Help with strategy - Trading Software

Help with strategy

Will
2015-02-25 17:15:39

Can someone please suggest a way that I can rank a group of ETF's and only purchase the top 4 ranking etf's so long as they are ranked lower than
the ETF SHY.

so I have a group of ETF which I rank using 12 month performance.

Rank12 = comp(perf(close,252),"rank");

buy = rank12 <5

This will buy the top 4 ranking etf's but I need a rule that says only buy if the rank is lower the SHY, so if SHY happens to be ranked 3 the buy would
only purchase the top 2 ranking etf's.

Any ideas? I'm new to programming in Quantshare and still trying to learn how these codes and functions work.

Thanks

QuantShare
2015-02-27 03:00:14

The rank is lower than SHY means that the ETF perf must be higher than SHY perf.

For this you can use this formula:

p = perf(close,252);
Rank12 = comp(p,"rank");
shy = perf(getseries("shy", close), 252);
buy = rank12 <5 and p > shy;

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