A spike in the ranking buckets.

Research
1

Hi all.

Just a question…

From time to time, when I’m working with rankings, and check their performance I get a spike like this in the buckets, and to be honest I do not know what to think about it…

Is there something from where I can take advantage?

Is something wrong with my ranking?

Any thoughts will be appreciated.

Captura de pantalla 2019-07-02 a las 17.25.39.png
Captura de pantalla 2019-07-02 a las 17.25.39.png1208×1400 110 KB

2

What ranking system are you looking at? Send me a link to the ranking system and I’ll take a look.

3

I’ll bet it’s one or two penny stocks with egregious returns. You’ll have to introduce bare minimum price and liquidity constraints, as well as increase the size of your universe.

4

Email sent. Thanks!!!

5

yeah, I guess so. It only happends in that exact setup.

Thanks Primus!!

6

On 12/26/2015 this test assigned EURNY^16 to the bucket, and the system says that it went from $0.00 to $35.10 during that test period.

I believe that this is nonsense, and we’ll look into it.

If you run a custom universe with this rule:

Ticker("EURNY^16")=False

then the results look more normal:

test.jpg
test.jpg873×699 59.3 KB

7

Ok, thanks a lot Paul.