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Investment Strategies / Mechanical Investing❤
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Author: TGMark 🐝  😊 😞
Number: of 3957 
Subject: Re: GTR1 Help
Date: 12/04/2024 8:56 PM
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No. of Recommendations: 5
FINwithRE: pref(if(trbc2.s=55!60,1,0),if(sector.s=7,1,if(incd.s=933,1,0)))

The previous (before SiPro's change in October) trbc2 codes for financial and real estate companies are 55 and 60. https://en.wikipedia.org/wiki/The_Refinitiv_Busine...
The respective GICS codes are 40 and 60, and oddly the real estate company code did not change. https://en.wikipedia.org/wiki/Global_Industry_Clas...
So the standard filter above can be replaced by:

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

for the purposes of generating current picks. However the backtest will not be correct due to this change.
Backtests can be run with the old codes ending 20241001 and then they should be consistent with prior results.


Mark
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