Membership Questions
Will Equities Lab run in my corporate or university environment? If so, what does my firewall need to allow?
Equities Lab is a Java 1.8 program installed via Install4J, that talks to a server via https on port 443. Assuming your corporate or university environment allows browsing to https websites, you should be in good shape
Will Equities Lab run on my computer? Will it run on my chromebook or ipad?
As a Java program, Equities Lab will run on Windows, Mac or Linux. Unfortunately, that means it will not run on chromebooks, phones, or Ipads.
If I buy the Kindle version of the book, can I still get the four month free trial?
Absolutely! Simply send us the receipt and we will set up your account.
Do you have short interest? Or earnings estimates?
Sadly not. It doesn’t matter which membership level you sign up to; none of them have that data.
Data Questions
What markets does Equities Lab cover?
We cover US Equities and ADR’s, as well as exchange traded funds.
Are there existing fields for Alpha and Beta?
We have both alphas and betas for a number of timer periods. Furthermore, you can change the benchmark, the risk free rate, the standard deviation calculation, etc. within those fields. To access, simply search for alpha or beta within the explorer.
What is your backtest methodology?
We use a Morningstar US Equity dataset that contains delisted and currently traded stocks, and their fundamentals. The user uses a rebalance period (default is one quarter), and the simulation buys all the stocks that match equally weighted (unless configured to do otherwise). Each day until the next rebalance period, the portfolio value is updated to reflect changes in price, stocks that no longer trade are delisted, and removed from the portfolio (if the stock looks like it went bust, via a configurable heuristic, it is assumed to have lost a further 99% of its value). Values of the stocks are then increased by any dividends that have matched the ex-date (as if they were reinvested), and the next day starts. This continues until the rebalance period, at which point the all non matching stocks are sold, and new ones are bought. All weights are also set to be equal weight (or whatever the weight strategy is configured to be). This continues until the end of the simulation, with all trades being logged so the user can see what was bought and sold, examine relevant variables, charts, etc.
Where can I find Macro data?
Anything found in the Federal Reserve (FRED) system or Quandl.com can be used. Just copy the URL into your clipboard, and paste it in. You can also use our federal reserve property search or browse the list of properties. Use caution with Quandl fields. Since their purchase by Nasdaq, updates on free items has become irregular, and free data frequently disappears.
Are backtest returns calculated with dividends reinvested?
Yes, dividends are included, and are treated as if they were reinvested as of the ex date. This emulates investing in a DRIP, with the dividends reinvested.
Errors
What does the Error ‘Stock Server Error: Server Error: Exception: Cannot Compare split adjusted quantities to constants:’ mean
In short, you are comparing two values that should not be compared. If you are comparing a split adjusted value, like close or EPS to a constant number you will get this error.
Why do ranked values screened in the past sometimes change?
In an ideal world, nothing would change the past, and any screen result would be immutable. Unfortunately, companies merge, change industries, and otherwise do things which make our data provider change the past. While these effects are small, and we try to avoid these problems, they do cause stocks to change in the past. This can cause rank values to drift slightly over time. We have not noticed these to change screen values, or backtest performance over time, but they are a part of life.
Software Usability
Is it possible to create sub-folders in the explorer?
Yes! Just add a word with a colon, like “Category: subcategory,” and the screener/formula/whatever will be put in a folder within Category named Subcategory.
Can you limit the number of stocks from each industry/sector?
Try using a rank-across with sector as the second argument. This will filter out stocks in each sector.
Is there a way to export and import screens/formulas in text files (or xml-like)?
Cut a term, and paste it into a notepad, and you’ll see it’s YAML representation. If you copy that to the clipboard and paste into EL it will be turned back into a term. There are rough edges there, but it does work. You can also export screens under the “publish” tab, as well as export results and positions tables for excel.
Can Piotroski score be used to beat the market?
Follow the below link to read an article around Piotroski. https://www.equitieslab.com/use-monte-carlo-piotroski-score/
Can I model transaction costs?
Absolutely, firstly, you are able to model them directly within the trading rules. This is a basic transaction cost on a percentage of the assets. Outside of that, you are able to create custom trading costs using a variable. Below is an example created by one of our University professors.
Can I do factor analysis in Equities Lab?
Factor backtesting in Equities Lab is easy, and revealing. Here we analyze the factor total assets / sales, chosen at random because it is late at night :-).
https://www.equitieslab.com/how-to-do-factor-analysis/
Is there a way to export and import screens/formulas in text files (or xml-like)?
Cut a term, and paste it into a notepad, and you’ll see it’s YAML representation. If you copy that to the clipboard and paste into EL it will be turned back into a term. There are rough edges there, but it does work. You can also export screens under the “publish” tab, as well as export results and positions tables for excel.
How do you use a Watchlist?
To use a watchlist within Equities Lab, follow the following link to read our step-by-step blog post. https://www.equitieslab.com/how-to-use-a-watchlist/