2 rank engines - Trading Software

2 rank engines

clonex
2012-05-18 06:00:47

Hello,

it is possilbe to have two rank systems in one strategy

comp1 =comp(Roc(20),"rank");
comp2 = comp(perf(close,20),"rank");

SetSimLongRank( max(comp1,comp2));

buy = DayOfWeek() ==1;

if yes it is possible use it correctly with more then 1 number od positions?

Thank you

QuantShare
2012-05-18 07:55:08

Best Answer

Yes, it is possible however you have to made few changes:

"comp-rank" returns 1 for the security with the highest value (then 2, 3...) and therefore you have to use the "-" sign in "SetSimLongRank".
You must also set "min" instead of "max"

SetSimLongRank(-min(comp1,comp2));

Please note that the indicator you have specified are exactly the same: Roc(20) and perf(close,20)

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