The count of buys and sells as reported in the Screen Backtest is in error. The screen information below high-lights the issue because the counts are all zero until the very end of the 3 month period. the screen name is “Estimate Beat 2”.
It’s a simple 4 line screen which reports a 1% turnover over the last 3 months with weekly rebalance. However, the holdings on creation on 11/12/22 are (sorted): AHH, CMBM, DXLG, FR, HDSN, LXP, TCN
The holdings on the last of the string of zero changes (2/4/23) are (sorted): ASRT, CSIQ, DXLG, GMAB, HDSN, POWL, YY
This is a 5 holding net change (multiple others in between) where none are captured for display. This throws off all the calculated and displayed turnover information.
Looking at the results from other screens I have found similar results, but not with such clarity.
You have a Rank Tolerance set to 15 percentile (stocks are not replaced if rank is within 15 percentiles). Unfortunately “Rank Tolerance” is not supported in screen reports. It’s only supported while running a backtest. Best we can do is give a warning when you view the screen report and you have a tolerance > 0. Sorry about that.
Try running the screen backtest with “Save Log” enabled and you will see the correct holdings for each rebalance in the log. Below is one of the weekly rebalance from the logs where a lot of the stocks were kept due to the Rank Tolerance
Thank you Marco for looking into this. I investigated as you suggested and it is as you stated. So, to actually see the holdings at a point-in-time when Rank Tolerance is not zero the the log needs to be enabled and reviewed.
Side note: the calculated returns do reflect the actual holdings.
I was thinking about this overnight. Given that the calculation details are available as shown in the log. What is the possibility that as an enhancement the information could be displayed in a hyper-linked form? Enabling the period return cell value is the logical choice as it would be the detail behind that value.
Please consider as it would be quite valuable to me and I assume others.
It’s something that is based on prior results. So when you click on a date how far back do you go? There is no way of knowing so we have to go all the way back to the beginning, in other words rerun the sim every time you click a date.
It’s a lot of work to do it, and makes no sense for us to do since what you need is in the Portfolio Strategy. Transactions are stored and you have more control since you have separate buy/sell rules. And you can make it behave like the screener if you want.
It does require the Portfolio membership at least though… So yeah, we do hope users find the screener lacking in certain areas, and upgrade.
