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Model - Sample RM with IPO Stocks
Created by Q Merlin on 1/13/2019
, last modified on 1/13/2019
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Sample RM with IPO Stocks

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Just a sample RM using a subset of IPO stocks from the past 36 Months to demonstrate the effect of such a custom universe.


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Q Glitch posted 28 days ago

Merlin, these results are remarkable! Can you expound on the Universe? It's a truly randomized selection of IPOs from the last 36 months? Would the new IPO Universe extension be of use in developing IPO related models like this? What kind of things could we add to the extension to make it more useful? Off the top of my head, I'm thinking a general method of creating a new Universe from an existing Universe (a random sample) could be handy for QS. After all, the Historical IPO Universe contains 5000+ symbols so is probably too unwieldly to work with on its own.

Merlin, these results are remarkable! Can you expound on the Universe? It's a truly randomized selection of IPOs from the last 36 months? Would the new IPO Universe extension be of use in developing IPO related models like this? What kind of things could we add to the extension to make it more useful? Off the top of my head, I'm thinking a general method of creating a new Universe from an existing Universe (a random sample) could be handy for QS. After all, the Historical IPO Universe contains 5000+ symbols so is probably too unwieldly to work with on its own.
Q Merlin posted 22 days ago

Initially a made a filter to get all stocks out of a default TC 2000 US stocks list not trading more than 36 months. Additionally, I have removed Biotechs because they have the highest probability of getting delistet. From there, I saved my own TC 2000 screen for future updates.

To update the list every 3 months, I'm using https://www.iposcoop.com/last-100-ipos/ to catch all new IPOs and import them into my custom TC 2000 IPO screen. Once again, I drop out all Biotechs (by Industry Group) and IPO's older than 36 Months. As a further step, I’m removing delistet IPO's.

If there are any stocks getting obsolete (> 36 Months) and there's an open trade, I have left that symbol in the list until a sell signal occurred. After the sell signal, I have removed the stock manually from the universe. In the past, I never had a case where I had an open trade with a stock getting delisted so I would expect that my broker will make a special notice.

Perhaps you should simply start with my actual IPO list and make any updates, based on the rules above. I guess my list is currently well maintained. A little improvement could be to filter out stocks trading below 3 Mio USD trading volume over the past 50 days.

Hope that helps.

Initially a made a filter to get all stocks out of a default TC 2000 US stocks list not trading more than 36 months. Additionally, I have removed Biotechs because they have the highest probability of getting delistet. From there, I saved my own TC 2000 screen for future updates. To update the list every 3 months, I'm using https://www.iposcoop.com/last-100-ipos/ to catch all new IPOs and import them into my custom TC 2000 IPO screen. Once again, I drop out all Biotechs (by Industry Group) and IPO's older than 36 Months. As a further step, I’m removing delistet IPO's. If there are any stocks getting obsolete (> 36 Months) and there's an open trade, I have left that symbol in the list until a sell signal occurred. After the sell signal, I have removed the stock manually from the universe. In the past, I never had a case where I had an open trade with a stock getting delisted so I would expect that my broker will make a special notice. Perhaps you should simply start with my actual IPO list and make any updates, based on the rules above. I guess my list is currently well maintained. A little improvement could be to filter out stocks trading below 3 Mio USD trading volume over the past 50 days. Hope that helps.
Q Atmosfear posted 22 days ago

Once a Quantacula Universe has been created, symbols from a given industry cannot be dropped on demand: you only see a list of tickers, other possible properties are now gone. Just a note.

Once a Quantacula Universe has been created, symbols from a given industry cannot be dropped on demand: you only see a list of tickers, other possible properties are now gone. Just a note.
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