Click here to Login

LiveZilla Live Help
LiveZilla Live Help




                                                   Rank using simulation

  0

0
Trading Software
2010-05-29 21:36:27


Is there a way to rank shares based on their simulation results?
For example running the simulation over all ASX stocks and displaying the top 10 based on their annual return.

cheers.



QuantShare
2010-05-31 06:24:14

  0

Hi,

Do you want to create a system that buys the top 10 stocks or do you want to simply display the top 10 stocks (based on annual return) for your simulation?



Trading Software
2010-05-31 07:44:00

  0

Actually just displaying the top 10 was what I had in mind. I am currently doing this one stock at a time, but I'm sure there's probably an easier way. I cannot put all the stocks into a list, since they interfere with each other.

However, now that you mention it, is there a way to use the simulation results to produce another system which would buy or sell based on these results? I believe this would require the simulator to be callable via a function or something in the script.

cheers.




QuantShare
2010-06-01 08:14:34

  0

In the Simulation Report, you have the list of trades under the "Trades" tab.
Do you want to group the result by stock name? or calculate the annual return of each trade from the total performance?

You can create a trading system that buys the top 10 stocks based on any criteria by creating a long ranking system and setting the maximum number of positions to ten.
You can also create a trading system that buys and sells stocks depending on the last trade results of these stocks using the money management script.



Trading Software
2010-06-02 08:25:18

  0

Thank you for you prompt responses. You have been great so far.

I think there is a misunderstanding.

The trading system I have includes:
1. trading system via formula editor, where I have scripted a buy rule.
2. a complex advance money management script

The money management script takes into account the amount of equity available before allowing a trade etc.
Therefore when I do a simulation I only use 1 stock at a time, so that the stock would have access to the full equity during the simulation.

What I want to do is to compare the results of the simulation on each stock, and therefore give each stock a score based on how well it did on the simulation on its own.

For example, the procedure I am performing at the moment: stockA, stockB
- Update the trading system, setting symbols to stock A.
- Run the simulation, and note down the results (return, draw down etc).
- Update the trading system, setting symbols to stock B.
- Run the simulation, and note down the results (return, draw down etc).

And so on and so forth with other stocks.

I have not worked with ranking system yet, but I don't think I'll be able to write a criteria that matches exactly what 1. & 2. does under simulation. (If I'm wrong about this let me know :) ).

Therefore the question is whether there is quick way I can run the simulation on all the stocks in a given list (thereby producing a simulation report for each stock), instead of having to manually edit the symbols list for the trading system, after each simulation.

I hope that made it clearer as to what I am trying to achieve,

cheers.



QuantShare
2010-06-02 13:14:36

  0

Best Answer
Very clear, here is how to perform this:

On the "OnStartSimulation" event, type:
Functions.SetTextInput("symbol", "A", "Symbol Name");

On the "OnNewPosition" event, type:
string symbol = (string)Variables.GetVariable("symbol");
symbol = symbol.ToUpperInvariant();
if(NewPosition.Symbol != symbol)
{
Functions.RejectPosition();
}

This will create a money management input (symbol).
Click on the PLUS icon next to optimize and then type your symbols: (Separated by a semicolon)
Example: A;AA;AAAGY

Finally, click on "Optimize". This will create a report for each symbol.



Trading Software
2010-06-03 07:00:49

  0

Thank you, that was what I was looking for!

cheers




No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"










QuantShare

Trading Items
Percentile - Percent Rank of a Trading Indicator
Trading System Based on the CloseHL Percent Rank Oscillator
Percentile Rank of PEG, Price/Free Cash Flow and Price/Sales
Rank Industries based on the average Relative Strength Index
Stock market prediction using traderbots

How-to Lessons
How to add a metric in the trading system simulation report
How to debug a trading system using the money management tool
How to plot a stock using different periods in the same chart
How to perform a basic quantitative analysis using the S&P 500
How to create a Monte Carlo simulation

Related Forum Threads
Composite rank vs SimLongRank
handle stock split during simulation if close price as filter
Can I update the sector and industry information in the stock dat...
Stock Ranking using ... object
Unexpected behavior in Simulation module

Blog Posts
Trading Indicators using the Rank and Percentile functions
Basic trading system implemented using the money management tool
Buy the best/top rated stocks or how to create powerful rank base...
3 ways to rank stocks in a trading system - Simulator and Potfoli...
Fundamental Stock Analysis: Rank stocks based on a valuation rati...









QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2014 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.