Ranking performance - Trading Software

Ranking performance

allan nathan
2013-01-22 18:24:58

Hi,
Is it possible to set up a system where the entry is based on buying the strongest stocks over the last 25 days?
Did I do it correctly in the example?

a = close; // Stock value

a1 = perf(a, 25); // Performance of stock for the last month

strength=a1;

buy = strength > 0 and close > 5; // Buy only stocks that are poitive performance
SetSimLongRank(ratio); // Rank stocks by their performance

allan nathan
2013-01-22 18:27:31

correction..i should have written
SetSimlong(strength);

QuantShare
2013-01-23 09:12:22

Exact

allan nathan
2013-01-25 23:02:10

If I wanted to also include stocks with negative 25 day performance,and would also like to optimize as well,is this formula correct?
Am I correct that this formula selects the strongest x stocks that had returns between -18 and 50 for the past 25 days?

a = close; // Stock value
Optimize( "level", -18,50,4 );

a1 = perf(a,25); // Performance of stock for the last month

strength=a1;

buy = strength > level and close > 5; // Buy only stocks with 25 day perf between -18 and 50
SetSimLongRank(strength); // Rank stocks by their performance

QuantShare
2013-01-26 09:56:31

=> If I wanted to also include stocks with negative 25 day performance,and would also like to optimize as well,is this formula correct?

For negative performance, you can use:
SetSimLongRank(-ratio);

=> The formula you provided is correct. It will create a trading system and optimize it by varying the value of "level" from -18 to 50.

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