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Open Feature request MC-498

Need a way to trade strategies that rank securities

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Description

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/2010/11/30/dynamic-position-ranking/


http://quantingdutchman.wordpress.com/2010/10/21/strategy-1-wtaa-gold-included-as-7th-asset-class/

In the first link you can see Amibroker 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

Steps to reproduce this issue

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/2010/11/30/dynamic-position-ranking/


http://quantingdutchman.wordpress.com/2010/10/21/strategy-1-wtaa-gold-included-as-7th-asset-class/

In the first link you can see Amibroker 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

Comments (1)
#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Aug 18, 2017 - 11:48
Can be achieved via Portfolio Trader using MM signals.
History
Issue basics
  • Type of issue
    Feature request
  • Category
    Not determined
  • Targeted for
    MultiCharts 9.0 (RELEASED)
  • Status
    Released
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (3)
People involved
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Issue details
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    Not determined
  • Severity
    Critical
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