WealthSignals Symbol List
Author: Cone
Creation Date: 2/11/2013 8:30 AM
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Cone

#1
In the footer there's a convenient link to the List of Symbols that are valid for WealthSignals trading. We've started with liquid large cap stocks and the list is derived from the union of the constituents in the S&P 500 and Nasdaq 100, which obviously includes the symbols in other popular DataSets like the S&P 100, Dow 30, and Wealth-Lab 100.

Today, STRZA replaced LMCA in the Nasdaq 100 (and in the WealthSignals List of Symbols). Therefore it's no longer possible to create new WS Positions for LMCA. However, if a system were already holding a position in LMCA, exiting that position would still be supported.
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ell7123

#2
Did you mean "ABV" or did you really mean "ABBV"?
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Eugene

#3
We indeed mean ABBV, member of S&P 500.

For your reference:

List of S&P 500 companies
NASDAQ 100
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DartboardTrader

#4
Please add some of the larger, liquid index/commodity ETFs, so diversified strategies may be used. e.g. SPY, QQQ, IWM, TLT, EEM, HYG, LQD, JNK, BND, GLD, DBC would be a good start.
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Cone

#5
Thanks for the suggestion. We'll review these and other ETFs and try to get them added to the symbol lists as soon as we can.
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Cone

#6
Here's what we're discussing as a policy for adding ETFs.

WealthSignals Policy (tentative) for adding ETFs to the Symbol List:

Wealth-Lab Developer/Pro customers can request ETFs be added to the WealthSignals symbol list provided that the instrument:

1. has an average 5-day volume is consistently above 500,000 shares for the last 6 months, and,
2. has a data history starting from at least September 2007,
3. is not a leveraged ETF (e.g., FAS, FAZ, UVXY, etc.). (Provide link to ETF informational web page.)

We could start by adding the following symbols:

Index Funds:
DIA, QQQ, SPY, IWM

Sectors:
XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

Bonds:
BND, LQD, TLT, HYG

Commodity:
DBC, GLD

Emerging Markets:
EEM, EWH, EWJ, EWT, EWZ

Feel free to let us know what you think.
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DartboardTrader

#7
Some of the newer leveraged 2x and alternative products are interesting for hedging risk. Please consider adding the volatility ETFs VXX, XIV, UVXY. Thanks!
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absret111

#8
Please could you add the symbol MDY (SPDR S&P MidCap 400)
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Cone

#9
Recent updates to the S&P 100 and Nasdaq 100 have prompted the following changes to the WealthSignals Symbol List:

Added:
ADS MHK DISH TSCO ILMN NXPI

Removed:
SHLD NUAN ANF JDSU

Until we get a better solution on the site for this, I've attached a spreadsheet with a complete history of changes to the WealthSignals Symbol List.
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BigReturns

#10
Hi Cone,

Thanks for keeping us posted on the updates. To be honest, I I just learned stocks were limited on wealth-signals. My most recent strategy, DoubleStrike, is based on the MSN Top 50 Finance stocks. I was trying to publish signals but its throwing an error indicating the stock symbols are not supported which is how I found this.

So why is there a limitation on stocks you can use? There are plenty of stocks that meet your defined criteria. One would think you could go get this data dynamically just like wealth-lab does.

My train of thought is that anyone can use a select set of stocks to manipulate returns. This is why I try to use 3rd party defined lists. If we only have a few 3rd party lists to use, it seems like we're potentially threatening the wealth-signal ecosystem. Again, I'm not too sure why the limitation actually exists - for business reasons or just a technical limitations at this time.

Thanks for listening.
-D
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Cone

#11
Hi BigReturns and thanks for posting your system. There is capacity to add symbols, but we've preferred to use stocks with more liquidity with the idea that it's more likely for out-of-sample trade "fills" to be in line with live trade results. With lower liquidity comes larger spreads, and hence a bigger chance for negative slippage to affect live trading.

Nonetheless, we're discussing this now and hope to offer a solution for you (and others).

QUOTE:
anyone can use a select set of stocks to manipulate returns
I think and would hope that manipulating returns in an out-of-sample test like WealthSignals is impossible, regardless of the list. Besides, a union of the over 630 highly liquid stocks and ETFs representing all sectors of the market is hardly a manipulated list of symbols.
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Eugene

#12
QUOTE:
My train of thought is that anyone can use a select set of stocks to manipulate returns. This is why I try to use 3rd party defined lists.

Which is especially easy to do when the list:

1. has only 50 stocks (vs. 630)
2. contains mostly positively correlated stocks by virtue of industry presence (finance) -- incomparable to a diversified list like the WS is
3. is based on a proprietary ranking called StockScouter whose rules are probably not disclosed [EDIT: StockScouter has been discontinued by MSN since late 2014]
4. has many illiquid stocks (trading just single thousands of shares a day)
5. is not "defined" but rotates every day (presumably) when StockScouter gets updated (whereas the system is tied to the list on certain date)

This was my train of thought.
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BigReturns

#13
Cone & Eugene, your thoughts are very fair.

Your right, out of sample results should resolve the manipulation and should identify.

I agree, we should only instruments with large volumes to avoid slippage in live trading.

My train of thought as to who creates the instrument list and their rules for creating them is I don't really care as long as they meet the minimum volume liquidity requirements. In my case, I was just trying to pick vertical niches to create additional options for my potential customers.

Balanced stock portfolio could be an option too in my case. However, I think we need to be careful thinking the NASDAQ 100 or DOW 30 or S&P 100 is balanced. For example, I'm pretty sure the NASDAQ 100 doesn't contain any financial companies and I doubt the selection criteria for adding or removing a stock to any of the main lists are based on business sectors. I think the primary criteria is some sort of "value" and performance but I could be wrong.

Anyways, thanks for entertaining my thoughts and I'll look forward to seeing how updates on this. Now I'm off to redo my DoubleStrike straty using stocks that are currently available.... :)
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seannieboy71

#14
Cone, in your 2/27/2013 post on ETFs you discussed three rules for choosing which ETFs to include in the available symbols for WealthSignals systems.

It appears that rules 2 and 3 no longer apply as FAS, FAZ and UVXY are now listed in the symbols list and XIV, which started operating in 2010 is in the list. If the only remaining requirement is for the 5 day volume to consistently be above 500,000 for the last 6 months, please consider adding the following ETFs.

EDC, ERX, SVXY, TQQQ, TVIX, UCO and UGAZ.

thanks.
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Cone

#15
Our policy is not to impede authors who want to publish systems in the TSSN, although for now we'll stick to the liquid stocks and ETFs. If you make your strategy public, we can add these symbols. Make sure to include in the system description that backtest history is limited for many of the symbols traded.
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seannieboy71

#16
Thanks for the response. Once I have my system created on wealth systems as a public sandbox, how do I request that the symbols get added?
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Cone

#17
Just give us a heads-up right here.
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seannieboy71

#18
Please add the following ETFs. I have posted a public wealth signals system that uses them. These are leveraged etfs. The criteria that I used to select them is that the 21 day SMA of price * volume is greater than $1 million.

Here are the ETFs.
BDCL, BIB, BOIL, CURE, DDM, DGLD, DGP, DIG, DRN, EDC, EET, ERX, GASL, INDL, JNUG, MIDU, MLPL, MORL, MVV, ROM, SOXL, SVXY, TECL, TMF, TQQQ, TVIX, UCO, UDOW, UGAZ, UGL, UGLD, UMDD, URE, URTY, USLV, UWM, UYG, UYM, XPP, YINN

Thanks
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Eugene

#19
JNUG's history is way too short (108 bars).
Half of the other symbols do not have enough liquidity.
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seannieboy71

#20
Will you add the half that have enough liquidity? If so, please let me know which ones you added.

thanks
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Eugene

#21
Only 8 symbols are in accordance with rule #2 (a data history since at least September 2007): DDM DIG MVV ROM URE UWM UYG UYM. Only one of them (UWM) fits rule #1 ("Volume SMA(5) consistently above 500,000 shares for the last 6 months"), though. DDM - once very liquid - now is only close. I leave the decision up to Cone.
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seannieboy71

#22
As noted in post #14 in this thread, there are several ETFs in the current Wealth Signals symbol list that do not meet rule #2 and rule #3. So I assumed that those rules weren't really valid anymore.

In post #18, I was suggesting a new liquidity criteria for ETFs. Because blocks of ETFs can be created by the market makers for the ETFs when there is a demand that exceeds supply, the laws of supply and demand don't work the same for ETFs as they do for other equities. For the case of ETFs, the requirement to be consistently above 500,000 shares for the last 6 months is overly restrictive. Note that AGQ, DVY, IBB, SDY and TIP are on the Wealth Signals symbol list but do not meet the 500,000 share criteria.

The measureI am suggesting for ETFs is a 21 day moving average of volume multiplied by price. This is a measure of the total amount of capital that is being traded on the particular ETF. The criteria for this measure should be determined by MS123, but for starters I am suggesting a criteria of $1 million.

In the case that the five day SMA greater than 500,000 remains the criteria, the following symbols from the list above meet the criteria. EDC, SVXY, TQQQ, TVIX, UCO, UGAZ.

I created a strategy that calculates the 5 day sma and compares it to the 500,000 criteria. It counts the number of times that the 5 day sma of volume is less than 500,000 over the last six months. I am not certain what method is being used to calculate the SMA(5) of UWM because it does not meet the criteria. The volume for UWM over the last 5 days is as follows. 3/7/2014 - 509,672; 3/10/2014 - 276,510; 3/11/2014 - 369,517; 3/12/2014 - 277,213; and 3/13/2014 - 351,511. The SMA of those 5 days is 356,885. And there are many more 5 day periods in the last six months for UWM that have similar volume levels.

I appreciate your considerations of my suggestions.
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Cone

#23
One of the many features that sets WealthSignals apart from other "social trading" sites is the ability to show how a strategy's in-sample backtest can translate into an equally good out-of-sample test (and live trading as a corollary). By showing the results of WealthSignals [out-of-sample] testing as a continuation of the in-sample backtest on the system page, subscribers (and potential subs) can visually and statistically evaluate if a system is performing as expected.

For short histories, its unlikely that a backtest will have statistical significance at all. And for instruments that were listed after March 2009 (or maybe even Aug 2011), a strategy certainly won't have any backtest data for bear markets.

But we have given in to the desire to use exotic instruments with short histories and low liquidity. If you think that you can attract subscribers to pay you for a semi-tested system on illiquid instruments, we can add those ETFs for you. The offer stands. Have you published your system in the TSSN? (This is extra step than just making it public.)
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absret111

#24
Hi,

Please could you add the ETFs TMF and TMV to the symbol list?

Best regards
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Eugene

#25
Hi Michael,

QUOTE:
Please could you add the ETFs TMF and TMV to the symbol list?

Done.
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abegy

#26
Is it possible to have the global list of symbols allowed ? It's not simple to follow changes.
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Eugene

#27
Isn't this what you're looking for?

List of Symbols
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abegy

#28
Yes ! Thanks a lot
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LenMoz

#29
FTV (Fortive) should be added to the Symbol List, added to S&P 500 on July 1, 2016.
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Eugene

#30
Added. Thanks.
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DartboardTrader

#31
Could you please start publishing a change list with effective dates for each symbol that has been added/removed from the WealthSignals symbols list, and a reason why (e.g. low volume, stopped trading, symbol name change, special situation, etc).

I see that LMCA LMCK are no longer in the list, because it fails at staging time. This information is important prior to a failed Staging result, so I can take action on the problem, if one is staging signals in the 9-9:30am immediate publish window.

Is there a way for a script to interrogate the wealthsignals supported symbol list -before- it generates alerts? While I could scrape and parse the https://www.wealth-lab.com/ListOfSymbols/ page, this is quite less than ideal, since the page format could change at any time.
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Eugene

#32
QUOTE:
Is there a way for a script to interrogate the wealthsignals supported symbol list -before- it generates alerts?

Unfortunately, it's the Strategy execution that would trigger the polling for the WS supported symbol list. As a power user you of course might want to scrape the ListOfSymbols page. Still, I think it's worth making the WS Publisher recognize the Supported Symbols list and highlight unsupported symbols in gray. I'll include this feature in WSP's upcoming build (late September or early October).
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Cone

#33
On a side note, the WealthSignals Symbol list should always contain symbols from the S&P 500 (of which the S&P 100 and the Dow 30 are subsets) and Nasdaq 100. Changes occurring in any of those indices may (but not always) affect the Symbol List.

Specifically on 6/17/2016 XRAY (DENTSPLY SIRONA Inc replaced the Liberty Media Corp share classes(NASD:LMCA, LMCK, BATRA, BATRK) in the Nasdaq 100. Occasionally, however, I'll admit that we could miss updating the symbol list with changes for a few days.
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da42007

#34
Please add TQQQ to symbol list.

SQQQ is already included, so it follows that TQQQ should be in the list.


Thank you.
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Eugene

#35
You got it.