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Ranking System Engine

Updated on 2009-07-21

The QuantShare Ranking System engine is a tool that ranks symbols by calculating a score for each one of them given a combination of nodes and formulas.
The Ranking System engine needs a set of nodes and formulas, an output rule, a list of symbols, a start and end date, a number of buckets, a rebalance period and a ranking calculation method.
You can also add a fixed trading rule and one or many custom statistic metrics.

For every symbol, the engine will loop through the symbols' quote bars, calculate formulas, multiply them by the weight and the factor, calculate nodes, and then calculate the top node value, which is the ranking system value for the a symbol and for a specific date.

The top node values should be between 0 and 100; any value outside this range will be updated. A value of 150 will be changed to 100.
This 0-100 interval will be divided by the value defined in the number of buckets. If this value is 10, then the 0-100 interval will be divided into 10 parts, where the first part is 0-10, the second one 10-20 and so on.

The rebalance period determines how often the ranking system calculation should be done. This calculation is performed on the same dates for all the symbols.

Let us take an example: we have two stock symbols: 'a' and 'b', the start period is 10-Juin and the rebalance period is 10 days. Given these information, the calculation process will start on 10-Juin (If there are quotes on this date, otherwise the next date will be used). The next rebalance date will be 10-Juin plus 10 days, that is, 20-Juin. The next one will occur on 30-Juin...

On these rebalance dates, the ranking system value of each symbol is calculated as well as the output value. Generally the output period (example: the number of stop bars defined in the output: return with an n-bar stop), should be the same as the rebalance period. That way the process won't have to decide how to adjust output values.
But in case the output period is different from the rebalance period, if the OP (output period) is higher than the RP (rebalance period), then the output value will be divided by the total number of OP bars, then multiplied by the number of RP bars. In the other case, no changes are made and the engine lets the output value as it is.

In a next post we will present the Ranking Calculation Methods, which are probably the most important Ranking System Analyzer settings. We will explain and describe how these calculation methods are used by the ranking system engine.

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