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From Richard at Norgate. I asked him if its possible to set up a watchlist of stocks that have a market cap of 400M or more.
Richard Dale (Norgate Data)Nov 15, 2022, 19:07 GMT+11Hi Kate,
PURE is the old name for the CSE. CSE originally started as an alternative trading venue for TSX-listed stocks but has grown to become a place of listing too.
There’s two things at play here.
The first is that you want to generate orders for stocks that are not listed on CSE. You could do this by creating a dynamic watchlist in the Watchlist library that excludes CSE. You might to consider excluding TSX-V NEX, NEO and possibly TSX-V, at the same time too. Alternatively, just amend your rule in AmiBroker to exclude those exchange(s) in your trading signal (e.g. AND MarketID() != 26 AND MarketID() != 27 AND MarketID() != 28)
For specifically filtering on the current (not historical) MarketCap you could also include that in your rules too. More details about how to access it here:
https://norgatedata.com/amibroker-usage.php#fundamentals
eg.Code:mktcap = NorgateFundamentals(“mktcap”);
The second is that you are trying to backtest on non-CSE listed securities (including those that have been delisted) or a marketcap-specific range. Norgate Data doesn’t have that capability, but we are checking the feasibility of having the capability of determining the listing venue for each date (at least back until the big exchange restructure in 1999).
Regarding CSE and NEO – they are relatively new listing venues and not necessarily just microcap companies. NEO is well-known for its CDRs and ETFs. CSE is known mostly for microcap and other “interesting” ventures, but there are a few current listings with more than CAD 400M market cap:
The good news is that since these exchanges are relatively young there’s not a lot of switching of listing from one exchange to another. It does happen but it should be relatively rare enough that it’s of no issue.
On TSX-V there’s only about 24 with a market cap above CAD 400M:
TSX-V is a little harder as companies have “graduated” to TSX in the past and also been demoted.
If you wish to trade the microcaps you’ll need to have a chat with your broker about exactly what restrictions they have in place and if there’s any mechanism to remove that restriction. I’d certainly be interesting about hearing what they have to say as it might also guide us on future developments.
Best regards,Richard Dale, B.Sc. (Hons) Comp Sci
Norgate DataI run the same rules for each universe.
The only thing I might change is the stretch e.g slightly higher stretch for the R2000 vs R1000.
Did the same exercise as you a while back and like you found that a new ranking improved the drawdown on one of the systems. Decided not to go ahead with it as further testing disproved the theory.
You’ve got to figure out what risk/reward you are willing to accept … and as long as its a robust system …
