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Investment Strategies / Mechanical Investing❤
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Author: TGMark 🐝  😊 😞
Number: of 3957 
Subject: Re: GTR1 Help
Date: 12/05/2024 10:19 PM
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All of my screens have these filters: no financial/real estate, security type only 11 or 12, and no China stocks.

FINwithRE: pref(if(trbc2.s=40!60,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

FINwithRE = 0
styp.a = 11!12
country.s != 3!7

I backtested all of my screens using fincd12.a != 11 instead of the FINwithRE definition above.
The backtest results were arguably the same, perhaps a little better for most screens using fincd12.a.
Using fincd12.a would avoid this recent SiPro change in backtest anyway, and it gives a bit simpler code.
However Robbie has pointed out in the past that the fama french codes are somewhat arbitrary due to inconsistencies in how SIC codes are assigned.


Mark
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