Why does the number of positions (and leverage) creep up for this algorithm?

Feb 22, 2015

Hi Rudiger,

I'm still looking into it, but at first glance, it looks like you may be accumulating delisted securities that you can't your positions from. I tried adding in this:

for stock in context.chosen_stocks:  
        if (stock.end_date - get_datetime()).days < 365:  
            continue  
        if stock in data:

to your def rebalance() and that seemed to have helped!

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Feb 22, 2015

Hi Seong,

Thanks so much for looking into it. I'm guessing that I can't include your new if statement, because that would introduce a significant lookahead bias. Is there a way for me to remove delisted stocks from my portfolio after they have been delisted.

Also, does delisted imply that the shares held are worthless? In that case I guess I could just not worry about them. But, I should probably keep the counts of the listed and delisted stocks separate.

Feb 23, 2015

Hi Rudiger,

When the stock is delisted, it simply remains at the last trading price you've seen it at. So I would recommend trying to get rid of it by using some sort of heuristic as shown above but lower the number of days from 365 to 10ish or something similar. This might provide to be a better solution simply because you'd be holding unexitable positions in your portfolio that take up unnecessary cash.

Seong

Disclaimer

Hi Seong,

I added a few lines to handle_data, which sell off stocks that will be delisted within two days (I figure in real life we'd get warnings about companies that are about to be delisted). It seemed to work at first, but later I run into the same problem that I had before. The number of positions goes up to 55. Am I missing something else?

Actually, nevermind. When I increase the time to 10 days, it works. The 2 day notice didn't work due to weekends.

Hi Rudiger,

Yeah, we're looking into ways on how we can better account for delisted securities. But I think for now, the solution that you're using might be the best available. Did you need help with anything else?

Seong

Disclaimer

Thanks so much for all the help Seong!

There is one other thing I noticed while playing with this algorithm. I tried switching out roa for roa5_yr_avg, but it seems like the value was None for all securities over all time. Is this field never filled?