Filter out some symbols from ranking system

Filter out some symbols from ranking system

Paulo
2015-07-14 11:38:15

In a certain backtest system I would like to get a rank of ONLY some symbols of all the symbols I want to include in my system, how can I do that?

For example I included an internal list which has:
symbol1
symbol2
symbol3
symbol4

Then on my Strategy for the ranking I want to build I want to rank all the symbols but not Symbol4 for example, can I do that with QS language?

QuantShare
2015-07-14 18:24:03

The "comp" function has a parameter that allows you to enter either a symbols list (Symbol -> Symbols View) or symbols separated by semi-colons.

Example 1:
a = comp(close, "rank", 1, 1, "Symbols list name");

Example 2:
a = comp(close, "rank", 1, 1, "SPY;TLT;SHY");

Paulo
2015-07-17 09:55:23

Thanks, that works!

Now another question, I would like to make something like this:
buy = iff(stringequal(name(), "SymbolNameXXX") and rank1 == 1 and level1 == 1, 1, 0);
buy = iff(stringequal(name(), "SymbolNameYYY") and rank1 == 1 and level1 == 1, 1, 0);

Could this work?
It buys the second and stays out when the conditions are not met (which is how I want it) but also stays out when condition of SymbolNameXXX is good.

Many thanks!

QuantShare
2015-07-17 13:11:31

This should buy XXX when its rank = 1 and level1 = 1
and buy YYY when its rank = 1 and level1 = 1

Paulo
2015-07-20 10:03:46

Trying to compare 2 stock, then compare the roc 6 month of first in rank with tax rate, if it's bigger buy stock in rank 1, else buy bonds.

Although this kind of works, in the results at least, it doesn't work like I was expecting! I also made a screener with same rules to compare and I can see that it's not always buying stock in rank 1 don't know why...

Also don't know how to exit position if currently holding Bonds, unless I rebalance every month, which I would not want unless market conditions change.

taxRate = Ticker("Ticker1", close, LastData);
r = roc(126); // Return 6 month
rank1 = comp(r, "rank",1,1,"Stock1; Stock2");
level1 = Iff(r > taxRate, 1, 0); // REturn 6 month bigger than tax Rate?
isMTA = StringEqual(Name(), "Bonds3");
rule1 = rank1 <= 1;
rule2 = level1 == 1; //roc bigger than tax rate
newMonth = month() != ref(month(), -1);

buystock = iff((rule1) and rule2 and newMonth, 1, 0);
buybonds = iff(isMTA and newMonth and !rule2, 1, 0);
buy = iff((buystock == 1),1,buybonds);

sell = newMonth;

Thanks!

QuantShare
2015-07-21 03:16:43

You should probably use "!isMTA" as a rule in "buystock"

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