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.

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