Written by Liam Flavelle on 1 November 2018
- We've implemented ETF and Fund data on our platform.
- InvestorsEdge now covers 129,881 securities globally.
- We'll show you a very simple ETF strategy that has beaten the S&P 500 over the last 12 years.
- In additional we've added a couple of features to give you more control over how and when positions are closed.
- We've also added a function to track the volatility of a security's closing prices.
ETFs and Funds
We've been working hard behind the scenes to bring you one of the most requested items from the list of enhancements and features that you have asked for - ETFs and Funds.
As you can see from the above picture of the new Universe screen, we've added a selection type option that can be set to Calculated or Specific Securities.
- Calculated is the setting we've all been using up until now, and allows you to enter screening criteria to select a list of candidate securities.
- Specific Securities allows you to select a specific list of securities that the system will consider in the ranking process:
You can see from the above strategy that we have selected the SPY (S&P 500 ETF), VWO (an emerging markets ETF) and SHY (a bond ETF) that our system will rank.
You can very simply add ETFs by starting to type a name or ticker into the input box and the system will show you the best matching securities that we have on record. SImply use the arrow keys to move up and down the list and press Enter to select (or use the mouse).
As a demonstration we've put together a simple strategy that rotates between the SPY, VWO and SHY ETFs. Once a month the system ranks these three securities on their relative strength over the last 65 and 20 days together with their volatility and the ETF with the highest growth and lowest volatility is selected to be held for the next month. Here are the results:
As you can see, the strategy would have returned 10.8% gains each year compared to 6% from the S&P 500 benchmark. The real star of the show however is the low volatility - not only does our strategy outperform the index but its maximum drawdown over the period was 17% compared to the S&P 500's 57%.
So there we have it - the new ETF and Fund data has increased the number of global securities we cover to 130,000 (including stocks that haven't survived) and introduced 12,000 ETFs, 2,000 CEFs and 28,000 Mutuals to our universe and has opened up a new way of designing strategies.
Another frequently asked for request is for more granular control over how positions are closed, so we've added a couple of fields into the strategy designer that we hope will meet your needs. First up is a simple control to automatically drop stocks that fall out of your universe.
Now when you select No for Close all positions automatically at rebalance you also get to select what happens to positions that are currently held but have dropped out of the universe this time around. Selecting Yes will close those positions automatically for you, whilst choosing No will allow you to control the position through the strategy's Entry and Exit Rules.
Speaking of which, we have also added another section to the Entry & Exit Rule page:
Close rules are also visible when Close all positions automatically at rebalance is set to No. You can see that we have now have access to two sets of Close position when formulae selections.
- Close position when any of the following criteria are met at ANY time will check each day and close your position if any of the formulae are true. In the above example the position will be sold if at any time its price drops below the 20 day moving average.
- Additionally to the above rules, close a position when any of the following criteria are met at REBALANCE provides an extra set of rules to be checked at rebalance - these are in addition to the daily checks, so in our example at rebalance the position will be sold if the price is below its moving average or its Rank drops below 60..
Lastly, we have implemented a new Volatility function, which returns the annualised standard deviation of a security's daily % returns.
The way this works is that when we enter the formula as Volatility(20) the platform will fetch the last 21 days of closing prices and calculate a security's percentage daily change in price. It then works out the standard deviation of this series of numbers and annualizes it to give us a % volatility figure.
That's it for this roundup - we're now working on a Ranking Analysis graph that will give you a much better idea of the strengths and weaknesses of your strategy, and a security information screen that will allow you to access the wealth of data we hold on our securities
Happy strategy designing!
The InvestorsEdge Team