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Author: Aussi   😊 😞
Number: of 137 
Subject: GTR1 Help
Date: 12/03/2024 8:40 PM
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I have a VG -Horse version with a field that uses fcfps12mq1d.s. I think this field may have disappeared with the new data supplier, but GRT1 still runs with the field.

This fieldname is not listed when I use list:*.s I am unsure what the "d" refers to?

There is a field: fcfps12m.s

And also a field: fcfpsq1.s This field is for q1 but does not match the value for fcfps12mq1d.s

To try and solve the problem I ran a screen on the NAS100From the Command Translation

https://gtr1.net/2013/?nas100.a:et1:fcfps12mq1d.s:...

step0: [NASDAQ 100 Member; lag=0 days] == 1
step1: [SI (d) Free Cash Flow/Share - TTM Q1; lag=0 days] > -1e+08
step2: [SI Free Cash Flow/Share Q1; lag=0 days] > -1e+08
step3: [SI Free Cash Flow/Share 12m; lag=0 days] > -1e+08; Cash When None


Also VG-Horse has a field to exclude financials pref(if(trbc2.s=55,1,0),if(sector.s=7,1,0),if(fincd12.a=11,1,0))

When screener is used, financials are now included. I have tried to find the new field name for Sectors. SIPro says:

Sector


Data Table Name: IND_2_DIG

Data Category: Company Information

Field Type: 2-digit number

Percent Rank: No

Industry/Sector Median: Yes

So I would think the field name would be ind2dig.s However, it is not. I think trbc2.s now has the GICS codes. For instance, when I use trbc2.s =40 JP Morgan is included. This would be correct for GICS but not for trbc2.

I am not sure what this does for back testing as the field names have not changed but the values have changed.

Aussi




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Author: TGMark 🐝  😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/03/2024 8:51 PM
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The "d" indicates derived field, that is, GTR1 calculates it based on fundamental data, rather than using the SiPro supplied field.
As I recall Robbie did this since there were often SiPro calculation errors that could be avoided by calculating from base data.

Having said that, I think there is something going on with GTR1, was just putting together a post on it.
Between yesterday and today, all of my screens changed more or less 100% with completely new tickers.
Yet, GTR1 has the same data date (11/29) for both runs. Normally I would suspect that new fundamental data became available.
However my intuition is that something else is going on.


Mark
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Author: TGMark 🐝  😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/03/2024 11:24 PM
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I ran five SI screens yesterday, and then again today.
The first date in the each line below is the date the screens were run, and the second is that data date that GTR1 reported.
Note that they are 11/29 in each case, last Friday. However, I could tell that GTR1 had been updated, since the screens took a little longer to run.

You can see that the picks from today, 12/3, bear no resemblance whatsoever to yesterday's picks, despite both the screens and data date being the same.

Up5X3_V9       12/3/2024  11/29/2024  MHH    FSFG   OPBK  BCOV  USCB   KINS  EFXT  RRBI  CRNT  PFIS  ASMB  CZFS  STRT   FMAO  DGICA  NATR  PDEX  KLXE  RDVT  CHMG
Up5X3_V9 12/2/2024 11/29/2024 PRTH MGIC TSAT OPFI KLXE VHI FLXS IPI ORLA PACK CLMB ESEA SKYT CWCO LIND CCSI RAIL GRC UIS MLAB

WK-Voom_V5 12/3/2024 11/29/2024 CRNT IHRT OPRT CINT SNFCA PTVE PLTK HBNC BHC MGNI LAUR BSRR SXC BCAL MFC RF DLX TILE NECB VIK
WK-Voom_V5 12/2/2024 11/29/2024 MAPS PSTX PRTH ORLA SWIM RAIL ESOA PBI ARKO MD EBS NR RYAM NUTX AXL ADT BHC VET TBRG FNKO

VG-Horse_V3 12/3/2024 11/29/2024 MHH SNFCA ATLC CFBK OPBK FCCO KINS USCB BVFL FUNC PPIH OPFI ESOA SFST FMAO PCB ELMD GAMB GNTY RRBI
VG-Horse_V3 12/2/2024 11/29/2024 AXR PPIH OPFI ESOA DSP FTLF KARO VHI CLMB WLFC RAIL BKKT ITRN VIRC DAVE CMCL ESEA MEC CNXN HBB

Blue_Skies_V5 12/3/2024 11/29/2024 SNFCA FCCO OPBK ATLC BVFL USCB PPIH KINS GNTY EFXT RRBI CRNT DSP PCB ESOA FMAO OPFI SFST EBTC ISTR
Blue_Skies_V5 12/2/2024 11/29/2024 FTLF AXR PPIH CRNT DSP ESOA OPFI VHI INFU KARO GFR TCMD ORLA CMCL HITI PACK ITRN APEI ESEA WLFC

Big-Jump_V3 12/3/2024 11/29/2024 RXT OPRT PRTH GB OPFI CINT AOUT QUAD MHH SWIM ACCO BVFL SNFCA GCMG SBH RNGR DSP GPRK SFIX RLGT
Big-Jump_V3 12/2/2024 11/29/2024 MAPS CRNT RXT HITI ORLA PRTH OB GB OPFI AOUT GRNT QUAD SWIM ACCO ARKO SBH PACK NR DSP VMEO


Drilling down deeper, PPIH appears in the VG-Horse screen variant on both days. I had save the GTR1 output run.
There are small differences in some variables, but the main thing is that trbc2.s was 51 on the 12/2 run and became 20 on the 12/3 run.
Again, the GTR1 reported data date was 11/29 in both cases.
So it seems that a reassignment of the trbc codes has been put into effect, and it will take a bit of time to figure out the details.

GTR1 ID  Index  Ticker Symbol  Company Name                           CUSIP       field3=shrinst.s  field4=float.s  field5=epsq1.s  field6=epsq5.s  field7=salesq1.s  field8=salesq5.s  field1=styp.a  field2=country.s  [DDVol]   field9=dspo  field10=trp:1,126  field14=sprc  field15=csoq1d.s  [MktCap]  field17=linear:1,field5,-1,field6  field18=linear:1,field7,-1,field8  field19=fcfps12m.s  field20=ratio:field14,field19  field24=trbc2.s  field25=if:field24et55!60,1,0  [FINwithRE]  field21=adv:1,63  field22=ratio:field10,field21  field11=agv:1,10  field12=agv:1,63  [VR]      field23=product:field22,field13
21951 4673 PPIH PERMA PIPE INTERNATIONAL HOLDINGS INC '714167103 24.4 7.089 0.414 0.127 37.5 35.1 11 1 780116.8 8807 71.39666 15.34 7.473118 114.6376 0.287 2.400002 0.94 16.31915 51 0 0 554229.5 0.000129 323482.9 256873.9 1.259306 0.000162
21951 4673 PPIH PERMA PIPE INTERNATIONAL HOLDINGS INC '714167103 30.1 7.088 0.414 0.127 37.5 35.1 11 1 780116.8 8807 71.39666 15.34 7.97914 122.4 0.287 2.400002 0.95 16.14737 20 0 0 554229.5 0.000129 323482.9 256873.8 1.259306 0.000162


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Author: TGMark 🐝  😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/03/2024 11:56 PM
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No. of Recommendations: 1
It seems that the screen step I use to filter out financial and real estate companies is no longer working.
Most of the current tickers are financial companies, and it seems they have trbc2.s = 40.
If I add that to the FINwithRE filter:

FINwithRE: pref(if(trbc2.s=55!60!40,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

then the picks look more normal, but perhaps not completely. This change to trbc2.s would be something Robbie has put in, correct?
SiPro changed their data source back in October as I recall.

Mark
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Author: rgearyiii   😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/04/2024 12:41 AM
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AAII made changes to the SI Pro data in October, so I kept the SI Pro field files frozen as of 20240930 until I had a chance this last weekend to make a few tweaks to my code that simply allowed the data to be processed and the field files updated. I have not taken any look at what changes AAII made and whether there needs to be changes in how the data is handled. Unfortunately, SI Pro data is very low priority right now (I don't use it for investing myself), and it may be a long before I ever take a deep look at what's going on with it.

How many people are still using the GTR1 backtester for SI Pro screening, and how important is it to you?

Robbie Geary
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Author: TGMark 🐝  😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/04/2024 8:57 AM
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I still use GTR1/SiPro for pretty frequent updating and consider it important.
However I do wonder if SiPro screens could be ported into something else.

Mark
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Author: Aussi   😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/04/2024 11:03 AM
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No. of Recommendations: 6
Robbie

I use GTR1 for one SI Pro screening. For my other SI Pro screens, I download the SI Pro data and get my own picks. What I do use GTR1 SI Pro for is backtesting.

As always. Thank you!!

Aussi
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Author: lizgdal   😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/04/2024 12:10 PM
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No. of Recommendations: 8
I use the GTR1 backtester for SI Pro screening, and use it for about 10% of my portfolio. Thank you for the many years GTR1 has been working wonderfully. I could find alternatives if necessary, but they would be inferior to GTR1. The alternatives might cost $1500 a year and take a few weeks work to learn. I don't have the technical skills to fully host GTR1, but could assist with specific tasks.

Even without data updates, GTR1 is valuable as a backtester. When the data was frozen on 20240930, I started using GTR1 for backtests and Radiscript for screening. Not ideal, but workable. I have a WWL method that is showing promise, but it needs the unique GTR1 daily-start backtesting.
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Author: lizgdal   😊 😞
Number: of 137 
Subject: Re: GTR1 Help
Date: 12/04/2024 2:01 PM
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This fieldname is not listed when I use list:*.s

The GTR1 list command returns 3900 fields Last Modified 20241129, but does not list 1621 derived fields (*d.s). The last date I have that GTR1 listed derived fields was 20200320. Most derived fields continued to work after 2020, but should be verified by inspecting the field values in a Screener report. fcfps12mq1d.s matches the sum of the 4 quarterly reports. fcfps12m.s matches the annual report when the last quarter was the year end as well:

Ticker  fcfps12mq1d.s  [FCFsum]  fcfps12m.s  fcfpsy1.s  fcfpsq1.s  fcfpsq2.s  fcfpsq3.s  fcfpsq4.s  perendy1.s  perendq1.s  Endy1=q1
AZO 116 116 112 112 39 30 11 36 26057 26057 TRUE
TDG 21 21 33 33 7 6 2 5 26077 26077 TRUE
FICO 18 18 25 25 7 5 4 3 26077 26077 TRUE
COST 12 12 10 10 4 1 5 3 26057 26057 TRUE
FDS 12 12 12 12 3 4 3 1 26057 26057 TRUE
DHI 11 11 5 5 6 2 2 2 26077 26077 TRUE
FFIV 10 10 13 13 3 3 2 2 26077 26077 TRUE
DE 10 10 10 10 13 6 -1 -8 26096 26096 TRUE
AMAT 8 8 8 8 1 2 2 2 26096 26096 TRUE
V 8 8 8 8 3 2 1 1 26077 26077 TRUE
SWKS 8 8 8 8 1 1 2 4 26076 26076 TRUE
KEYS 7 7 5 5 2 1 2 2 26100 26100 TRUE
ROK 6 6 1 1 6 1 0 -1 26077 26077 TRUE
QCOM 6 6 7 7 3 1 0 2 26076 26076 TRUE
J 6 6 6 6 1 2 1 2 26076 26076 TRUE
AAPL 5 5 6 6 1 1 1 2 26076 26076 TRUE
JBL 5 5 7 7 4 2 1 -1 26057 26057 TRUE
A 4 4 4 4 1 1 1 1 26100 26100 TRUE
ADI 4 4 3 3 1 1 1 2 26101 26101 TRUE
DIS 3 3 4 4 2 1 1 -1 26076 26076 TRUE


I don't know how to interpret fcfps12m.s when the last quarter was not the fiscal year end:

Ticker  fcfps12mq1d.s  [FCFsum]  fcfps12m.s  fcfpsy1.s  fcfpsq1.s  fcfpsq2.s  fcfpsq3.s  fcfpsq4.s  perendy1.s  perendq1.s  Endy1=q1
NVR 555 555 383 455 200 6 97 253 25889 26077 FALSE
BKNG 210 210 224 194 37 45 74 54 25889 26077 FALSE
COF 51 51 54 48 17 7 6 20 25889 26077 FALSE
REGN 43 43 32 36 9 9 11 15 25889 26077 FALSE
MTD 40 40 42 39 11 11 6 12 25889 26077 FALSE
ORLY 39 39 33 34 10 12 8 10 25889 26077 FALSE
HUM 37 37 -40 20 7 22 51 -44 25889 26077 FALSE
MOH 35 35 2 27 16 8 15 -4 25889 26077 FALSE
MCK 31 31 33 27 6 -9 23 11 25950 26077 FALSE
ELV 29 29 -3 23 8 5 24 -9 25889 26077 FALSE
AMP 28 28 75 37 7 4 8 9 25889 26077 FALSE
DFS 28 28 34 30 9 6 6 7 25889 26077 FALSE
TRV 26 26 36 30 12 6 3 5 25889 26077 FALSE
VLO 26 26 14 19 8 3 7 9 25889 26077 FALSE
AXP 23 23 16 21 10 4 -2 10 25889 26077 FALSE
GWW 22 22 30 24 6 5 5 5 25889 26077 FALSE
UNH 21 21 6 20 5 9 15 -7 25889 26077 FALSE
CPAY 21 21 26 27 3 2 11 4 25889 26077 FALSE
URI 20 20 27 26 3 3 5 9 25889 26077 FALSE
ULTA 19 19 21 21 1 4 16 -1 25912 26037 FALSE


Looking at the count of passing stocks with the screen {compareFCFd} can highlight dates where [fcfps12mq1d.s] differs from [fcfps12m.s].

Count of stocks passing step7 and step8 should be about the same:
step7: [Xd] > 0
step8: [Xs] > 0
Define: [ratio87] = count passing step8 / count passing step7
Ideally [ratio87] is 100%.

Count of stocks passing step11 and step12 should be about the same:
step11: [[Xd] - [medianXd]] > 0
step12: [[Xs] - [medianXs]] > 0
Define: [ratio1211] = count passing step12 / count passing step11
Ideally [ratio1211] is 100%.

[ratio87] is now 90%. A chart shows dips about once a year to about 94% since 2016. A 90% value indicates that 10% of stocks with positive [Xd] have negative [Xs].

[ratio1211] is now 82%. This is much lower than the previous low of 92% seen between 2004 and 2009.

Both ratios are lower than normal, indicating something has changed with one of these fields. The change happened suddenly on 20241007, about the time of the new SIP data.

Note that each data vendor uses a different FCF calculation. The new SIP data has different FCF than the old data. This doesn't affect the field comparison, but could mean backtest results are less applicable to current picks (because FCF has changed).


https://gtr1.net/2013/?~checkFCF2024a::sp500.a:et1...

https://gtr1.net/2013/?~compareFCFd:h21f0.4::styp....

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Author: lohill 🐝 BRONZE
SHREWD
  😊 😞

Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 2:12 PM
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Robbie,

I still use a couple of SI Pro screens. I have been backtesting some WWL possibilities that I was planning on using this next year. Can I assume that backtesting is still OK and it is just the screening that may have problems?

Larry
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 2:15 PM
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SIP data has:
BKR 101010 - Energy Equipment & Services
APA 101020 - Oil, Gas & Consumable Fuels

As of 20241129, [trbc7.s] has values:

Ticker  trbc2.s  trbc7.s
BKR 10 10101
APA 10 10102
ALB 15 15101
MLM 15 15102
AMCR 15 15103
FCX 15 15104
AXON 20 20101
ALLE 20 20102
PWR 20 20103
AME 20 20104
HON 20 20105
CAT 20 20106
FAST 20 20107
CPRT 20 20201
ADP 20 20202
CHRW 20 20301
DAL 20 20302
CSX 20 20304
APTV 25 25101
F 25 25102
DHI 25 25201
HAS 25 25202
DECK 25 25203
ABNB 25 25301
GPC 25 25501
AMZN 25 25503
AZO 25 25504
COST 30 30101
BF-B 30 30201
ADM 30 30202
MO 30 30203
CHD 30 30301
EL 30 30302
ABT 35 35101
CAH 35 35102
ABBV 35 35201
BMY 35 35202
A 35 35203
BAC 40 40101
BRK-B 40 40201
AXP 40 40202
AMP 40 40203
ACGL 40 40301
ACN 45 45102
ADBE 45 45103
ANET 45 45201
AAPL 45 45202
APH 45 45203
ADI 45 45301
T 50 50101
TMUS 50 50102
CHTR 50 50201
DIS 50 50202
GOOG 50 50203
AEP 55 55101
ATO 55 55102
AEE 55 55103
AWK 55 55104
AES 55 55105
HST 60 60103
BXP 60 60104
ARE 60 60105
AVB 60 60106
FRT 60 60107
AMT 60 60108
CBRE 60 60201


https://gtr1.net/2013/?~industy20241204::sp500.a:e...
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 8:38 PM
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No. of Recommendations: 3
Bottom line is avoid [fcfps12m.s]. Instead use [fcfps12mq1d.s] or [fcfpsy1.s]. Details:

FCF is adjusted both by the company and the data vendor. FCF per share:

Ticker  Barchart   M*   SIPnew  SIPold  period
BAX 2.04 2.04 0.89 0.89 Y2023
MMM 9.14 9.15 3.17 3.17 Y2023
AMZN 1.12 0.73 0.49 0.72 Q202406


I do not know how [fcfps12m.s] is calculated and so would avoid using it. For example, both BAX and MMM have fiscal year ending December 31st, and latest reported quarter ending September 30, 2024. [fcfps12mq1d.s] is the sum of quarters 1 through 4 as expected. Somehow, [fcfps12m.s] is more negative than any combination of quarters.

Ticker  fcfps12mq1d.s  fcfpsy1.s  fcfps12m.s  fcfpsq1.s  fcfpsq2.s  fcfpsq3.s  fcfpsq4.s  fcfpsq5.s  fcfpsq6.s  fcfpsq7.s  fcfpsq8.s  perendy1.s  perendq1.s  diff
BAX 1.04 0.89 -0.38 0.41 0.08 0.33 0.22 -0.03 0.00 -0.14 0.63 25889 26077 188
MMM 2.80 3.17 -3.06 1.22 0.55 -0.05 1.08 0.43 -0.18 -0.46 1.05 25889 26077 188


============
For 2024Q3, SIP reports for MMM:
Cash from Operations: $(1.8) B
Cap Ex: 0.246 B
FCFPS: $1.22
FCF: 0.55 B shares * 1.22 = $0.67 B

SIP is reporting the adjusted FCF, discounting some of the adjustment.

3M Reports Third-Quarter Results
Adjusted free cash flow of $1.5 billion.
Cash from operations of $(1.8) billion, driven by $3.6 billion net after tax payments for costs of significant litigation, primarily Public Water Systems and Combat Arms Earplugs.
https://investors.3m.com/financials/quarterly-earn...

========= Some FCF numbers ========

Y1 BAX:
Barchart: $1.034 B
M*: $1.03 B
0.506 B shares

Y1 MMM:
Barchart: $5.065 B
M*: $5.07 B
0.5539 B shares

FCF for Amazon in the quarter ending June 30, 2024:
Barchart: $11.725 B
M*: $7.66 B
10.477 B shares

New SIP data and AMZN
"To see what might have changed with the new data source, I looked at what SIP reports as AMZN financial statements for the quarter ending June 30, 2024. FCF might be the most significant change."
field: 20240927 data, 20241001 data
Free Cash Flow per Share: 0.72, 0.49
https://www.shrewdm.com/MB?pid=379012025&wholeThre...
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Author: musselmant   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 8:38 PM
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I use a combination of everything so don't know how to quantify but yes I use SIPro fields as your tester calculates; I don't use industry category definitions much, though. So if your question is "is SIPro as reported in your tester important to you" the answer is "yes".
-Tom
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Author: TGMark 🐝  😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 8:56 PM
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No. of Recommendations: 5
FINwithRE: pref(if(trbc2.s=55!60,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

The previous (before SiPro's change in October) trbc2 codes for financial and real estate companies are 55 and 60. https://en.wikipedia.org/wiki/The_Refinitiv_Busine...
The respective GICS codes are 40 and 60, and oddly the real estate company code did not change. https://en.wikipedia.org/wiki/Global_Industry_Clas...
So the standard filter above can be replaced by:

FINwithRE: pref(if(trbc2.s=40!60,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

for the purposes of generating current picks. However the backtest will not be correct due to this change.
Backtests can be run with the old codes ending 20241001 and then they should be consistent with prior results.


Mark
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Author: JohnIII   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/04/2024 10:02 PM
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I use it regularly and it's very valuable to me. I'm not an expert, no fancy stuff, just put together basic screens based on pretty simple ideas, or things shared here.

I think there was a way to make a donation to cover costs for GTR1 many years ago. Is that still true? If so, I'd like to help out.

Thanks,
John
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/05/2024 11:21 AM
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I use the following steps in GTR1 to drop Finance and RE:

fincd12.a != 11
styp.a != 18!48
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Author: Aussi   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/05/2024 12:08 PM
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Lizgdal

If you have a link, could you please post a link to the definitions/values for the fincd and styp.

For VG Horse version I am using, changing to your industry steps and not using the SIPro industry gives me about the same backtest results.

Thanks

Aussi
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/05/2024 4:53 PM
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Text files describing the Fama/French Industry Classifications can be found at:

Industry Portfolios
https://mba.tuck.dartmouth.edu/pages/faculty/ken.f...

Fama/French Industry Classifications
"I recently created a new set of the following field files:"
http://www.datahelper.com/mi/search.phtml?nofool=y...

Filename   Type            Description           Default Value  Start Date
fincd.a 115 [Fama/French 49 Industry Code] 0 19251231
fincd10.a 115 [Fama/French 10 Industry Code] 0 19251231
fincd12.a 115 [Fama/French 12 Industry Code] 0 19251231
fincd17.a 115 [Fama/French 17 Industry Code] 0 19251231
fincd30.a 115 [Fama/French 30 Industry Code] 0 19251231
fincd38.a 115 [Fama/French 38 Industry Code] 0 19251231
fincd48.a 115 [Fama/French 48 Industry Code] 0 19251231
fincd49.a 115 [Fama/French 49 Industry Code] 0 19251231
fincd5.a 115 [Fama/French 5 Industry Code] 0 19251231


=================
For new screens, I use:
styp.a = 10!11!12!18!30!31!48

styp.a Security Type counts in gtr1
http://www.datahelper.com/mi/search.phtml?nofool=y...

"In order to make it easier to include or exclude certain kinds of securities like REITs, Limited Partnerships, Closed-End Funds, etc, I have added the field [Security Type] from the daily data source to the field file styp.a. "
http://www.datahelper.com/mi/search.phtml?nofool=y...
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/05/2024 5:00 PM
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Excluding SPACs from GTR1 Backtests
"US-incorporated SPACs have values of 16 in styp.a while foreign-incorporated SPACs have values of 17. "
http://www.datahelper.com/mi/search.phtml?nofool=y...
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Author: TGMark 🐝  😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/05/2024 10:19 PM
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All of my screens have these filters: no financial/real estate, security type only 11 or 12, and no China stocks.

FINwithRE: pref(if(trbc2.s=40!60,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

FINwithRE = 0
styp.a = 11!12
country.s != 3!7

I backtested all of my screens using fincd12.a != 11 instead of the FINwithRE definition above.
The backtest results were arguably the same, perhaps a little better for most screens using fincd12.a.
Using fincd12.a would avoid this recent SiPro change in backtest anyway, and it gives a bit simpler code.
However Robbie has pointed out in the past that the fama french codes are somewhat arbitrary due to inconsistencies in how SIC codes are assigned.


Mark
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Author: lizgdal   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/06/2024 10:49 PM
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I agree that the data vendor custom industry classifications are probably more accurate. But the computer generated [fincd12.a] makes backtesting easier.

In the S&P 1500, there are 330 stocks that are classified as Financial Sector by all 3 data sources, and only 57 stocks with disagreement. The new SIP data disagrees with the old SIP data for 29 stocks. The field [fincd12.a] disagrees with the old SIP data for 37 stocks.

If the oldSIP classifications are "correct", then the newSIP Finance Sector classifications are "wrong" for 29 out of 387 stocks, and [fincd12.a] Finance Sector classifications are "wrong" for 37 out of 387 stocks. Not much difference, and a less than 10% "error" rate.

For example, placement in the Financial Sector:
ABG Asbury Automotive Group: only [fincd12.a]
FDS FactSet Research: only newSIP
WU Western Union: not oldSIP
WT WisdomTree: not [fincd12.a]

newSIP is SIP 20241017 data with Sector "60 - Real Estate" or "40 - Financials".
fincd is GTR1 20241017 data with fincd12.a = 11
oldSIP is SIP 20240930 data with trbc2 = 60 or 55.

newSIP  fincd  oldSIP  count  tickers
0 1 0 17 ABG, ALLE, CAR, CI, CNC, CRVL, CVS, CXW, ELV, HRB, HUM, MOH, PLUS, RGLD, SCI, TPH, UNH
1 0 0 19 CPAY, DFIN, EVTC, FDS, FI, FIS, GPN, JKHY, JXN, MA, MCO, MSCI, NATL, PAYO, PRG, PYPL, RDN, SPGI, V
1 1 0 8 BRK-B, CSGP, CURB, EEFT, MORN, SITC, WEX, WU
0 0 1 1 GATX
0 1 1 1 GEO
1 0 1 11 ALEX, ALLY, BFH, CG, MMI, NAVI, NMIH, ROIC, VIRT, VRTS, WT


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Author: platykurtic   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/11/2024 10:10 PM
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I use both SI-Pro's own screening (with further spreadsheet work) & GTR1 for screening - essentially as a check on each other. As such I've been leaning on own screening this year quite a bit.

I had detected that the data was frozen and so as the earnings season progressed GTR1 screening started to differ from the SI-Pro screening (as companies were updated). I've been traveling and so have done minimal MI work over the last week or two, but I'll take a look at converting the common sector & industry screening steps in-line with lizgdal's suggestion (to use the *.a fields) but it could take a few days. If & when the new SI-Pro sector & industry data come on-line then a further conversion can be made.

Thanks again for the GTR1 Robbie!

Platykurtic
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Author: musselmant   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/14/2024 7:38 AM
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It's time for someone to sign up for the Marketsurge free trial so Robbie can do his thing;
please someone volunteer and do it and email him and me that you have (so I don't have to
pay; I did it too recently to get the free period).
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Author: TGMark 🐝  😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/15/2024 11:29 AM
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done
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Author: Aussi   😊 😞
Number: of 15058 
Subject: Re: GTR1 Help
Date: 12/15/2024 3:01 PM
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Let me know when you're done and I will do the next one.
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