Comp and rank - Trading Software

Comp and rank

allan nathan
2015-07-02 16:05:03

Hi,
I am running 2 different backtests to test the comp and rank function.
One buys the strong stocks,the other the weak..

rankstrong=Comp(perf(close,21),"Rank",1,close>2);

rankweak=Comp(-perf(close, 21),"Rank",1,close>2);

no sell rule,just a time stop

Somehow,I am getting the exact same results.

formulas work in screener

What am i doing wrong?

Thanks,

Allan

QuantShare
2015-07-02 19:40:13

What "buy" rule are you using?

It should be something like this:

buy = rankstrong < 5; // Buy to 4 stocks

allan nathan
2015-07-03 12:22:10

Hi,
It appears it is working correctly,but there is one issue.If I use your formula,I must set the number of positions to 4 in the simulator.If I choose 10 stocks for number of positions,while using the formula

Buy=rankstrong< 5;

the results look to be incorrect,if you look at the actual trades that take place.

Am I correct that one must make sure the number of positions selected must equal the stocks per the entry formula,i.e rankstrong<5; ?

Thanks,

Allan

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