3. I see “dsio” in GTR1 for days since investment opened. Is there any field or method I could use to determine if it was an IPO?
dsio is days since a corporate event such as a merger.
dspo is days that a price has been available.
From the gtr1 glossary:
“The field function dsio is useful for filtering out investments with events (such as mergers or acquisitions) in their recent history that would perhaps make the values of other fields not useful or meaningful.”
“The field function dspo is useful for filtering out investments whose underlying stock has perhaps not been trading long enough for the values of other fields to be useful or meaningful.”
Maybe alter https://gtr1.net/2013/?~MIpostsBase:h21f0.4::styp.a:et10!11!..
Command Translation
Define {MIpostsBase}
step0: [Security Type; lag=1 days] == 10,11,12,18,30,31,48
step1: [Mkt Days Since Security Opened; lag=1 days] >= 253
step2: [Average dollar-volume over 63 days; lag=1 days] > 0
step3: [Average dollar-volume over 63 days; lag=1 days] Top 50%; Cash When None
Holding period = 21 mkt days
Frictional loss of 0.4% applied to all sales (closing long/opening short)
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.