RuleTrader offers a large range of values, characteristics and attributes for a security. The values can form the basis of your calculations, while the values, characteristics and attributes can be tested in conditional expressions. These are drawn, or derived from, the data in the ShareScope database and are described below. To learn how to specify the security whose data will be provided, please refer to the Help topic Security Expressions & Terms.

A today and yesterday value is maintained by RuleTrader, for a number of these constructs. This is normally very useful because you can test how the value has changed, or whether it has crossed a threshold value. However, if these values are used in List Selectors then, during back-tests, this option will have no effect. This is because List Selectors are always executed at the beginning of the trading day, so only yesterday’s value is available.

A security’s volume, or price can be obtained using the following options. Price is available as any of: open, high, low, close, typical (i.e. HLC average), average (i.e. OHLC average), day’s (average specified in System Settings), highest high, lowest low, or highest / lowest day’s price. The options are:

• the current value
• a historical value N days ago
• a change in the value over N days
• a statistic based on the price or volume over a period:
  • total / average / media / highest / lowest
  • trend % growth / trend gradient / trend start / end value / variance vs trend / std. deviation vs trend
  • variance vs mean / std. deviation vs mean / correlation / covariance / volatility
• number of times price or volume had some value, over some period of days, where the available tests of that value are:
  • equal / not equal / greater than / greater than or equal / less than / less than or equal / between some values
  • is defined / not defined
  • is rising / flat / falling
  • has a % growth rate that is equal / greater than / greater than or equal / less than / less than or equal / between some values; or is computable / not computable

A security’s company result is available as:

• the current year’s value
• a historical value N years ago
• a forecast result N years hence (N = 1, 2, or 3). Please note that:
  • forecasts are not always available for the full 3 years
  • only ShareScope’s ‘headline’ results are available as forecasts i.e. profit, turnover, EPS, PE, PEG (forecast), PEG (trailing), dividend and dividend cover
  • historical forecasts are not stored in the ShareScope database, so in back-tests the actual results are used for the ‘forecast’ years. Depending on how accurate you consider analyst forecasts to be, this may bias your back-test results so you will receive a bias warning if you use forecast results in a Trading Spec that is back-tested. Obviously this is not an issue for Trading Specs used for Live trading, as only the actual forecasts are used
• a change in the value over N years
• a statistic (average / highest / median / lowest / total / trend gradient / trend growth %)
  • The trend statistics are extremely useful for determining if a result, which may have negative values (e.g. Profit), is trending up or down. This is because the ratio (i.e. growth rate) from one year to the next cannot easily be computed, as the numerator and denominator may or may not have different signs.
• number of times result had some value, over some period of years, where the available tests of that value are:
  • is positive / negative
  • equal / not equal / greater than / greater than or equal / less than / less than or equal / between some values
  • is defined / not defined
  • is rising / flat / falling
  • has a % growth rate that is equal / greater / greater or equal / lesser / lesser or equal / between some threshold(s); or is computable / not computable

A security’s attributes include:

• Exchange Market Size (EMS) quantity, EMS value (£)
• number of shares
• spread, where the value returned depends on when it is requested. If it is requested:
  • in live sessions during today’s market hours then the current bid-offer spread is returned
  • today outside market hours then the simple average over N days (where N is defined in Trading Costs) of the daily time-weighted average bid-offer spread is returned
  • for a day in the past then the average of 3 separate spread estimators and the time-weighted average is returned
• spread (average), being the simple average over N days (where N is defined in Trading Costs) of the daily time-weighted average bid-offer spread
• price / results currency
• stock exchange / trading platform / listing type / share type / market index
• industry / super-sector / sector / sub-sector
• is / is not tradable
• is / is not backfilled
• security’s identity i.e. is the security a particular named security
• security’s list status i.e. was (reinstated in / selected for / not selected for) (any / a strategy group’s) trading list

The security’s position values, totalled for all currently open positions in the security, are:

• total quantity / cost / value / gain/loss / dividends
• total buy-charges / projected sell charges
• number of buys / sells
• pooled % return / % return (high price) / % return (low price)
• peak price / peak value / peak gain / peak % return / number of days since peak was reached
• pooled charge/share / price/share (ex-charges) / price/share (inc-charges)
• last assigned category / risk-level

The security’s values for the oldest open buy / most recent open buy / or the most recent buy / sell trade:

• number of trading days since the trade
• charges / quantity traded / risk-level
• price (inc charges) / price (ex charges)
• cost (inc charges) / cost (ex charges)
• signal type / category label for the trade
• trading-strategy / rule-name that triggered the trade

The values associated with the current trading-signal (if any) for the security are:

• target price
• risk-level
• trade quantity (all accounts / selected account)
• has / has not been issued
• signal-type / category label of the trading-signal
• trading-strategy / rule-name that raised the signal

Available AutoTrend data for the security’s micro / short / medium / long price-channels, is as follows. Please refer to the AutoTrend Price-Channels help topic for an explanation of some  of these concepts and to Channel Styles Settings for information on how Named Bands, TSD Bands and price-swing lines can be displayed on the Historical Chart:

• % growth per day / month / year, of the current / previous  channel, as of today / yesterday
• gradient per day / month / year, of the current / previous  channel, as of today / yesterday
• age since trend start / end of previous channel, of the current / previous channel, as of today / yesterday
• standard deviation vs. trend of the current / previous channel, as of today / yesterday
• position of the security’s price in the channel expressed as either the:
  • index / name of the named band containing the price, as of today / yesterday
  • index of the TSD (Tenth Std. Deviation) band containing the price, as of today / yesterday
  • number of std. deviations from the channel’s trend line to the price, as of today / yesterday
• security’s price at a position in the channel given by either the:
  • number of std. deviations from the channel’s trend line, as of today / yesterday
  • upper / lower edge of a named band
  • upper / lower edge of a TSD (Tenth Std. Deviation) band
  • start / middle / end of the channel’s trend-line, as of today / yesterday
• channel’s price-swing values:
  • number of price-swings in the channel
  • high / low turning-point’s price / price projected to today, for the last / penultimate / indexed (counting forwards / backwards) turning-point
  • price-swing’s % growth rate / gradient of the  last / penultimate / indexed (counting forwards / backwards) upwards / downwards price-swing
• channel trend-direction is rising / flat / falling, as of today / yesterday
• channel swing-direction is swinging up / unchanged / swinging down, as of today / yesterday
• channel’s life-cycle state is Breaking Out / Retracing / Evolving / Established, as of today / yesterday. Please note that this function is still considered to be experimental
• channel is / is not just starting
• channel is / is not starting to break
• channel is / is not an up break from the previous channel

Returns the numeric / percentage / text value opposite the security in Note column X in the ShareScope Share List window. For example, if X = 6 and the selected security is ‘Frontier IP Group PLC’ then this will return 22%

Returns the index position of the selected security in a Security List that has been sorted according to some expression. Returns ‘not defined’ if the security is not in the list.

A security’s values can be compared with other values in the following ways:

• equal / not equal / greater than / greater than or equal / less than / less than or equal / between some values
• ranked vs other shares – tests if the security is in some rank (i.e. set) of shares drawn from a Security List sorted by some expression. The size of the rank can be specified based on the number of shares, a percentage of the list size, or a decile (1/10), quintile (1/5), or quartile (1/4) of the lists. The position of the rank in the list can be the top, middle or bottom rank, or the rank at some index position
• is defined / not defined

In addition, the change in a security’s value, over some period, can also be tested with the following criteria:

• is up / unchanged / down
• has a % growth rate that is equal / greater / greater or equal / lesser / lesser or equal / between some threshold(s); or is computable / not computable
• has a % growth rate relative to an index or benchmark – compares the security’s growth rate to that of a market or sector index, or a benchmark over the same period. The comparison benchmark can be the average, median, highest or lowest growth rate for every share in a Security List. The comparisons can be that the security has grown:
  • more than the comparative value
  • less than the comparative value
  • some percentage more than the comparative value
  • at about the same rate as the comparative value (i.e. within some % bounds of the value)
  • some percentage less than the comparative value
• has a % growth rate ranked vs other shares – tests if the security’s value’s growth rate is in some rank (i.e. set) of shares drawn from a Security List sorted by growth rate. The size of the rank can be specified based on the number of shares, a percentage of the list size, or a decile (1/10), quintile (1/5), or quartile (1/4) of the lists. The position of the rank in the list can be the top, middle or bottom rank, or the rank at some index position