DataMiner Operation Screen Run

Run an existing screen or a screen that is defined DataMiner.

Written by Marco SalernoLast update 6 months ago

Overview

Screens allow you to filter a universe of stocks or ETFs based on the rules you provide. The ScreenRun operation in DataMiner has all the same capabilities as the screener on the website including the option of incorporating a ranking system into the screen and running screens that are either long, long/short or hedged.

Input Specification

Default values if not specified are in [brackets]. Any parameter which has a default value is optional and can be omitted. The input script is in YAML syntax. The learn the basics see DataMiner YAML Syntax

Key	Value	Description
Main:	# Section with main settings
→ Operation:	ScreenRun
→ 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
→ 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
→ 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.
→ As Of Date:	YYYY-MM-DD	Defaults to today's date
→ End Date:	[today]	Sets the date for the ‘End’ price which is included in the output.
→ Max Num Holdings:	[0] 0 for all.	The maximum number of stocks to return.
→ Ranking:	see DataMiner Ranking Definition
→ Method:	[Long], Short, LongShort, 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.

Sample Input

Main:
    Operation: ScreenRun
    On Error:  Stop
    Precision: 2

Default Settings:
    Vendor: Factset
    PIT Method: Prelim
    Type: Stock
    As of Date: 2021-01-09
    End Date: 2021-01-09
    Ranking: "Core: Momentum"
    Max Num Holdings: 5
    Benchmark: XLK #Tech
    Universe:
        Rules:
            - Sector = TECH
            - AvgDailyTot(30) > 1000000
            - "!Universe($ADR)"  #No ADRs
        Starting Universe: ALLFUND
    Method: LongShort
    Rules: #Common rules 
        - Pr52W%Chg != NA  #Has a year of price history
    Long Rules:
        - FRank("Pr2SalesTTM",#Industry,#Asc) > 50
    Short Rules:
        - FRank("Pr2SalesTTM",#Industry,#Asc) < 50

Sample Output

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