Diagnosing Missing Trades in a Rolling Ten-Year PE-Rank Strategy

Summary

The post outlines an intended Chinese equity strategy that buys stocks when their price-to-earnings ratio ranks near the low end of its rolling history and sells when it reaches the high end, while restricting the universe to companies above a large market-cap threshold. The accompanying code attempts to retrieve fundamentals, filter by market capitalization, calculate rolling per-stock PE ranks, create signals, and pass them to a daily backtest engine. The author reports that the run completes without an error but shows no stock trades or signals.

The post mainly provides debugging instrumentation: checks for empty data, missing fields, merge results, market-cap filtering, and PE-rank output. It does not include a response or establish the actual cause. The code itself contains a potentially inconsistent market-cap threshold comment and value, and the data, units, date alignment, and signal handling would need validation. No performance results are reported, so the proposed strategy remains unverified.

Key ideas

• The proposed strategy uses low and high rolling PE ranks as buy and sell conditions.
• The stock universe is further restricted by a market-cap threshold.
• The code checks data retrieval, field availability, filtering, ranking, and signal generation before backtesting.
• The author reports no trades despite the backtest running without an error.
• The document does not identify the cause or provide performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.