In Equities Lab, we refer to the universe as the sets the set of securities included in screens, ranks and backtests.
By default, we want to include only stocks that are reasonably liquidatable, as otherwise it is very easy to create screeners that work great on paper and lousy in practice.…
When a property does not exist, it becomes undefined. This table shows how undefined values are treated in Equities Lab
|5 + or – Undefined||5|
|5 * or / Undefined||Undefined|
|X > or < or = Undefined||False|
|X != Undefined||True for all X|
|Market Rank/Rank/Percentile of Undefined||Undefined|
Equihack is the language behind Equities Lab’s Powerful Screeners.
Equihack Language Grammar
Equihack is the whimsical name given to Equities Lab’s computer language that drives its screeners and more. It allows you, the “Hacker,” to crack open secrets hidden in the records of over 7,000 stocks. This unique language has grammar rules that you will need to know in order to use it.…
Shorting stocks is hard to do profitably. Very hard. That said, adding a short component to portfolios can reduce drawdown. Long/Short portfolios are also useful to see if factors are important for good investment performance.
To model a long/short portfolio with maximum control, use the islongshort macro.…
These screenshots will start embarrassingly simple, and get more elaborate. So stay tuned…
First, lets find large companies!
Now, within that set of companies we want to find companies with decent valuation:
That’s nice, but we have some companies with really tiny PE values:
Let’s filter them out (using add term on the <, and dragging and dropping the terms):
This is nice, but where did I get those 3 and 12 from. …
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 when I wrote this article:-).
We see that fewer assets are better: the two best performing quintiles are the lowest ones. If you like numbers better than pretty lines, there are a few below — detailing the performance of each quintile. …
Learn how to benchmark your strategy versus various benchmarks, ranging from indexes, to stocks and other strategies.
Cutting to the chase, imagine you have a simple screen that finds reasonable large cap companies. That screen is literally “import ohlson_o_score < -3 and mc > 10b”
A brief intro to get more out of watchlists, which help you manage your holdings.
Your Holdings view is a collection of all your watchlists, gathered under title bars for each one. Here we show just one (FCA Dividends).…