Filter that is true for stocks listed in Shanghai market.
Filter that is true for stocks listed in Shenzheng market.
Filter that is true for stocks listed in ChiNasdaq of Shenzheng market.
Filter that is true for stocks listed in Mid&Small Entreprises Board of Shenzheng market.
Filter that is true for stocks have at least 1 year’s trading days in the last one year plus a quarter.
Filter that is true on a day for stocks that are actively traded that day.
Filter that is true for stocks in finance (banking and derivative banking industries) as defined by SW2014.
Subclass of orca.universe.base.DataFilter created by factory function orca.universe.factory.create_cap_filter() with shares=a_shares.
Filter that is true for stocks ranked in top 70/60 percent in terms of average total capitalization size within the last quarter.
These three filters cut the whole universe into top 30, bottom 30 and middle 40 (i.e. big, small, midium companies) of average total capitalization size within the last quarter.
Subclass of orca.universe.base.DataFilter created by factory function orca.universe.factory.create_cap_filter() with shares=a_float_nonrestricted.
Filter that is true for stocks ranked in top 70/60 percent in terms of average float capitalization size within the last quarter.
These three filters cut the whole universe into top 30, bottom 30 and middle 40 (i.e. big, small, midium companies) of average float capitalization size within the last quarter.
Sublcass of orca.universe.base.SimpleDataFilter created by factory function orca.universe.factory.create_quote_filter() with dname=amount.
Filter that is true for stocks ranked in top 70/60 percent in terms of average trading amount within the last quarter.
| Parameters: | cap, liq (numeric) – The percentage threshold in terms of total capitalization/trading amount |
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For backtesting, any filter created by create_topliquid_filter() should be intersected with orca.universe.common.ACTIVE.