Shrink mode, whether selected or forced, requires a value of 1.)

(Set to 0 to never rebalance positions after they are opened. Percentage loss is converted to a multiplier for command argument 'friction'.Įqually weight new positions, fully rebalancing all liquid positions to equal weight every holding periods. Must be an absolute comparison to a non-aggregate signal field.)įriction: % loss applied at all sales (closing long and opening short). (Overrides all buy/open and hold conditions.

Hold if not held for at least consecutive holding periods.Ĭlose all liquid positions and hold cash on any market dates where.

Hold if still passing buy/open conditions through Step and satisfying on trading date.

Positions failing buy/open conditions on trading dates are closed (if liquid), except:

Stops are checked and executed only at market day close and are reset for each holding period.

(Defaults to 0 for backtests, -1 for screening is added to the lag parameter of each field function based on price or volume.)Ĭlose positions early at Stop-Gain Multiple or Stop-Loss Multiple, holding cash until next trading date. (Defaults to 0 for backtests, -1 for screening is added to the lag paramaeter of each field file or import function.) This mode is forced if the final step is not of the form 'top N' or 'bottom N'.)įield File Lag Adjustment: market days.

Shrink Mode (Allocate cash to unfilled positions only if no investments pass screening steps. Must be an absolute comparison to a non-aggregate signal field a single trading cycle will be backtested. Hold all positions between trading dates specified by the condition.

All N possible non-overlapping trading cycles will be backtested. Hold all positions for a fixed interval of N = market days between trading dates, where N may be any integer from 1 to 253. Open prices are unavailable for NASDAQ before November 1, 1983, and available only for NASDAQ's top tier before Jun 15, 1992.) Opening Price (If unavailable, Closing Price is used. Use custom universe of investments specified by URL:Įxecute all trades (including regular rebalancing, position opening, position closing and stops) at Use root universe of all securities with primary listings on NYSE/AMEX/NASDAQ/Arca/BATS/IEX (excluding preferred stocks, ADRs/ADSs representing preferred stocks, structured products, ETNs, ETDs, warrants, rights, and unitsĮxclude ordinary cash dividends from all portfolio holdings.

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