*** 8. Compare CAGR for several screens ***

I chose 16 monthly screens with high GTR1 backtest results. CAGR for these screens over the 10-year backtest:

  Screen   GTR1   P123   diff   CorMER  sdCG  nSD
screen153  19.8%  17.1%  -2.7%   0.72   2.4%   1
screen841  21.9%  24.9%  3.0%    0.74   3.7%   1
screen139  24.4%  18.5%  -5.9%   0.77   2.5%   2
screen562  34.4%  26.1%  -8.4%   0.80   2.0%   4
screen548  23.9%  22.7%  -1.2%   0.81   2.3%   1
screen236  23.6%  17.6%  -6.0%   0.83   1.5%   4
screen797  27.8%  26.2%  -1.6%   0.86   2.3%   1
screen225  30.3%  35.0%  4.7%    0.88   2.1%   2
screen186  25.7%  19.3%  -6.4%   0.89   3.7%   2
screen920  23.0%  26.7%  3.7%    0.89   3.0%   1
screen694  24.1%  26.1%  2.0%    0.92   3.6%   1
screen296  25.1%  29.1%  4.0%    0.94   3.4%   1
screen657  24.2%  21.8%  -2.4%   0.94   0.6%   4
screen118  24.9%  23.9%  -1.0%   0.94   2.5%   0
screen638  14.0%  13.8%  -0.2%   0.96   1.5%   0
screen451  21.4%  20.3%  -1.0%   0.97   1.6%   1
 
 average   24.3%  23.1%  -1.2%   0.87   2.4%   2

There is good agreement between GTR1 and P123 with similar CAGR and high CorMER. Some of the screens have lower CorMER, indicating possibly a field definition difference or a coding mistake.

These P123 Screen backtest results all use the same start date: Monday 20160104. Other start dates can be tested, but P123 Screen backtests only trade on Mondays, and so, for a 4-week rebalance, there are only 4 independent start dates (start dates in the same week Monday to Friday will give about the same CAGR in a P123 Screen backtest). Running the 4 backtests and averaging the results would probably bring the P123 results closer to GTR1.

=== screen definitions ===
This thread is not about any particular screen, and so I only list definitions for two screens as examples of the type I tested.

P123 {screen153} is {Base} with
SharesQ > 0
SharesPYQ > 0
SetVar(@nYld,FOrder("Yield + 100 - 100 * SharesQ / SharesPYQ", #Previous))
SetVar(@nMo,FOrder("Ret%Chg(252)", #Previous))
SetVar(@nSort,FOrder("@nYld + @nMo", #Previous, #Asc))
@nSort <= 10

P123 {screen296}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted & !IsADR
SecurityType = Common
RBICS(REIT) = 0
SalesA > 0
Close(300) > 0
AvgDailyTot(63) > 0
FRank("AvgDailyTot(63)", #Previous) >= 30
FRank("SalesA", #Previous) >= 20
BarsSince(PeriodDateQ) <= 252
SalesQ > 0
TRSD1YD > 0
FOrder("Ret%Chg(220,19) / TRSD1YD", #Previous) <= 100
FOrder("AvgDailyTot(63)", #Previous) <= 10

=== links ===
gtr1.net: GTR1 Backtester - gscreen153
gtr1.net: GTR1 Backtester - screen296