type of stock screening for NT - code + suggestions

May 6th, 2013, 06:23 AM

Just looking to bounce something off some of the futures.io (formerly BMT) members. I’d appreciate any input.

NT doesn’t have a stock screener (silly, I agree).

So I’m looking to validate some of this papers findings 108 Years of [AUTOLINK]Momentum[/AUTOLINK] Profits by Elroy Dimson, Paul Marsh, Mike Staunton :: SSRN

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:

Code

        internal class StockReturn
        {
            public int StockNumber { get; set; }
            public Instrument Stock { get; set; }
            public double Return { get; set; }
            
        }

Create a custom compare method:

Code

        private int CompareReturns(StockReturn x, StockReturn y)
        {
            if (x == null)
            {
                return -1;

            } else if (x.Return == y.Return) {

                //return x.Stock.CompareTo(y.Stock);
                return 0;

            }
            else if (x.Return > y.Return)
            {

                return 1;
            }
            else
            {
                return -1;

            }

        }

Calculate the returns, then stuff a list with them, sorting the list with our custom compare method.

Code

foreach (Instrument x in this.Instruments)
                {

                    double stockreturn = (Closes[counter][0] - Closes[counter][dayReturn]) / Closes[counter][0];

                    StockReturnList.Add( new StockReturn() {StockNumber=counter, Stock=x, Return=stockreturn});

                    counter++;
                }

                StockReturnList.Sort(CompareReturns);

Any views on more efficient methods or approaches?

Cheers,

drolles

May 29th, 2013, 08:16 AM

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.

Cheers,

drolles

May 29th, 2013, 09:20 AM

drolles

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.

Cheers,

drolles

You could proceed as follows:

(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.

May 30th, 2013, 05:54 PM

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?

Cheers,

drolles

type of stock screening for NT - code + suggestions

Discussion in NinjaTrader

type of stock screening for NT - code + suggestions