Hi! I am having trouble to convert a diversified low turnover microcap strategy into a R2G. I am receiving the message "-The bottom 20% liquidity must average at least $150,000". Instead of trying to optimize my system that it will be above the Smart Alpha minimum liquidity threshold, why don't you guys give us or even force us to use a special function which needs to be embedded for Smart Alpha models?

I know the Rule exists to limit too much micro cap exposure (MicroWeight < 75) but it is not necessarily the same as liquidity

Why does not something similiar exist that every new R2G need to have embedded as a buy and sell rule?

Buy rule: MinLiquidityWeight(150000) < 20
Sell rule: MinLiquidityWeight(150000) > 20

This way, a bottom 20% liquidity threshold is always in place.
Results: Total score: 9, # of Votes: 3, Average: 3.0
You will be able to view details once you have voted.
Requested by: whotookmynickname
On date: 09/30/16
Category: Portfolio

0 comments