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type of stock screening for NT - code + suggestions
This will involve getting the past performance (monthly) of the stocks, working out those that have performed the best. This is a classic role of a stock screener; NT doesn’t have one, so I’m going to implement a simple version myself.
My solution was to create an object called StockReturn:
Create a custom compare method:
Calculate the returns, then stuff a list with them, sorting the list with our custom compare method.
Any views on more efficient methods or approaches?
Cheers,
drolles
The following user says Thank You to drolles for this post:
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
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Thanks Received: 39
Any thoughts on a testing harness for a solution like this?
Unlike the usual visual trading system (e.g. Bollinger Band Breakouts) one can’t do the usual:
1. Check for the outlaying trades
2. Visually inspect that chart in the strategy analyser to confirm correct trading
The only thing I can think of is to export data from a small sample of the stock universe, consolidate the monthly returns, then confirm that stocks traded are the best and worst performers.
(1) Create a stock list containing all the stocks that you wish to examine
(2) Add that list to the market analyzer
(3) Then add a new column with the ROC[dayReturn] to the market analyzer.
You will now see the returns of all stocls over the selected lookback period.
If you wish to have a look at the monthly returns, you could write a small strategy and run that through the strategy analyzer.
The following user says Thank You to Fat Tails for this post:
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
Hi,
As you know, I’m trying to test this against the S&P500.
I use IQFeed as a data provider; therefore the back history you can get on the S&P500 shares varies. NT is testing only once it has data from the instruments in the strategy.
Does anyone know to either:
1. How to hit NT’s database so to determine the instruments where I have a long history?
2. Force NT to start testing on the data it has?