DataMiner Operation Rolling Screen

Main:              

# Section with main settings

→ Operation:

RollingScreen

→ On Error: 

[Stop],  Continue 

Specifies if you want to stop an operation when there is an error.

→ Precision: 

[2],3,4 

Decimal precision of the output values.

Settings:

# Section with operation settings

→ Vendor:

[FactSet], Compustat

→ Include Results:

yes | [no]

Include detailed backtest results if output is saved.

→ Type:

[Stock], ETF

→ Screen:

Id of an existing screen.

Optional

If the Screen parameter is used, then any other parameters that would override a setting in the existing screen are not allowed and will cause an error.

→ Currency:

[USD], CAD, CHF, EUR, GBP, NOK, PLN, SEK, TRY

→ Trans Price:

[Open], Close, AvgHiLow

Price used in the transactions.

→ Universe:

ALLFUND, SP500, etc.

Specifies the Universe to be used in the operation. Specify the name of your custom universe or one of the Portfolio123 Universes

→ Benchmark:

[SPY], VTI, etc

Instrument that the performance is compared to.

→ PIT method: 

[Complete],  Prelim

“Prelim” includes preliminary data from earnings calls, while “Complete”  only includes quarter or annual report data.

→ Start Date:

YYYY-MM-DD

Defines the period used for the backtests.

→ End Date:

[today] 

→ Frequency:

[1Week], 4Weeks

Number of weeks that the start date of the screen is moved forward between periods.

→ Holding Period:

[182] Integer

Number of days the stocks are held for each period in the backtest.

→ Max Num Holdings: 

[0] 0 for all.

The maximum number of holdings.

→ Ranking:

see DataMiner Ranking Definition

→ Method:

[Long], Short, LongShort, Hedged

Specifies if your strategy is long, short, long & short or hedged.

→ Rules:

→→ -

Common rules that apply to both long and short positions.

→ Long Rules:

→→ -

Apply to long positions if the Method is LongShort or Hedged.

→ Short Rules:

→→ -

Apply to short positions if the Method is LongShort.

→ Hedge Rules:

→→ -

Apply if the Method is Hedged.

→ Max Pos Pct:

[0]-100. Use 0 for no maximum

Limits the allocation to each position. It does so in conjunction with the Max No Stocks/ETFs setting.

→ Slippage:

[0]-5 in percent

A cost added to each transaction to account for trading costs and price movements.

→ Long Weight:

0-[100]

Only required for Methods LongShort or Hedge.

→ Short Weight:

0-[100]

Only required for Methods LongShort or Hedge.

Iterations:

# Rules used for a set of backtests.

Each iteration contains overrides of the settings in the prior iteration.

→ -

→→ Name:

Iteration name.

→→ <key>:

Can alter any of the original key values during each iteration.