Comp Function in Trading System Rules

Comp Function in Trading System Rules

Dave W.
2014-03-06 00:56:44

I'm using the following comp function as a trading system rule in the Simulator:

Rule5 = comp(ShortRankFunction , "percentile") >= RankThreshold ; // The first stock has a score of 1

If I don't specify a set of symbols to act on in the comp statement, is the comp function smart enough to only run the function on the set of symbols included in the Simulation it is used in? For example, if I have 50,000 symbols in my database but the current simulation where the comp rule is used is only run on the Russell 3k stocks, will the comp function only act on the Russell 3k stocks? If not, can you help me revise the comp statement to focus on a specific set of stocks?

Thank you.
Dave

QuantShare
2014-03-06 11:24:04

Best Answer

Yes Dave, the "comp" function will be calculated only based on the symbols included in the Simulation.

Please note that since you are using "percentile", the result of the "comp" function would be between 0 and 100.

Dave W.
2014-03-06 17:24:43

Excellent. Thank you.

Get more messages

No more messages

Back


Trading Items Trading Rules to use with the Trading System Optimizer Market trading rules Trading System Based on the CloseHL Percent Rank Oscillator Double Bollinger Bands Trading System Trading System based on the Previous Week SPY Return	How-to Lessons How to set order type of a trading system programmatically How to create a trading system How to generate buy/sell signals from a trading system How to optimize the stop limit of a trading system How to add custom position-based metrics to your trading system
Related Forum Threads Optimize ranking system within a trading system? Ranking System with Trading System Help, Revisited Trading System Simulation Errors ApplyRule example in trading system How to edit a trading system i've downloaded from shared server?	Blog Posts How to Switch On/Off Trading Rules in Your Stock Trading System 10 masks to create thousands of rules to use into your trading sy... Synchronize Buy/Sell List of Rules in the Trading System Optimize... Inverse Fisher Transform: Indicator, composite and trading system Trading System: Moving average crossover and few others buy and s...