When comparing GoCD vs Gitlabs integrated CI, the Slant community recommends Gitlabs integrated CI for most people. In the question“What are the best self-hosted continuous integration tools?” Gitlabs integrated CI is ranked 3rd while GoCD is ranked 4th.
Specs
Ranked in these QuestionsQuestion Ranking
Pros
Pro Native support for pipelines
GoCD supports pipelines natively. This way you can build your projects by pipelining them.
Pro Good traceability of what contributed to a given artifact
GoCD's LEAN value stream UI helps all stakeholders focus on efficient product delivery (instead of collections of technical tasks).
Pro CI is integrated into the version control system
Pro Open-source
Pro Easiest CI for Windows binary, because of Docker-Windows Runner Executor
Cons
Con Need Scripts for everything
Almost all operations are shell based, they are not configurations possible, your CI is as good as your scripting

Con Does not offer many plugins
Since it's relatively new and not very popular, there are few plugins available in GoCD.
Con Somewhat tricky to setup
Con Security risks
Con Only works with gitlab
Con Not lightweight
Not a lightweight solution, demanding and memory hungry.
Con No Windows support
No Windows support, but it's possible to use a Bitnami stack.
