The system’s Trading Universe is defined using the Trading Universe tab on the Trading Specification Definition Dialog, as shown below.

The filters are used to reduce the number of shares that RuleTrader has to deal with and so shorten the time it takes to run back-tests. They are defined to:

• Select ordinary shares listed on the LSE and denominated in sterling
• Exclude shares that do not have a market sector specified (this is only a small number)
• Exclude Closed, Open and Miscellaneous investment vehicles, Asset Managers and all Investment Trusts
• Exclude Banks, whose financial reporting methodology is substantially different from other shares and requires specialist expertise
• Exclude Aluminium, Copper, Iron, Steel, Nonferrous metals, General Mining, Oil, Gas and Coal because these are all commodities best handled with a specialist strategy

After applying the filters a little over 900 shares are left in the trading universe. This is then used as the source for each strategy’s trading lists.