Dropped-symbols-By-Symbol-Visualizer

What's the problem exactly?

I want to take the entire S&P 500 listings, append a number of critical indicators, and, export the result to excel - for reasons i cannot trace, the output list is missing 23 of the original input symbols.

Can you be precisely clear about what you're doing, step by step? What is that "output list"?

Step 1: Strategy settings:
Select S&P 500 from the WealthData directory as the Backtest Dataset
Step 2 Run Backtest: 501 symbols are loaded
Step 3 Select the "By Symbol" listing from Backtest results
Step 4 Copy the By Symbol listing to the Clipboard this listing contains only 484 symbols
Step 5 Paste the By Symbol file into a new Excel sheet
Step7 Compare the By Symbol listing against the list of S&P500 symbols to identify the missing (dropped) symbols

Note my origional thought was that NaN symbols were being dropped -- this is not the case

"The By Symbol visualizer breaks down a subset of performance statistics for each Symbol traded during the backtest."

In other words, If there are no trades for a symbol, it won't be listed in this visualizer.

Clearly all symbols traded at least once in the referenced BackTest - Other than performing an offline analysis can you point me a location/list to where can I identify the non-traded symbols and the reason for these??

It's really not so clear to us, we have no idea what your strategy does!

You can view the Positions tab under Backtest, then click the Symbol column to sort by symbols to see if the missing symbols really did trade.

So not all symbols have traded at least once.

Glitch and Eugene,
Thank you both for your input and attention. This approach is an attempt to reinstate some of the functionality available when WL PRO was integrated with Fidelity (ATP). I have a considerable and long-term investment in Fidelity both financial and intellectual. As I have in WL. I monitor daily, a large population of equities as both existing and potential trade candidates.
The signal, indicator, and position listings and values generated by WL are exported to Excel and used as a basis of comparison against the position and watchlist listings produced by ATP. The issues and opportunities raised by comparative analysis play a major role in making detailed trading decisions. As your listing of results omits non-traded objects (which change on each run) their identity and metric values are lost, as is the possibility to meet comparison requirements.
Hope this helps.
T

Hello terencei.

If the position sizing is not the relevant part but some stats like winning rate, number of entries and so on, you can try it the following way and make the NSF positions visible.

1. use fixed size for Position sizing. (e.g. 5000)
2. set a huge starting capital (e.g. 5000 per symbol x 500 symbols, at least 2.500.000. Some more because of loosing tradings when doing the backtest, so 5000000)
3.run the strategy.

Exporting via "by symbol" will also give you some information about indicators for example. (I had an analysis this way for the AverageVolume of the last 200 days for example). To check if all possible trades have been made, check the metrics. NSF positions need to be zero although you have enabled it before. All positions shoud be listed in the position tab. Maybe this already helps.

To make a comparison using the full functionality of the symbols, including position sizing for example, you can vote for https://www.wealth-lab.com/Discussion/Symbol-Rankings-tool-9116

If you tell us what you're comparing (it must be something other than zeroes from non-traded symbols) we can show you a different way to get an export of all the symbols.

Hi MIH I used all those workarounds but sadly they did not resolve the issue.

High Cone

Here is a recent example
Backtest listing (By Symbol) dropped
NVR, PGR, VFC all of which I was holding in ATP - Not in the list imported from WL8 - no basis of comparison.

It's pretty much expected if the WL strategy haven't traded the symbols due to a data loading period set too short, for example.