Need some insight to the "rank" engine using comp funtion

Need some insight to the "rank" engine using comp funtion

Dave Walton
2013-07-10 11:53:25

Hi, I have a monthly ranking system with the code below:

M = TimeframeApply(31, roc(Close, 3));
M = TimeframeDecompress(M);

Rule 1 = Month() != ref(Month(),1);
Rule2 = (comp(M, "rank")) < (4);
buy = ((Rule1) && (Rule2));
sell = Rule1;

I have set my number of positions to 3 so thus I would expect to have 3 positions opened and closed every month. However, I often find that only 1 or 2 positions are opened. Why is that and how can I fix the problem?

QuantShare
2013-07-11 04:24:19

Make sure you select a "Long" only trading system

Dave Walton
2013-07-11 07:02:43

Yes, my system has "Long" set but yet I have the problem. I was able to work around this by not using the comp function and instead adding this:

SetSimLongRank(M);

Any ideas why the comp function isn't working as I expect? I'd like to understand this for other potential ranking systems.

QuantShare
2013-07-11 20:51:38

It does work, however your buy and sell rules usually give signals at the same time (beginning of a month).
When a sell order is generated (sell at open of tomorrow) then a buy order to purchase the same stock is rejected.

Just add the following line to your trading system:

SetSimTiming(_Sell, _Close, -1); // Sell at close of today

Dave Walton
2013-07-12 18:57:45

OK, but that is not how I want to execute the system. I don't want to be out of the market overnight. Basically this system rebalances monthly. If I currently hold one position that will still be in the top3 the following month, I want rebalance it so that it gets 1/3 of the capital. I thought the easy way to do this was to sell all positions and then buy the top 3 with 100% of capital every month. I actually trade this system and accomplish this using MOC orders for both the buys and the sells in the lfirst day of the month. Maybe that is not the best way to execute the system due to commissions and slippage, but seems the easiest way to do the rebalancing.

Like I said, I'm accomplishing this using the SetSimLongRank command but it might be nice to tell the comp function whether to prioritize buy or sell orders vs. ignoring them when they happen at the same time.

QuantShare
2013-07-12 20:19:33

The "SetSimTiming" command will only specify the order type. Sell orders are initiated only when the "sell" variable is true.

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