Problem with Daily ETF Screen of Screens

Research
1

Dear Marco,

I believe I have found an error (or design limitation) when performing daily Screen of Screens using ETFs. To demonstrate the problem I created two screens:

ETF Temp1:
RULES
Common Ticker(“SPY”)

This screen always holds SPY.

ETF Temp2:
RULES
Common Ticker(“QQQ”)
Common MonthDay=20 or MonthDay=22 or MonthDay=24 or MonthDay=26

The second screen is intended to repeatedly Buy and then sell QQQ.

I then created a Screen of Screen:

ETF Temp S_of_S
RULES
Common Screen(“ETF Temp1”,1) or Screen(“ETF Temp2”,1)

This screen of screen should repeatedly hold only SPY or (SPY and QQQ).

The screen of screen appears to only hold SPY. However the daily hyperlinks for the Screen of screens do alternately show only SPY or (SPY and QQQ). I have placed these screens in a folder called ERROR _ETF Screen of Screens.

I attach logs for 5 day daily screens: ETF Temp1, ETF Temp2 and ETF Temp S_of_S. Is this an error or a design limitation?

ETF Temp1 log.jsp.txt (7.18 KB)

ETF Temp2 log.jsp.txt (7.14 KB)

Screen of Screen log.jsp.txt (7.2 KB)

2

Looks like a bug in the screen backtest. It works fine when running the screen on a single day (e.g. 2015/04/17). We’ll investigate the issue.

3

The issue has been resolved and will be in production tomorrow. It was caused by screen backtest logic only running dependent screens once per week instead of once daily for daily rebalance, so that’s the odd behavior you were seeing.

4

Thanks