*** 1. Universe Composition ***

As a starting point, I created {UnivZero} representing all listed U.S. equities with P123 fundamentals and price. Counting the GTR1 tickers by security type and {UnivZero} membership shows what security types are in P123 {UnivZero}.

On 20251128, there were 5402 tickers in P123 {UnivZero}, and 5184 of these match GTR1 tickers. Most P123 {UnivZero} tickers are ordinary stocks. GTR1 had an additional 5365 tickers (mostly ETFs) not in P123 {UnivZero}.

styp.a  notUnivZero  UnivZero       type
  0          1                    undefined
  11        192        3491    x  ordinary
  12        61         913     x   foreign
  14        157         32           CEF
  15         1
  16                     7     x    SPAC
  17        29         131     x    SPAC
  18         4         159     x    REIT
  21                     1     x
  31        20         357     x     ADR
  41         3           4     
  44        209          1           CEF
  45         1
  48         2          31     x    REIT
  71         4          46     x      LP
  72         1           9     x      LP
  73        4654         2           ETF
  74        24                       CEF
  75         2
 
Total       5365       5184

As expected, the P123 {UnivZero} corresponds to equities that are not CEF or ETF:
styp.a != 14!15!44!73!74!75
or
styp.a = 11!12!16!17!18!21!31!48!71!72

I added various liquidity criteria to create the P123 screens {UnivOne}, {BaseAlt}, and {Base}.
{UnivZero} has no liquidity criteria.
{UnivOne} drops penny stocks and nano caps.
{BaseAlt} drops IPOs and ADRs, and adds a minimum dollar volume criteria.
{Base} adds a few more criteria in an attempt to filter out more IPOs.

Counts of tickers by security type on 20251128:

styp.a  UnivZero  UnivOne  BaseAlt  Base    type
  0                                       undefined
  11      3491      2718     2289   2190  ordinary
  12      913       534      397    372    foreign
  14       32       28        1       1      CEF
  15
  16        7                               SPAC
  17      131                               SPAC
  18      159       147      130    130     REIT
  21        1        1        1       1
  31      357       276                      ADR
  41        4        3        2       2
  44        1        1                       CEF
  45
  48       31       30       28      27     REIT
  71       46       40        5       5       LP
  72        9        9        3       1       LP
  73        2        2        2       2      ETF
  74                                         CEF
  75
 
Total     5184      3789     2858   2731

GTR1 screens {UnivZero} and {UnivOne} will use styp.a != 14!15!44!73!74!75
GTR1 screens {BaseAlt} and {Base} will use styp.a = 10!11!12!18!48

=== screen definitions ===

P123 {UnivZero}
Universe(ALLFUND)
!IsOTC & !IsUnlisted
Close(0) > 0
daily rebalance, 0% Slippage, Equal weight

P123 {UnivOne}
Universe(ALLFUND)
!IsOTC & !IsUnlisted
Close(0) > 0
Close(0) * Max(SharesFDQ, SharesQ) >= 50
SalesQ > 0
Close(10) > 0
AvgVol(10) > 0
Close(0) > 1
daily rebalance, 0% Slippage, Equal weight

P123 {BaseAlt}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted
!IsADR
SecurityType = Common
Close(0) >= 1
AvgDailyTot(63) >= 1000 * 1000
SalesQ > 0
Close(0) * Max(SharesFDQ, SharesQ) >= 50
BarsSince(PeriodDateQ) <= 252
Close(300) > 0
Close(63) > 0
4 week rebalance, 0% Slippage, Equal weight

P123 {Base}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted
!IsADR
SecurityType = Common
Close(0) >= 1
AvgDailyTot(63) >= 1000 * 1000
SalesQ > 0
Close(0) * Max(SharesFDQ, SharesQ) >= 50
BarsSince(PeriodDateQ) <= 252
Close(300) >= 1
AvgDailyTot(200,100) >= 1000 * 1000
4 week rebalance, 0% Slippage, Equal weight

Note that "Close(0) * Max(SharesFDQ, SharesQ)" was used in place of MktCap to avoid the recent P123 change to the MktCap field.
Important Update: Transition to FactSet Market Cap, Feb 6, 2026
community.portfolio123.com - Important update transition to factset market cap

=== links ===
gtr1.net: GTR1 Backtester - gBase
gtr1.net: GTR1 Backtester - gBaseAlt
gtr1.net: GTR1 Backtester - gUnivOne
gtr1.net: GTR1 Backtester - gUnivZero