The Ranking section of a strategy defines how the platform orders the Universe of stocks at each rebalance. Ranking your securities enables you to sort your universe so that stocks most likely to outperform appear at the top of the list.
You may enter as many rows as required to define the ranking order of your securities - in the example above 9 data elements will be used to order the data, each with an equal weight of 10% except for PriceToFreeCashFlow>/span> which has a weight of 20%.
At each rebalance date the ranking engine creates a list of securities and populates it with the data specified in your ranking elements as of that date. Each column of this list is then sorted individually in the order you specify and given a rank from 100 to 0, with 100 being the top rank and 0 being the worst.
After the ranking element weight has been applied to each ranking score (in the above example the weight is 10 or 20% for each element) the scores are added together and ranked from 100 to 0 one final time. This leaves a ranked universe list with your top security scoring 100.
For each element you may specify the following:
- Weight - the platform dynamically calculates the % weight for each column based on its percentage of the total sum of weights entered for each element. In the above example 100 has been entered for each element, so each column has a 25% weight.
- Ranking Formula - The AtlasScript formula for calculating the figure to be used when ranking. This can be a mathematical equation, such as MarketCap / OperatingIncome(Q) or a simple field, i.e. CurrentPriceToCashflow(Q). Please see the AtlasScript help section for further information on using AtlasScript.
- Sort Method - The sort method defines in what groups the securities are sorted:
- Universe - the securities are sorted in 1 group and ranked from 100 to 0.
- Sector - the securities are grouped by their sector and each sector list ranked from 100 to 0.
- Industry - as with the sector ranking, this option groups the securities into their industries before ranking them.
- Sort Order - The order the calculations will be sorted in. A descending order (arrow_downward) will give the top rank to the highest number whilst an ascending order (arrow_upward) gives the top rank to the smallest number.
- Enabled - A ranking element which is Enabled (check_circle) is included in the ranking process. Disabled (remove_circle_outline) elements are shown but ignored.
- Delete - each row of the ranking definition may be deleted by pressing the delete_forever button and confirming.
New rows may be added by clicking on the Click to add new row... button.