Auto & Truck Parts
04 - Consumer Cyclical 0418 - Footwear
04 - Consumer Cyclical 0421 - Furniture & Fixtures
04 - Consumer Cyclical 0424 - Jewelry & Silverware
04 - Consumer Cyclical 0427 - Photography
04 - Consumer Cyclical 0430 - Recreational Products
04 - Consumer Cyclical 0433 - Textiles - Non-Apparel
04 - Consumer Cyclical 0436 - Tires
05 - Consumer Non-Cyclic 0503 - Beverages (Alcoholic)
05 - Consumer Non-Cyclic 0506 - Beverages (Non-Alcoholic)
05 - Consumer Non-Cyclic 0509 - Crops
05 - Consumer Non-Cyclic 0512 - Fish/Livestock
05 - Consumer Non-Cyclic 0515 - Food Processing
05 - Consumer Non-Cyclic 0518 - Office Supplies
05 - Consumer Non-Cyclic 0521 - Personal & Household Products
05 - Consumer Non-Cyclic 0524 - Tobacco
06 - Energy 0603 - Coal
06 - Energy 0606 - Oil & Gas - Integrated
06 - Energy 0609 - Oil & Gas Operations
06 - Energy 0612 - Oil Well Services & Equipment
07 - Financial 0703 - Consumer Financial Services
07 - Financial 0706 - Insurance (Accident & Health)
07 - Financial 0709 - Insurance (Life)
07 - Financial 0712 - Insurance (Miscellaneous)
07 - Financial 0715 - Insurance (Property & Casualty)
07 - Financial 0718 - Investment Services
07 - Financial 0721 - Misc. Financial Services
07 - Financial 0724 - Money Center Banks
07 - Financial 0727 - Regional Banks
07 - Financial 0730 - S&Ls/Savings Banks
08 - Health Care 0803 - Biotechnology & Drugs
08 - Health Care 0806 - Healthcare Facilities
08 - Health Care 0809 - Major Drugs
08 - Health Care 0812 - Medical Equipment & Supplies
09 - Services 0903 - Advertising
09 - Services 0906 - Broadcasting & Cable TV
09 - Services 0909 - Business Services
09 - Services 0912 - Casinos & Gaming
09 - Services 0915 - Communications Services
09 - Services 0918 - Hotels & Motels
09 - Services 0921 - Motion Pictures
09 - Services 0924 - Personal Services
09 - Services 0927 - Printing & Publishing
09 - Services 0930 - Printing Services
09 - Services 0933 - Real Estate Operations
09 - Services 0936 - Recreational Activities
09 - Services 0939 - Rental & Leasing
09 - Services 0942 - Restaurants
09 - Services 0945 - Retail (Apparel)
09 - Services 0948 - Retail (Catalog & Mail Order)
09 - Services 0951 - Retail (Department & Discount)
09 - Services 0954 - Retail (Drugs)
09 - Services 0957 - Retail (Grocery)
09 - Services 0960 - Retail (Home Improvement)
09 - Services 0963 - Retail (Specialty Non-Apparel)
09 - Services 0966 - Retail (Technology)
09 - Services 0969 - Schools
09 - Services 0972 - Security Systems & Services
09 - Services 0975 - Waste Management Services
10 - Technology 1003 - Communications Equipment
10 - Technology 1006 - Computer Hardware
10 - Technology 1012 - Computer Networks
10 - Technology 1015 - Computer Peripherals
10 - Technology 1018 - Computer Services
10 - Technology 1021 - Computer Storage Devices
10 - Technology 1024 - Electronic Instruments & Controls
10 - Technology 1027 - Office Equipment
10 - Technology 1030 - Scientific & Technical Instrument
10 - Technology 1033 - Semiconductors
10 - Technology 1036 - Software & Programming
11 - Transportation 1103 - Air Courier
11 - Transportation 1106 - Airline
11 - Transportation 1109 - Misc. Transportation
11 - Transportation 1112 - Railroads
11 - Transportation 1115 - Trucking
11 - Transportation 1118 - Water Transportation
12 - Utilities 1203 - Electric Utilities
12 - Utilities 1206 - Natural Gas Utilities
12 - Utilities 1209 - Water Utilities

In general *.a stands for ‘actual’ (or something similar) and *.s stands for ‘SI-Pro’. I hope this helps.

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Post deleted by author

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I found this regarding SI Pro industries:

It appears there is a trbc7.s field in GTR1. So for instance, trbc7.s=5720102 is Software. I think there is also a incd.s code, maybe that predates trbc7.s? From a “Tech Growers” screen I’m guessing incd.s=1036 is Software?

A Google search, which provided a cached page, which allowed me to search datahelper, led me to this link in which rgearyiii explains the industry codes.
http://www.datahelper.com/mi/search.phtml?nofool=youbet&mid=34042676

EDIT: Found this as well. Table of TRBC fields:
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=34095069

Is that the latest version? This post seems to suggest there is information in the updated GTR1 for Dummies that is not in the version linked from the FAQ. For instance, “sections” and incd.s industry codes. Maybe there was an update in early 2020?

http://www.datahelper.com/mi/search.phtml?nofool=youbet&mid=34449499

EDIT: this post suggests there is an update in perhaps early 2019. Does anyone have this?
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=34231605

EDIT 2: Found this version, from 2016. So maybe not the updated version, but has info not in the version from the MI Wiki, including incd.s codes.
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=32312226

Here’s a link the GTR1 developers description of the change over between incd.s & trbc2.s / trbc7.s in 2018 (as SI-Pro moved to Thompson Reuters data). It’s probably the best source for a more complete discussion of the complexity …
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=34042676

And it’s a bit messy in datahelper (although the individual discussion posts can be accessed individually) but here’s a discussion thread of the changes in the various standard screens that occurred after the switch-over. In there some of the more common incd.s → trbc7.s mappings were investigated …

(BTW just click on the tables in my initial post that are below the now inactive link to see the detail summarized in a table. For incd.s=1036 is ‘Software & Programming’ as can be found in the incd.s table.)

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webarchive to Robbie’s GTR1 Field Guide: Glossary

The most recent version of WaveDoc’s “dummies” document: GTR1 for Dummies working 7_12_16.docx

How I found these: use Search: MI Board Search - Criteria and fill in WaveDoc as the author, change the date back as early as you want to.

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The following link should download my working copy of the GTR1 Dummies manual. Although the manual is horribly out of date, I did keep pertinent references updated through 11_10_21. I had hoped to update the manual to reflect the more recent references, but life got in the way.

Paste the above link into a browser tab and the file will open in the file, and can be downloaded from there.

I hope someone will pick up the Dummies manual and take responsibility for keeping it up to date.

Any issues, please feel free to email me at “cschooler at gmail.com

Charlie

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Thank you all, for the helpful replies!

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SPACs were assigned a new styp.a value recently, and other financial inventions might get new styp.a values. To avoid recoding screens, I generally use: styp.a = 10!11!12!18!30!31!48 (using the equal sign instead of the not equal sign)

Subject: styp.a Security Type counts in gtr1
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=34862353

Field definitions for various industries have been posted. For example:
field Ind IndGroup: pref(trbc7.s,incd.s,fincd49.a)
field Ind Sector: pref(trbc2.s,sector.s,fincd12.a)
field Ind Software: pref(if(trbc7.s=5720101!5720102!5720103,1,0),if(incd.s=1018!1036,1,0),if(fincd49.a=36,1,0))
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=35092774

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This is wonderful. Thanks!