Hello everybody. I’m running a number of live simulations with rank based sell rules. For example, in one of the simulations there is a sell rule: Rank < 90. The problem is that not all stocks are getting ranked. So for example, I have a US small cap live simulation which has 35 holdings, but only 32 of these were ranked over the last few weeks. The remaining three stocks were ranked when they were first added to the portfolio, but stopped being ranked at some point. I can see this by looking at the holdings history and the ranks history. These 3 stocks don’t show up when I look at the ranks of the portfolio today (at some past date, they do show up).
Any idea what is going on here? Why do some stocks ceased to be ranked? How do sell rules deal with these unranked stocks? Is there a way to create a sell rule which sells any stock which is unranked?
Thanks in advance for the help.
Graham
What is your universe? If the stock drops out of the universe it won’t have a rank.
Shaumo,
If a stock is unranked it will be sold with the note; No Rank. Unless you have; Force Positions into Universe set to Yes. In that case the stocks will be sold only if they meet a different sell rule besides Rank.
You may want to consider widening the Universe & Buy rules to allow stocks to stay in the universe under certain conditions. For example, if you have a universe rule like AvgDailyTot(60) > 200000, you may want to change it to AvgDailyTot(60) > 150000, and add a buy rule AvgDailyTot(60) > 200000. That will still avoid buying a stock with a liquidity less than $200K, but will allow the stock to fall 25% before it falls out of the universe.
Denny,
I will keep an eye on my port with Force Positions into Universe set to “Yes” but I’m pretty sure that it has been selling stocks that have fallen out of the universe. I’ve had Force Positions into Universe set “Yes” for a while. The only sell rules are RankPos > xx and one based on GainPct%.
I could be wrong and I will definitely watch for that.
Thanks.
Jim