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                                                   Ranking System Optimization

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Dave W.
2013-12-20 00:26:02


Hi. Based on an article you wrote (3 ways to rank stocks in a trading system - Simulator and Potfolio), I decided to move the code from a ranking system object into my trading system simulator code to help me optimize it. I'm having trouble getting the simulator code results to match my former simulator + ranking system object results. For example, I get different # of trades, payoff ratio, annual return, etc.

Here's the relevant portion of my code. There are 5 additional buy rules not shown.

ShortRankFunction = sma( Close / GetSeries("SPY",close) , 5 );
Rule6 = comp( ShortRankFunction , "rank", 1, ShortRankFunction >= 35);

In the version with the ranking system object, I use the code shown in the ShortRankFunction variable above, and check the box to limit results to those with a score >= 35. I thought I was doing the same thing with the comp function, but I must be doing something wrong. In the article, you also mentioned adding another condition to the comp function related to the # of simultaneous positions to hold. I tried that also, but it seemed to remove all of my trades in the syntax given in the article.

Thanks for your help.
Dave



QuantShare
2013-12-20 13:09:29

  0

Hi Dave,

The formula is wrong, here is the correct one:

ShortRankFunction = sma( Close / GetSeries("SPY",close) , 5 );
Rule6 = comp(ShortRankFunction , "rank") <= 35; // The first stock has a score of 1

Regarding the # of simultaneous positions to hold, you should specify that in the simulator settings.





Dave W.
2013-12-20 23:36:40

  0

Ok. Hmmm... I can't seem to make it work. I runs without an error, but I seem to get the same number of trades no matter how I set the condition. Is there any reason the ranking engine wouldn't be ranking the results with a number from 1 to 100?

Here's my relevant code - slight modifications from the message above:

SpySeries = GetSeries("SPY",close);
ShortRankLength = 10;
ShortRankFunction = ( rocr( Close, ShortRankLength ) / rocr(SpySeries, ShortRankLength ) ) * 100 ;

RankThreshold = 10;
Rule6 = comp(ShortRankFunction , "rank") >= RankThreshold ; // The first stock has a score of 1

Probably something simple I'm doing wrong?



QuantShare
2013-12-21 11:57:02

  0

Best Answer
You made a mistake while copying the formula. The first stock gets a score of 1, so you should put:

Rule6 = comp(ShortRankFunction , "rank") <= RankThreshold ;

Instead of

Rule6 = comp(ShortRankFunction , "rank") >= RankThreshold ;


You can also use "percentile" instead of "rank" to get a result between 0 and 100 (100 corresponds to a rank = 1)




Dave W.
2013-12-23 22:07:52

  0

OK. I was able to almost match the results I got with the ranking system engine by using the percentile function instead of rank.

Thanks for your help.



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