Ranking System with Trading System Help, Revisited

Ranking System with Trading System Help, Revisited

swalk10
2010-04-23 22:24:29

I set up the RSI(14) ranking system, using just the one node, the RSI(14). Questions:
- "buy then sell when the signal is not longer valid" does not produce output in any analysis mode (node, ranking or trading system)?
- The analyze node highlights performance on the last bucket ; why the last bucket and not the first ; I thought the default logic is to buy the 1st bucket, or am I wrong?
- Running the analyze ranking system with other outputs works as expected (9 buckets, as I set them,
with logical difference by bucket) however, when I change the formula to -RSI(14) (e.g., negative/inverse order),
the results only show the last bucket. Why?

I want to translate the spirit of the RSI(14) ranking system to a trading system,
that is, buy the high value of the RSI(14) and sell the low value.
By setting the simulator ranking system - add condition - I can tell what rank value the symbol should be to buy or sell.
However, it seems I still need to add a buy or sell rules on the strategy page.
I don t want to introduce new rules or conditions, I simply want to rotate the symbols based on the rules in the ranking system.
What buy/sell commands should I then use not to "interfere" with the ranking system ?
Thanks for all the help!

QuantShare
2010-04-24 07:05:25

Best Answer

- There is a problem in "buy then sell when the signal is not longer valid". We will fix it.

- The last bucket is the one that contains symbols with the highest values.
if you use a ranking system with one formula: rsi(14), then the last bucket will contain symbols with the higher relative strength index values and the first bucket will contains symbols with the lowest relative strength index values.

- Normally, formulas in a ranking system should return values between 0 and 100. In the case of "RSI" and in order to get an inverse order, you should type "100 - rsi(14)" instead of "-rsi(14)".

- Using the rsi(14) ranking system in your trading system, you should simply add a rule that tells the simulator to consider all stocks.
The rule is:
buy = 1;
The simulator checks first the stocks that pass the buy condition, and then it checks the ranking system condition.

Note: You can update a post by clicking on "Update thread" or "Update message" under your name.

Get more messages

No more messages

Back


Trading Items Trading System with Sharpe-Based Ranking Intraday Trading System with Daily Ranking Sharpe Ratio Ranking System to Lower Trading Strategies Volatilit... Design and backtest a trading system with two strategies Trading Rules to use with the Trading System Optimizer	How-to Lessons How to generate buy/sell signals from a trading system How to optimize the number of positions in a trading system How to set order type of a trading system programmatically How to optimize an indicator in your trading system How to debug a trading system using the money management tool
Related Forum Threads Ranking System Help Help with the following trading system Optimize ranking system within a trading system? Need Simple Example of Ranking Stocks Implemented in Trading Syst... Use of Comp with Full Ranking System	Blog Posts How to Backtest an Intraday Stock Trading System with EOD Ranking Improve your trading system performance by ranking stocks How to Optimize a Trading System with Thousands of Billions of Co... Ranking system calculation methods 3 ways to rank stocks in a trading system - Simulator and Potfoli...