Noticed that neither symbol shows in my Universe when i run the screen with a filter Ticker(“REX”) or Ticker(“PEIX”).
→ If a holding is dropped from my universe, how do i get the system to still evaluate a rank when i rebalance and not issue a SELL signal for the rule “Rank < 97” because the Rank evaluates to 0? Any work-around if the system can’t evaluate a rank of position that’s not appearing in the universe?
this has been discussed exhaustive in threads of the last weeks. If I remember it right, the only way to not sell a position because it drops from your universe is to make your universe wider.
We need to add an option in the “Universe & Ranking” tab of the strategy to specify “include my current positions in the universe”. It’s on the to-do list.
Your universe has the following screen rules: AvgDailyTot(20) > 500000 & Close(0)>5 & Beta <1.5.
So if any stock that the Sims buys has, at a later rebalance, a lower liquidity than 50K or falls below $5, or increases it’s Beta > 1.5, the stock will fall out of the universe and will be sold.
As Matthias says, expanding the universe will help reduce the sells due to No Rank. Here is an example. I copied your Sim and changed the universe to:AvgDailyTot(20) > 400000 & Close(0)>4 & Beta <2.0. I then added your universe rules to the buy rules as: AvgDailyTot(20) > 500000 & Close(0)>5 & Beta <1.5.
Now, those changes will still buy stocks with the original universe’s rules, but now the Sim was not fully invested. So I reduced the buy rank rule to allow the Sim to be fully invested. Also, some of the stocks will be bought with a lower rank value since more stock will pass the universe. So in order to not sell lower ranked stocks too soon I reduced your sell rank value. That allowed the Sim to hold the stocks about the same average days held.
You can see my changes in the below Sim. This Sim still has 3 stocks out of 27 that were sold due to no rank (See the Realized Transactions). So to avoid that you would need to expand the universe even more. Universes are a little tricky, and we need to carefully evaluate what they are doing to our Sims.
Where can i evaluate functions for a specific stock - e.g. Beta3Y, AvgDailyTot, etc - didn’t find it in various tabs. I’m trying to determine which screening functions in my Universe the stock is violating, so i can adjust the Universe accordingly.
Is there a boolean function to query “Is included in Universe?” That’ll help solve this problem in the interim as Sell Rule would be “Rank < xyz” & “IsIncludedInUniv(“ticker”, “univ”)”
