The Universe section of a strategy defines which stocks are to be considered at each rebalance date.
This section allows you to quickly select the most common options used and also gives you a free form area where you can enter specific AtlasScript formulae that control inclusion into the universe of stocks.
Include Security Types defines the type of securities to be included in the universe, and should be one or more of the following:
- Shares - Common Shares.
- Depository Receipts - Securities issued by a bank to represent a foreign company's publicly traded securities.
- Preference Equities - A security that has equity characteristics (i.e., ownership at liquidation, share in the profits in the company) rather than fixed redemption and trades as a common equity.
- Units - An equity that consists of more than one equity instrument (i.e., security consisting of class A and B; 1 share and 1 warrant).
- OTC Securities - Over The Counter securities that trade via a dealer network as opposed to a centralized exchange.
Specific Countries / Regions allows you to specify specific countries or regions for inclusion in the universe. Selecting a value other than All will display a multi-selection list which you can use to decide which items you wish to include.
Specific Sectors / Industries allows you to specify specific sectors or industries for inclusion in the universe. Selecting a value other than All will display a multi-selection list which you can use to decide which items you wish to include.
Market Cap allows you to specify a minimum and / or maximum size of security, in the strategy's base currency, that you wish to include in the universe. Leave a field blank to have the backtester ignore it at each rebalance. Values are in millions of currency units.
Close allows you to specify a minimum and / or maximum closing price range that a security's price, in the strategy's base currency, must be within to be included in the universe. Leave a field blank to have the backtester ignore it at each rebalance.
Volume Value allows you to specify a minimum and / or maximum volume value (volume of shares traded * closing price of security in the strategy's base currency) range that a security must be within to be included the universe. This requirement means a security will only be included in the universe if it's average volume value of the past Pds periods is greater than the specified Min value (in '000s of currency units).
Any other criteria may be included in the Includes securities that meet the following criteria section. This section allows a series of AtlasScript formulae to be entered. A security must match all these criteria (as well as any of the above that are set) to be included in the universe at rebalance.
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