Thanks for posting the P123 results for comparison.

I just ran a Backtest using P123's GScore Screen for equities in the SP1500 from 1/3/2002.
25 stocks, 4 week rebalance, 0.25% slippage, CAGR 10.7% vs S&P 9.4%

The 10.7 CAGR is slightly lower than the gtr1 results:

           screen             CAGR  SDcg  depth    from       to     P123          notes
GAscore_top25_SP1500_20dhold  11.5  0.5     49   20020103  20241108  10.7      all GAscore=7
Gscore_top25_SP1500_20dhold   12.5  0.5     83   20020103  20241108        mix of Gscore=6 and 7
      SP500MktCapWeight       9.6   0.0    499   20020103  20241108  9.4

There is not much space between GAscore and Gscore results, and so it's difficult to say which one P123 is using. (There are more than 25 GAscore=7 stocks, with an average count of 49 passing stocks. There are sometimes fewer than 25 Gscore=7 stocks, and so the screen sometimes adds in Gscore=6 picks.)


Rerunning a rolling backtest(multiple start dates) 11/11/2014 – 11/11/2024
523 Samples, Start Frequency every Week, Holding Period 3 Months:
Scrn SP500
Annualized 20.06% 13.33%

The 20.1 CAGR is higher than the gtr1 results:

           screen             CAGR  SDcg  depth    from       to     P123
GAscore_top25_SP1500_20dhold  10.8  0.9     51   20141111  20241108
Gscore_top25_SP1500_20dhold   16.2  0.7     91   20141111  20241108  20.1
      SP500MktCapWeight       13.5  0.0    500   20141111  20241108  13.3

Growth stocks have higher returns recently, and so Gscore_top25 has higher returns.

Having an explicit tie break would make comparisons easier. For example, using price as a tie break makes the depth a consistent 25:
Price > 1
SortField = Gscore + 1/Price
SortField top 25

               Screen                 CAGR  SDcg  Depth    From       To
GAscoreLowPrice_top25_SP1500_20dhold  9.3   0.5     25   20141111  20241108
GscoreLowPrice_top25_SP1500_20dhold   16.7  0.9     25   20141111  20241108

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