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Koronbock
Advanced Member

GERMANY
Joined: Jun 11, 2006
Posts: 166
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Feature Request: TOP number of stocks

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Hi Marco,

here is my request (which has been voiced similarly by others as well):

A TOP function, which will select the TOP number of stocks according to a criteria:

Condition A (for example: MktCap > 500),

from the remaining stocks

Select the TOP(n) stocks

This would give us complete control over the number of stocks that are chosen for a backtest. At the moment there are differing numbers at each selection point of time.
View the feature request here.

[Sep 26, 2006 6:51:16 AM]

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jerrodmason
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UNITED STATES
Joined: Jan 14, 2005
Posts: 599
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Re: Feature Request: TOP number of stocks

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I heartily endorse, with one embellishment. The TOP function's parameter should permit either an integer or a percentage. Thus
TOP(5) would keep the top five stocks
TOP(50%) would keep the top half of the current set.

Alternate implementation is a separate function eg TOP%(50)
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The smart money was on Goliath.
"He's not the Messiah. He's a very naughty boy."

[Sep 26, 2006 11:38:55 AM]

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jerrodmason
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UNITED STATES
Joined: Jan 14, 2005
Posts: 599
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Re: Feature Request: TOP number of stocks

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After thinking about this request some more, I believe that two operators are needed, not just one.

The screener now allows keeping the top N stocks, but only after all filters have been executed, and only sorted by Rank. This is a very liimited implementation. What's needed is the ability to keep the top N (or N%) of the current set based on any specified factor, and then allow further filtering and/or sorting.

A new pair of operators would do the trick:

SORT(Factor) sorts the current set in descending order of Factor. (Note: use SORT(-Factor) for ascending order.
TOP(N) keeps only the first N items in the ordered set. (Note: Useful extension allows specifying N or N%.)

These operators would be used in Screen, Buy and Sell rules. In a Sell rule, the term "list" refers to the current holdings; in a Buy or Screen rule, the term refers to the set of candidates defined by the preceding rules.

Example set of Screen or Buy rules:

Rank>98
MktCap>50
Sort(-PEG)
Top(25%)

Creates list of stocks with Rank>98 and MktCap>50, then from that list keeps the 25% with the lowest PEG.

Example of Sell rules:

NoDays>20
Sort(-Close(0)/Close(5))
Top(1)

Sells the stock with the worst weekly performance among those held for at least 20 days.

Note to Marco: This request enhancement supersedes Item 3 of this request , which was limited to Sell rules.
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The smart money was on Goliath.
"He's not the Messiah. He's a very naughty boy."

[Oct 31, 2006 12:10:41 PM]

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marco

UNITED STATES
Joined: Jan 1, 1970
Posts: 3980
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Feature Request Closed

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I believe this is possible using FOrder() and using #Previous in the universe parameter
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Portfolio123 Staff

[Apr 7, 2010 11:51:26 PM]

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