Hi,
I understand that the Short Interest Ratio is not available for European stocks. If you create a ranking system containing just this factor, and select a European Universe, then all stocks are ranked equal, as you’d expect. However, if you download performance data, there is a top bucket that performs differently to the others. This isn’t what I expected. Shouldn’t they all be the same? Any European Sim containing short interest in the ranking system must be suspect IMO.
10 character bump
I just tried this with Easy to Trade Europe. All stocks are in the best bucket, the other buckets have 0 rerurn because they are empty.
ok thanks. I have always assumed that there were equal numbers of stock in each bucket, but I guess you’re right in this special case.
I find the “Save Log” feature on the Ranking System / Performance settings page to be very helpful to debug these kinds of cases. When you check that box, there will be a “View Log” button on the performance results page that let’s you look at the composition of each bucket for each rebalancing period.
For example, when I run a single node SIRatio ranking system on Easy to Trade Europe, you can see all stocks going in the top bucket:
RANK PERFORMANCE LOG 06/08/23-08:05:07
Rank ID 382691
Period 01/01/2001 - 12/31/2018
Rank Buckets 20
Slippage % 0.0000%
Transaction Type Long
Universe ID 73977
Minimum Price 3.00
Chart Type Annualized Returns
Note: Details show up to 30 stocks per bucket in format *SYM:Start:End:Ret%
where * indicates a stock entering a bucket and Start and End are
close prices fully adjusted as of the latest date.
*************************************************************************************
*** Rebal Dates 12/30/2000 - 01/27/2001
*************************************************************************************
Bucket Rank Perf% #Stocks Slippage% Details...
1 0 0.0000 0 0.0000
2 5 0.0000 0 0.0000
3 10 0.0000 0 0.0000
4 15 0.0000 0 0.0000
5 20 0.0000 0 0.0000
6 25 0.0000 0 0.0000
7 30 0.0000 0 0.0000
8 35 0.0000 0 0.0000
9 40 0.0000 0 0.0000
10 45 0.0000 0 0.0000
11 50 0.0000 0 0.0000
12 55 0.0000 0 0.0000
13 60 0.0000 0 0.0000
14 65 0.0000 0 0.0000
15 70 0.0000 0 0.0000
16 75 0.0000 0 0.0000
17 80 0.0000 0 0.0000
18 85 0.0000 0 0.0000
19 90 0.0000 0 0.0000
20 95 5.3401 2053 0.0000 *DVD^09:DEU:9.09:16.58:82.35% *NUO^15:NLD:13.78:11.44:-16.96% *BCOR^06:SWE:378.95:359.30:-5.19% *CAI:ITA:1.04:1.36:30.45% *R^06:ITA:13.37:12.67:-5.20% *PWG^02:GBR:5.75:6.58:14.31% *CEF^12:DEU:38.67:37.23:-3.73% *BFP^05:GBR:2.95:1.78:-39.66% *ERM^22:GBR:2.99:2.79:-6.61% *KCR:FIN:2.76:3.37:22.22% *EID^13:GBR:2.26:0.83:-63.17% *ELK^05:NOR:127.82:138.47:8.33% *BFI^07:ITA:9.55:10.85:13.60% *ELAN.B:SWE:96.34:100.45:4.26% *TRR^05:ESP:5.64:8.21:45.61% *STLAM:ITA:3.45:3.57:3.50% *COL.N^07:ESP:0.89:0.90:1.19% *AT^21:ITA:4.81:4.66:-3.08% *VIL:FRA:1.53:1.46:-4.36% *GRS^10:FRA:57.00:64.05:12.37% *ISON^07:CHE:21.00:16.00:-23.81% *FFGRP:GRC:21.65:12.84:-40.69% *ATO:FRA:49.10:64.14:30.63% *FTC:GBR:0.61:0.50:-17.65% *KPH^20:DEU:6.86:8.16:18.95% *FRE:DEU:8.66:7.59:-12.39% *SCA.B:SWE:7.02:7.25:3.27% *CPI:GBR:1.99:2.12:6.68% *BHP^22:GBR:0.98:1.08:10.38% *ANTO:GBR:0.38:0.36:-5.63% (2023 more)
*************************************************************************************
*** Rebal Dates 01/27/2001 - 02/24/2001
*************************************************************************************
...
thanks feldy. another feature I didn’t know about!