GTR1 Backtester

 Backtest Name: (Optional)
 Universe Settings
Use root universe of all securities with primary listings on NYSE/AMEX/NASDAQ/Arca (excluding preferred stocks, ADRs of preferred stocks, structured products, ETNs, ETDs, warrants, rights, and units bundling excluded securities).
 Exclude ordinary cash dividends from all portfolio holdings.
Use custom universe of investments specified by URL:
Execute all trades (including regular rebalancing, position opening, position closing and stops) at
Closing Price or Bid/Ask Average
Opening Price (If unavailable, Closing Price is used. Before June 15, 1992, opening prices in the root universe are limited to NYSE stocks.)
 Holding Period/Trading Dates
Hold all positions for a fixed interval of N = market days between trading dates, where N may be any integer from 1 to 253. All N possible non-overlapping trading cycles will be backtested.
Hold all positions between trading dates specified by the condition . Must be an absolute comparison to a non-aggregate signal field; a single trading cycle will be backtested.
 Buy/Open Conditions
  (For easy editing.)
Steps: [more](At least one step is required.)
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Field Labels :Expressions [more] (Field labels/expressions are optional.)
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Screen Reference URLs: [more](Required by certain field functions.)
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 Shrink Mode  (Allocate cash to unfilled positions only if no investments pass screening steps. This mode is forced if the final step is not of the form "top N" or "bottom N".)
Field File Lag Adjustment: market days.  (Defaults to 0 for backtests, -1 for screening; is added to the lag paramaeter of each field file or import function.)
Price Lag Adjustment: market days.  (Defaults to 0 for backtests, -1 for screening; is added to the lag parameter of each field function based on price or volume.)
 Hold & Sell/Close Conditions
Close positions early at Stop-Gain Multiple or Stop-Loss Multiple , holding cash until next trading date. (E.g., 1.1 for 10% stop-gain, 0.9 for 10% stop-loss.)
     • Stops are checked and executed only at market day close and are reset for each holding period. Stop multiples are parameterizable.)
Positions failing buy/open conditions on trading dates are closed (if liquid), except:
     • Hold if still passing buy/open conditions through Step  and satisfying on trading date. (Both conditions are optional.)
     • Hold if not held for at least consecutive holding periods.
Close all liquid positions and hold cash on any market dates where . (Overrides all buy/open and hold conditions. Must be an absolute comparison to a non-aggregate signal field.)
Friction: % loss applied at all sales (closing long and opening short). Percentage loss is converted to a multiplier for command argument 'friction'.
 Position Weighting
Equally weight new positions, fully rebalancing all liquid positions to equal weight every holding periods. (Set to 0 to never rebalance positions after they are opened. Shrink mode, whether selected or forced, requires a value of 1.)
Weight liquid positions by every holding period.  (Weighting field must appear in buy/open conditions. Zero-weight positions cannot be opened.)
Margin Premium: % above Cash Rate.  (Margin Rate = Cash Rate + Margin Premium is applied to negatively weighted positions, i.e. short positions.)
 Miscellaneous
Passwords:   (Required for screening on certain fields. Separate all passwords by spaces.)
Command line-only options:   (E.g., -nocache, list:*.a etc.)
 Report Controls
Report results from to . (Enter market dates in yyyymmdd format. Leave either or both blank for earliest/latest supported dates. Screener results are always reported as of ending date.)
Calculate risk metrics using intervals of market days with an annualized Minimum Acceptable Return (MAR) of % per year.
All-Variants Report.  (Show CAGR, Annualized Turnover and any specified risk metrics for each cycle of each variant. GSD is shown if no other metrics are specified.)
Metrics Specifier String: (E.g., "gtu" to report GSD, Treynor Index and Ulcer Index, in that order. Available codes are 'g', 's', 't', 'u', 'b', 'd', '3' and 'm'.)
Detailed Report on Focus Variant .  (Show all available performance metrics, annual returns and any additional details selected below for the specified variant only.)
 Portfolio Values  (Download daily portfolio values for all cycles of the focus variant.)
 Signal Values  (Download daily values of any defined signal fields for the focus variant.)
Performance Report on Ticker Symbol .  (Enter any single, active Yahoo! Finance ticker symbol, e.g., MSFT, ^GSPC, etc, to report on a buy-and-hold of that symbol instead of the constructed screen.)
Performance Report on virtual Yahoo! symbol with Close = , Open = , High = and Low = . (Only Close is required. All must be labels for signal fields defined above.)