Need a way to trade strategies that rank securities

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algotr8der
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Need a way to trade strategies that rank securities

Postby algotr8der » 19 Jul 2011

We need away to trade strategies that rank securities.

For example:

1) In a basket of 50 stocks go long the top quantile of stocks that are ranked by a 10 day rate of change (ROC) indicator.

2) In a basket of 50 stocks go long the top quantile and short the bottom quantile based on some criteria i.e. it could be the same as in #1.

This is just a very simple example but there are more complex and useful things that can be done with a function that could score/rank securities based on some user specified criteria.

There are ample examples of this on the algo/systematic trading blogs -

http://engineering-returns.com/2010/11/ ... n-ranking/
http://quantingdutchman.wordpress.com/2 ... set-class/

In the first link you can see AB code is provided that shows how the ranking of securities is done. In the second link the blog owner indicates the following:

"The AB ranking positionscore mechanism is used to select the top performing ETF according to the logic discussed in the system description."

There is no way to do any of this in MultiCharts. I welcome comments and I encourage MultiChart users to vote for this feature. Lets make MultiCharts into a better trading platform than AB.

I have created the following Feature Request for this issue -

https://www.multicharts.com/pm/viewissue ... _no=MC-498

Please vote for it and comment.
These users thanked the author algotr8der for the post:
JoshM

DRCM
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Re: Need a way to trade strategies that rank securities

Postby DRCM » 20 Jul 2011

my vote +

rgranero
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Re: Need a way to trade strategies that rank securities

Postby rgranero » 03 Apr 2012

my vote!+

cyrus68
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Joined: 01 Mar 2012

Re: Need a way to trade strategies that rank securities

Postby cyrus68 » 10 Apr 2012

Ranking is essential to implement certain strategies. It is unusual for it not to be included.


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