correlations between screens

Models
1

I am looking to see the correlation between multiple screens. Any ideas?

2

Replicate the screens as simulations then put them in a book.

3

Thanks, that’s a great idea, however, the sim dos not exactly match the screen!

4

It generally won’t, because screens and portfolios are different animals. You can get darned close, though. In the portfolio that you want to match the screen:

  1. On the General tab, set commissions to zero. (You can enter your broker’s commission structure, if you like, but the screener doesn’t include it.) Make sure that slippage is identical to that used in the screen.
  2. On the Rebalance tab, set Allow Immediate Buyback to Yes.
  3. On Universe and Ranking, set Force weekly ranks to Yes. (You can’t change this in a simulation, but if you want to convert to a portfolio this is necessary.)
  4. On the Sell tab, clear the rules then put “true” (no quotes) into a single rule. It will sell all stocks each time that it rebalances.
  5. On the Restrictions tab, set Allow Mergers to Yes. (The screener does not filter out merger situations by default.)

In addition, make sure that the other simulator settings in general (particularly on the General tab) match the screener settings as much as possible.

5

thank you!