I am building a screen. I have a few filters to get market cap, liquidity etc. That whittled the number passing to 2,184. Then I have a rule - FRank(“Pr2BookPQ”) < 20. I would expect the number passing to be 20% of 2,184. But only 57 passed.
What am I missing?
I briefly went through some of the tutorial information but didn’t see this discussed; sorry if I missed it.
Thanks.
ocpaddler,
if you had - not briefly - looked throug the FRank “Full description”, you should have found the solution. FRank works on the universe (scope = #All is the default value), if you do not change the “scope” default. It does not work on the result of your screen (which was your intention).
@P123: Would be better to mention that #All is the default value.
Matthias
Thanks for that. One more question… if the current universe was All Fundamentals USA, 6,614 companies, why did I only get 57 that passed the rule as I wrote it?
ocpaddler,
if your FRank rule is your only screen rule, you will get a number of 20% of the stocks in your universe.
If you run other rules before the FRank rule, you will not get 20% of your selection without the FRank rule. The quote depends on your respective rules. Your other rules seem to exclude an above average number of stocks with low values for your FRank rule.
A test, which might meet your goal: Create an universe with your screening rules without your FRank rule, then run a screen with this universe and your FRank rule as the only screening rule. In principle, the FRank rule should reduce the number to about 20% (If not, you have to dig deeper to find the reason).
Matthias