How to make a changing stock universe

How to make a changing stock universe

Chaim6
2014-02-02 11:35:44

I am trying to eliminate untradeable stocks from my backtesting. The problem is that the list of untradeable stocks varies with time, for example as the marketcap grows or shrinks. (A market cap that is too small is untradeable.) Therefore it is not helpful to remove all stocks that are not tradeable today. How do we tell the ranking system analyzer and the other backtesting tools to remove all stocks from consideration based on specific rules?

Thanks.

QuantShare
2014-02-03 12:58:37

Just add the filter rule to the "buy" variable.

Example:
a = rsi(14) > 70;
filter = close > 10;
buy = a and filter;

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