StockFetcher Forums · General Discussion · Ranking stocks in an index<< >>Post Follow-up
evo34
78 posts
msg #104512
Ignore evo34
1/19/2012 1:39:25 AM

Is there any way to buy the worst-performing x% of stocks in an index? Say I wanted to buy on close the 25 worst intraday (open to close) performers in the S&P 500. Is this doable in StockFetcher?

Kevin_in_GA
4,553 posts
msg #104521
Ignore Kevin_in_GA
1/19/2012 11:25:41 AM

I think all you would need to do for that specific request is something like this:

Fetcher[
market is S&P 500
sort on column 3 ascending
]



Just buy the top of the list.

For intraday (open to close) just do this:

Fetcher[
set{performance, open - close}

market is S&P 500
add column performance
sort on column 5 ascending
]




evo34
78 posts
msg #104529
Ignore evo34
1/19/2012 2:47:07 PM

Sorry, I was a little unclear. I meant for a filter/backtest, how would one specify entry when a stock intraday perf. is in the bottom x% of all stocks in a given index.

Kevin_in_GA
4,553 posts
msg #104531
Ignore Kevin_in_GA
1/19/2012 4:21:49 PM

For the S&P 500, just set your maximum positions to 50 and rank them as I showed above. That will automatically select the bottom 10%.

More importantly, what is your exit? Entries yield only risk - exits are what yield return.



evo34
78 posts
msg #104533
Ignore evo34
1/19/2012 7:40:46 PM

Ah, thanks. I forgot you could have the backtest select by ranking. Although, I just realized taht SF doesn;t allow you to enter at the current close. My intent was to estimate past results of a strategy that would screen for intraday performance at, say, 3:58 pm and then enter at the close price. I may have to set this up in Excel instead.

StockFetcher Forums · General Discussion · Ranking stocks in an index<< >>Post Follow-up

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