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                                                   Ranking with symbols not "date aligned"

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Paulo
2015-07-29 11:59:21


I have some ranking based system with symbols that are traded in different markets so they have different trading dates, but my system fail I think, because they are based on close and some symbols don't have close for certain dates. What's the best way to overcome this? Maybe apply a MM average to the close and calculate the roc of that MM? Is this possible, or is there a better way? Thanks!


QuantShare
2015-07-30 03:40:07

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It on a specific date, 10 stocks have data and 20 don't, then only the first 10 stocks will be ranked, the other 20 will get the lowest rank possible.
Unless you update the data with a script (fill missing dates for example) there is no way to handle this.


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