Screener Updates for March 2016

It has been a while since we’ve rolled out any significant updates to our system, and we have several ready to go. Today we are adding two backtesting features and announcing a change to our data update schedule.

Taking the last item first, we are pleased to be able to begin updating the backtest data on a daily basis rather than weekly. This has been a request of several users, and we are happy to fulfill this need. Some of you may not need this frequency of update, but those users who are trading on a daily cycle need the updates to confirm trade selection on a timely basis. More broadly, we believe it will be beneficial to the community as a whole. This week the updates will be happening in the overnight hours, but our goal is to bring that forward to around 5:00pm ET so the new data would be available in the evening hours.

The first of two backtest features to be released is simply the ability to specify a cash investment which will be used for otherwise un-invested cash. You can specify any symbol in our database for a default cash investment. From our discussions with a few of you, we might suggest TLT, SHV, or BIV for this use. Remember that some of these funds have a rather short history so that may dictate your selection. We have considered adding a few mutual funds due to the short history of the ETFs, so let us know if you have any preferences there.

The primary feature being released today is the ability to define a minimum acceptable historical return for a fund to be selected, but this rule is only applied after all the traditional filters and sort rule. The end result is this rule will shift a screen position directly into cash if the rule is not met, rather than selecting a fund further down the screen.

As an example let’s look at a simple screen that sorts sector funds by 3-month return, holding the top two positions.  Given the following data from Dec 30, one would usually

select XLB and XLK.  But let’s say we also want the 6-month return to be positive.  If we used a regular filter rule for this, then our screen would simply skip XLB and XLV and buy XLK and XLP.  If we used this new Minimum Return rule and specified it as [Rtn-6mo] > 0, we would skip XLB, diverting those funds to cash and buy a single position in XLK.  Often times it may not be advantageous to skip down the list to find a buy candidate and is better, instead, to be in the safety of cash.  Note that cash here could be a cash related fund by utilizing the above mentioned new feature.

The actual rule you use for this can be as simple as “[Rtn-6mo] > 0” as mentioned above.  It can also include the functions PREVAL() and VALUE() and be made more complex with logical operators AND and OR.  Technically the rule is interpreted logically, and when it equates to TRUE the symbol will be chosen, and when it equates to FALSE then cash will be held.  The following examples are offered for idea generation:

[Rtn-3mo] > [Rtn-6mo]
[Rtn-3mo] > VALUE([Rtn-3mo], TLT)
And it's not limited to return fields:
[RRS-126] > 0 AND [Price] > [SMA-50]
[RRS-63] > PREVAL([RRS-63], 3)

During this process we have also changed the entry method for Market Timing Rules to be more consistent and less error prone; however, that is a minor tweak and not a significant change for those of you who use the Market Timing capabilities.

There are several other features rolling out soon, but we thought these were a good start.  The schedule change mentioned at the top will obviously apply to all of our users.  The two features related to backtesting are exclusively for our Premium Access members.

The next feature will be targeted at those of you who re-evaluate your positions daily and will be a supplemental entry rule.  This rule will only be evaluated when first entering a position but not in subsequent periods.  For example, this will allow you to enter at a reasonable price, such as [Price] < [SMA-50] * 1.1 but not exit just because the price goes up.  After all, price increases are what we want.

Please let us know what additional features you would like to see.

Happy Investing!

 

 

5 thoughts on “Screener Updates for March 2016

  1. As a followup – we have identified a conflict when a symbol is specified for a Cash Investment and in the same screen a Market Timing Rule is specified. We are working on a solution. Just realize that if you get an error with this combination of inputs it may not be due to your entry. I’ll post another update when it is corrected. — Hugh

  2. I understand that the back tests are done “at night”. But what about “current picks”. Are MTR results updated every 10 minutes ?

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