Posts: 59
Joined: 12/9/2021
User Profile I want to see what the list was at that point in time to be able to backetest a strategy on a list.
Just to pick one I chose CurrentRatio>=1.5. It is part of the value stocks list.
I open the criteria rule library and make a fundamental rule.
Then I go to strategies and open a strategy, go to filters and pick library. Here I can see that only technical rules are shown...
The plan was to use All Bars Long System and then filter it through the fundamentals from a list, so I would get the lists candidates at that point in time.
Only option for fundamentals I have is building a technical rule and accessing the very limited fundamentals library in OmniScript. And the only fundamentals in the Omniscript library that are part of the Value Stocks fundamentals definition are CurrentRatio and Debt/Equity.
The picture shows how we could test the CT system on Value Stocks as the list would have looked at that day.
Another example of filtering fundamental values.
Backtesting the Trading Band Crossover on the SP500 on stocks that had a PERatio<10 at that time.
Attached file : Criteria test2.png (41KB - 171 downloads) Attached file : PE filtering2.png (27KB - 162 downloads)