I was planning on writing a stock/ETF rotation strategy in NT which would be based around ranking a bunch of stocks/ETFs based on historical criteria (e.g. past one month percent change).
The only way I can think of executing this idea in NT would be to Add() a whole bunch of instruments in Initialize() and am concerned that doing this for the Nasdaq 100 or S&P 500 would be problematic due to the number of instruments.
Has anyone attempted writing/implementing rotation strategies in NT or is this not feasible platform for it? If not, any insights or pointers to a workaround, would be much appreciated!