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Husain
2010-08-04 14:53:45


Lets say I have a list of Symbols ( ABC , XYZ , DEF , LMN , UVW etc ) and I want to write a back test strategy in selecting the best performing symbol ( in terms of
absolute return ) in the last 1 month and sell if there is a new symbol which has the maximum return ( out of all the other ones ) or it meets a certain minimum return requirement.

How would I achieve that ?




QuantShare
2010-08-05 05:09:13

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Do you want to keep symbols for a minimum number of bars or sell them directly when new symbols rank better than them in terms of last month return?



Husain
2010-08-05 10:57:44

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I would like to sell them directly when new symbols rank better than them in terms of last month return .




QuantShare
2010-08-05 11:14:31

  1

Best Answer
The best way to do this is to use the Composite function.

Buy Rule:
comp(perf(close, 25), "rank", 1, close > 2) <= 10

- Buy the top 10 stocks that have the highest perf(close, 25) value.
- Filter stocks using the following rule: close > 2

Sell Rule:
comp(perf(close, 25), "rank", 1, close > 2) > 10

- Sell stocks that are no longer in the top 10



Husain
2010-08-05 16:10:18

  0

That was what I was looking for.Thanks


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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.