I made a sim to check the results of the Dogs of the Dow strategy and I’ve run into a problem.
The rank system has one factor - Yield. With the DJIA universe, the top ten stocks on 1/1/22 were {DOW, VZ, IBM, CVX, WBA, MRK, AMGN, MMM, KO, INTC}. This is in agreement with several online sources.
However, the simulation starts with stocks;
{DOW, VZ, CVX, WBA, MRK, AMGN, MMM, KO, INTC, JPM}
It turns out that IBM’s October 2021 spinoff marked it as falling under the “allow mergers” rule, so IBM was excluded from simulations which had that box checked “no” for six months, including on January 1, 2022.
Obviously, this is not what the “allow mergers” rule is supposed to do, so we’ll be rolling out a fix for this sometime soon.
Ok, thanks! I just reran w/ mergers allowed and IBM is now a holding.
For debugging, it would be nice to have a log of how new selections were made. Something like a run down through all the stocks considered with their rank and what buy rules it failed. Well, something along those lines.
The workaround is all that’s available for now. I can only say we plan on working on this eventually. The enhancement will also add support for European companies.
