MultiCharts Easter Sale has jumped in! Up to 50% off Explore offers
+1 888 340 6572 GET STARTED
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
feature_request_small.png
Open Feature request MC-498

Need a way to trade strategies that rank securities

action_vote_minus_faded.png
6
Votes
action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
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  MultiCharts Support (MultiCharts)
Aug 18, 2017 - 17:48
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
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Critical
Attachments (0)
There is nothing attached to this issue
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates