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Investment Strategies / Mechanical Investing
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Author: rayvt ✧🐝  😊 😞
Number: of 5502 
Subject: Re: Statistics for Nasdaq 100 monthly Momentum Screen
Date: 05/07/26 1:00 PM
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gprc also includes adjustments for splits, aprc does not.


gprc, per se, is not an investable parameter. It is unique to GTR1.
aprc is based on gtoa.a and grpc. "gtoa.a's main purpose is detecting and correcting for stock splits"
Which seems to imply that aprc DOES account for splits.
(FWIW, I get dizzy trying to follow the field definitions in the GTR1 documentation.)

Regardless, ignoring splits would give a stock a *lower* computed momentum and would thus incorrectly exclude a strong stock rather than incorrectly include a weak stock.

It doesn't matter anyway. The results are virtually identical.

Here is using gprc:
          Avg         Min        Max       
CAGR:     24.737926   23.116436  26.071377
MDD:     -73.0342    -77.28851  -69.429611          
UI(252):  16.658768  13.004523   20.505390

Here is using aprc:
          Avg          Min         Max
CAGR:     24.519554   22.958212   26.837484
MDD:     -72.663345  -79.246208  -67.261589
UI(252):  14.280787   11.270746   19.41403
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