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                                                   Dynamic List filter showing strange behavior

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Kiran
2016-07-07 01:25:50


I created a dynamic list from S&P500 index by using the following percentile-based filter below (top quintile ranked by 6-month Sharpe ratio) ..
This list is filtered and displayed correctly on the Screener, but the filter evaluates to 0 symbols in the Chart View and in backtests.

bull = comp(sharpe(close,120), "percentile", 1, 1);
filter = bull>80;

Please advise how to address this..

Kiran


QuantShare
2016-07-07 09:59:41

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Hi Kiran,

The "comp" function requires a lot of calculation and thus does not work with all tools. It works with the screener, simulator, portfolio.. and not with the chart, watchlist.


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