Rolling Test Failure Due to Empty Universe

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1

I get the following message when attempting to run a rolling test using a particularly restrictive universe

Ranking failed on 07/13/2002: Universe has 0 stocks on 07/13/2002

Because of the structure of the universe I am not surprised to find a null set on a particular date, but I do wonder why this causes the entire rolling test to fail. Note that if I run a simulation across this time period, I do not have any problems the sim just doesn’t by any securities on that date (behavior I would expect). Why wouldn’t that behavior be the same for the Rolling Test?

Is there a work around or fix for this problem (it is definitely causing me some headaches with my analysis)?

In the very least why doesn’t the Rolling Test just return an NA for that particular time period, and proceed to run the model for the rest of the iterations in the test period.

Thanks,

Daniel

2

Agree, a “Continue if Error” option is needed for rolling tests. Thanks

A sim stops on empty universe probably because universes were originally intended to be more loose than buy rules, and stopping gets your attention.

Did you try moving some restrictions to buy rules ?

3

Thanks, Marco. I usually do approach it that way, but I was trying a new technique where I keep the universe restrictive, and limit to just the following buy rule

Buy

RankPos <= #Positions

Sell

RankPos > #Positions

The benefit of this approach is extremely low turnover #'s relative to the way I used to do things. There might be other ways to achieve that goal… I’ll think about it.

-Daniel

4

Marco,

Would it be possible to change the sim rules such that an Empty Universe on a particular date gives a warning instead of an error? I am not able to find a workaround for the problem discussed above, and an Empty Universe on a particular date doesn’t seem like a good reason for a simulation to error out.

Thanks,

Daniel

5

I very much agree with that request and sth I asked for a couple of years ago.
In my view 0 stock in universe => do not buy anything, move on to the next week and so on till there is again sth to buy.

Many thanks,

Jerome

6

I also find RankPos is frequently better than a simple Rank buy rule.
This would be a powerful feature to avoid buying stock. Simulations/ports can continue with empty universe and hold cash, just like market timing.

Thanks a lot!

7

We’ll eliminate the error that stops a sim with empty universe. Naturally all positions will be sold unless the ‘insert positions in universe’ is checked. We’ll include it in the big upcoming release which includes new flexible position sizing feature.

Thanks

8

Thanks Marco!

9

Thank you!

10

The error should now be eliminated for all rank, screen, and portfolio operations.