Want to exclude ETFs

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Want to exclude ETFs

Postby EricSimpson1 » Mon Jun 24, 2013 8:57 pm

Hi I just started using Stratasearch and I imported data from Yahoo Finance. Unfortunately it counts ETF's like TVIX, EUO, etc. as stocks so they show up in my backtest results. How do I exclude these symbols so I am only testing actual stocks?
EricSimpson1
 
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Re: Want to exclude ETFs

Postby Overload » Tue Jun 25, 2013 8:26 am

It's possible to create a new sector that excludes ETFs. Here's how you can do that.

1) Enter the Setups > Exchange Setups menu, and make a note of the Exch ID for the Exchange named ETF. On my installation it is 3.

2) Next, enter the Display > Screener menu, and click the New button at the top. Then change the Sector to [All Securities], and enter the following formula into the Selection field (using your own ETF Exchange ID if yours is not 3):

exchid() <> 3

3) Click Calculate, and let the Screener create a list of all the symbols in those exchanges.

4) When the screening is complete, click the Save... button in the top-right, and save the symbols to a new sector named "All Stocks".

5) Before running any strategies against "All Stocks", you'll first need to run the File > Rebuild Sector Indexes menu to rebuild the sector indexes.

When the above is complete, you can then use "All Stocks" as your sector, and it will use only the equity symbols.

Hope this helps.

Pete
Overload
 
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