Wanted to rank the symbols in your portfolio and perform actions on the result?H ave you ever wanted to rank the symbols in your portfolio and perform actions on the result? Perhaps, ranking your portfolio based on on a percentage price movement together with a technical analysis indicator and take a position on the best (or worst) instruments on a bar by bar basis? Well, with Seer you can.
A Filter is a special function that runs a block of code against all instruments in the current systems portfolio or against the instruments in the passed Set. Once a Filter has been executed, the function returns a Set.
A Set is simply a collection of instruments with each instrument having an associated value. This value allows the set to be sorted and ranked.
Once a Set has been created it can be manipulated with union, intersection and difference operators. The Set can the be used in another Filter with the execution order defined by any sort or ranking operations that have been applied on the Set.
Together Filters and Sets allow extremely powerful functionality allowing questions such as the following to be incorporated into backtesting rules:Sorting, Percentile Ranking and Positional ranking The placing of orders based upon the top/bottom percentile ranking of arbitrary indicators and calculations. For example, go long on the best, while going short of on the worst. Preforming filtering and scanning Changing the bar execution order of instruments in the portfolio
Filters, sets and ranking benefits
- Rank the symbols in your portfolio and perform actions on the result
- Rank your portfolio based on on a percentage price movement together
- Extremely powerful functionality
- Allow certain questions to be incorporated into backtesting rules
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Filters, Sets and Ranking in Portfolio Backtesting
Rank the symbols in your portfolio and perform actions on the result.