NoDays not working properly?

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1

Hopefully this is just a mistake on my part but I’ve been running into problems on a weekly sim with the following sell rule:

NoDays > 365 & Rank < 101

Intention is to hold the target stocks for a year and then rebalance (I plan to add timing rules as well to exit the market under certain conditions but haven’t put any of those on yet). Unfortunately when I run the sim it sells all the stocks at the first weekly rebalance (doesn’t seem like the NoDays rule is working at all). Any ideas?

David

2

As an additional note I do not seem to encounter the same problem with NoBars.

3

Hi David,

there is no issue with this combination. The only exception is when:

  • the rank is not available
  • merger is not allowed in your sim
    (see below example).

Furthermore, this rule would also not work if you use a sim with intermittent hedge and the hedge kicks in before the 365 days.

hth,
Florian

nobars example.jpg
nobars example.jpg1006×626 311 KB

4

I’ve seen people use Rank<101 to mean true. I would note two things: First, if you just use:

True

it does the same thing.

And in this case

NoDays > 365 & Rank < 101

should be exactly equivalent to

NoDays > 365

I bring this up because when you’re trying to figure out why something isn’t working right, removing unnecessary moving parts is only going to help.

5

As Florian noted, if Rank returns NA funny things happen.

The ‘<’ test returns NA which makes sense. But NA anded with NA, True or False returns 0 (i.e. False).

It’s a bit surprising that True & NA returns 0 (i.e. False). I was expecting NA. Of course, that just delays the question of whether NA should be considered True or False within the Sell rules.

Walter

EDIT: Rank returning NA doesn’t seem to the root cause of the problem described in the OP.

6

David , my quick test worked. Which sim? Thanks

7

Hi Marco - thanks for looking into it - for whatever reason when I tried to put the sim back and reproduce the problem tonight I couldn’t. So may have just been an error on my part - I’ll let you know if I run into it again.

Florian, Walter interesting point on the merger / NA detail - I don’t think that was a factor in my case but good thing to keep in mind.

I guess that’s another reason to exclude the (mostly) redundant Rank < 101 as Paul points out. :slight_smile:

Thanks,

David