Full Description
Returns the aggregate value for each scope. Can be used to calculate your own averages for Industries or SP500. It allows either a simple average or a cap-weighted average. Most of the time we would recommend a simple average as cap-weighting results in more volatile values (for ex.if a large cap is a borderline outlier).
It works like this:
- The formula in quotes is evaluated for all the stocks in each scope. The formula could be a single factor, like "MktCap" or more complex like "Close(0)/Close(10)".
- The results for each scope are placed in an arrays. N/A's are discarded
- The arrays are sorted.
- The arrays are trimmed or winsorized
- The arithmetic or cap-weighted average for each scope is calculated
Parameters
formula: any valid stock formula
scope: how stocks are grouped before the aggregate is calculated (see below)
method:how the aggregate value is calculated
#Avg: average the formula values (default, recommended)
#CapAvg: market cap weighted average for the formula
outlier_pct: trim percent for outliers from each side. Default is 16.5%
outlier_handler: how the outliers are treated
#Exclude: excludes outliers from the aggregation (default)
#Winsor: the outliers are set to the highest/lowest value that are not outliers
ex_zero: when set to TRUE 0 values are discarded (handy for factors like Yield). Default is FALSE.
ex_adrs: when set to TRUE ADR's are excluded. Default is TRUE.
median_fallback: when set to > 0 it triggers a fallback to a simple median calculation when not enough stocks are in the scope. Handy for small industries. Default is 0 or no fallback.
Examples
Screen for stocks whose PE is less than the Industry average
PEExclXorTTM < Aggregate("PEExclXorTTM",#Industry, #Avg)
Scope Parameter
Values |
Stocks |
ETFs |
Description |
#All | Y | Y | Operates on current universe |
#Previous1 | Y | Y | Operates on the results from previous rule |
#GroupVar2 | Y | Y | Operates on groups based on value of variable @Group |
--------------------------- For Stocks Only --------------------------- |
#SP500 | Y | | Operates within the SP500 universe |
#Sector | Y | | Operates within each Sector of current universe |
#SubSector | Y | | Operates within each SubSector of current universe |
#Industry | Y | | Operates within each Industry of current universe |
#SubIndustry | Y | | Operates within each SubIndustry of current universe |
--------------------------- For ETFs Only ------------------------------ |
#Family | | Y | Operates within each ETF Family |
#AssetClass | | Y | Operates within each ETF Class |
#Region | | Y | Operates within each ETF Region |
#Country | | Y | Operates within each ETF Country |
#Method | | Y | Operates within each ETF Method |
#Style | | Y | Operates within each ETF Style |
#Size | | Y | Operates within each ETF Size |
#ETFSector | | Y | Operates within each ETF Sector |
1Available only in the Screener and Custom Universe
2Not available in Ranking Systems