No. of Recommendations: 4
The idea is that I want to eliminate penny stocks. Not that I expect Nasdaq 100 has many, if any, penny stocks. But still...
I do NOT want to consider dividends, which indeed are minimal for this screen.
I do want to account for splits of course.
From the GTR1 Glossary:
"gprc:
Since g-prices, by themselves,are meaningless due to their arbitrary scaling, fields populated with the field function gprc are only commensurable with other fields containing g-prices such as those populated with hgprc , lgprc or pgrpc . If meaningful prices are desired, then use the field function aprc."
"g-prices:
GTR1 Linearization also ensures that for any given stock on a given market date, the corresponding investment's g-prices correctly reflect all past and future splits, dividends, ... Note that since g-prices are arbitrarily scaled, they are only meaningful when compared with other g-pricesfor the same investment."
"aprc:
aprc retrieves its applicable value in gtoa.a and multiplies this by its current g-price...
(2) A field function retrieving each investment's actual closing price per share of underlying stock a specified number of market dates previous to the current trading date."
Based on this, aprc accounts for both dividends and splits, since aprc is based on g-price which takes them into account.
For completeness the screens really should also have a "dspo > 252" rule. Luckily, the backtest results are almost the same with or without these two rules.
