MedianDailyTot result lesser than rule

blueakoi · September 13, 2024, 3:43pm

So I tried combine below rule in my universe to lower slippage for weekly trading/rebalancing

MedianDailyTot(3)>100000
MedianDailyTot(4)>100000
MedianDailyTot(5)>100000

the results I got in my stock selection have many that trade around 20~30k daily for the past 5 days.. why is that?

marco · September 13, 2024, 4:53pm

You have an example?

Keep in mind that to calculate the median the values are first sorted.

blueakoi · September 13, 2024, 6:41pm

This is 20 position from universe using below rules

blueakoi · September 13, 2024, 7:51pm

Below 100k weekly volume :
PPIH
PDEX
OPBK
DR:CAN
SHLE
DNG
CIA
BWFG
BCBP
SNFCA
ACU (10 day average 12k)

yuvaltaylor · September 13, 2024, 8:22pm

MedianDailyTot measures daily dollar volume, not the number of shares traded.

blueakoi · September 13, 2024, 11:10pm

OMG I cant sleep because of this. I thought I messed up lol. Thanks for clearing