Ranking in a Strategy Group
Ranking is a technique that uses a criteria to sort symbols from the symbol list in an order (e.g., from high to low) using the selected ranking criteria and parameters and then applying a strategy starting from the symbols with the highest rank.
- To add ranking to a strategy group, click the Manage Strategy Groups icon in the Shortcut bar.
- Select the Name of the desired strategy group in the Selections panel.
- Click on the Ranking tab.
- Select the desired ranking type from the Method drop-down list at the top left of the tab. The details will be displayed in the Ranking Strategy Inputs section of the Ranking tab.
Ranking Symbols
The drop-down list box at the top center of the tab, and Ranking Limit number to its right, are used to select ranked symbols. You may select by either a number or a percentile corresponding to the amount of symbols or a percentile given in Ranking Limit. For example, if the list box shows “Select the Top Ranked Symbols” and the Ranking Limit shows 25, then the trading strategies in the strategy group that includes this ranking will be applied only to the top ranked 25 symbols.
You can select the frequency of ranking the symbols as well as the price interval to use for ranking calculations. For example, the frequency of ranking the symbols could be monthly but the price interval is daily. In this case, the strategy will be applied to the number of symbols defined by the Ranking Limit every day. The strategy will be applied to the symbols ranked only once a month.
Many ranking strategies can be used to rank a list of symbols. Portfolio Maestro comes with several ranking strategies and one strategy that allows importing ranking values.
Avg Price Periods
Avg Price Periods is a strategy that calculates a ranking value based on the ratio of the average price (closing price is by default set by the PriceMeasurement parameter) of two non-overlapping periods. The ranking value is the ratio of the average price of period 1 divided by the average price of period 2. The periods are determined by taking an array of prices of Period (default 60) length and splitting it into two periods based on the SplitPoint (default 30) parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded.
Symbols can also be eliminated from trading based on two criteria:
- if the closing price is less than the PriceLimit parameter
- if the liquidity (calculated as the average closing price * volume over the last LiquidityBars bars) is less than the LiquidityLimit parameter
PARAMETERS
Period - Lookback Period for Prices (60).
SplitPoint - Point to split between Numerator and Denominator (30).
PriceMeasurement - Select Open, High, Low, Close (Close).
LiquidityLimit - Minimum Liquidity (Average Volume*Price) before a trade will be taken (10000).
LiquidityBars - Number of bars used to calculate liquidity (3).
PriceLimit - Minimum Price required for a trade to be taken (1.50).
Momentum (%)
Momentum (%) is a strategy that calculates a ranking value based on the ratio of the percent change in price (closing price is by default set by the PriceMeasurement parameter) of a near period divided by the change in price of a far period. The number of bars used to calculate the near period change in price is determined by the NearPeriod parameter (default 30). The number of bars used to calculate the far period change in price is determined by the FarPeriod parameter (default 30). The average price of the near period is divided by the average price of the far period.
The ranking value will be used to sort the symbols and will allow for filtering so that only the top N symbols or the top N percent of symbols will be traded.
Symbols can also be eliminated from trading based on two criteria:
- if the closing price is less than the PriceLimit parameter
- if the liquidity (calculated as the average closing price * volume over the last LiquidityBars bars) is less than the LiquidityLimit parameter
PARAMETERS
NearPeriod - Lookback Period for Recent Prices (30).
FarPeriod - Lookback Period for more Distant Prices (60).
PriceMeasurement - Select Open, High, Low, Close (Close).
LiquidityLimit - Minimum Liquidity (Average Volume*Price) before a trade will be taken (10000).
LiquidityBars - Number of bars used to calculate liquidity (3).
PriceLimit - Minimum Price required for a trade to be taken (1.50).
Percent Change(%)
Percent Change(%) is a strategy that calculates a ranking value based on the percent change in price over the selected period (parameter Period). The symbol list then is sorted from High to Low or Low to High (based on the parameter RankHighToLow).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” drop down list box.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter.
PARAMETERS
RankHighToLow – How to rank the symbol list.
PriceLimit – Starting price from which symbols will not be considered for ranking.
Period – Number of bars to calculate percent change.
RSI High Values is a strategy that calculates a ranking value based on the value of RSI over the selected period (parameter Period).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” drop down list box.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter or if the RSI value is less than MinRSI parameter.
RSI High Values
RSI High Values is a strategy that calculates a ranking value based on the RSI over the selected period (parameter Period).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” drop down list box.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter or if the RSI value is less than MinRSI parameter.
PARAMETERS
PriceLimit – Starting price from which symbols will not be considered for ranking.
Period – Number of bars to calculate percent change.
MinRSI – Minimum value required for trading the symbol.
RSI Low Values
RSI Low Values is a strategy that calculates a ranking value based on the RSI over the selected period (parameter Period).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” drop down list box.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter or if the RSI value is greater than MaxRSI parameter.
PARAMETERS
PriceLimit – Starting price from which symbols will not be considered for ranking.
Period – Number of bars to calculate percent change.
MaxRSI – Maximum value allowed for trading the symbol.
RSI Values
RSI Values is a strategy that calculates a ranking value based on the RSI over the selected period (parameter Period).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” from the drop-down list.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter.
PARAMETERS
PriceLimit – Starting price from which symbols will not be considered for ranking.
Period – Number of bars to calculate percent change.
Weighted Momentum (%)
Weighted Momentum (%) is a strategy that calculates a ranking value based on the ratio of the weighted percent change in price (closing price is by default set by the PriceMeasurement parameter) of a near period divided by the weighted change in price of a far period. The number of bars used to calculate the near period change in price is determined by the NearPeriod parameter (default 30). This average price is multiplied by the NearPeriodWeight to determine the weighted average price of the near period. The number of bars used to calculate the far period change in price is determined by the FarPeriod parameter (default 30). This average price is multiplied by the FarPeriodWeight to determine the weighted average price of the far period. The weighted average price of the near period is divided by the weighted average price of the far period.
The ranking value will be used to sort the symbols and will allow for filtering so that only the top N symbols or the top N percent of symbols will be traded.
Symbols can also be eliminated from trading based on two criteria:
- if the closing price is less than the PriceLimit parameter.
- if the liquidity (calculated as the average closing price * volume over the last LiquidityBars bars) is less than the LiquidityLimit parameter.
PARAMETERS
NearPeriod - Lookback Period for Recent Prices (30).
NearPeriodWeight - Weighting Factor for Recent Prices (.5).
FarPeriod - Lookback Period for more Distant Prices (60).
FarPeriodWeight - Look Weighting Factor for more Distant Prices (.5).
PriceMeasurement - Select Open, High, Low, Close (Close).
LiquidityLimit - Minimum Liquidity (Average Volume*Price) before a trade will be taken (10000).
LiquidityBars - Number of bars used to calculate liquidity (3).
PriceLimit - Minimum Price required for a trade to be taken (1.50).
Williams R
Williams R is a strategy that calculates a ranking value based on the Williams R percent change in price over the selected period (parameter Period). The symbol list then is sorted from High to Low or Low to High (based on the parameter RankHighToLow).
The ranking frequency is set in the Ranking Interval parameter and the price interval is set by the Calculation Interval parameter.
The ranking value is used to sort the symbols and allows for filtering so that only the top N symbols or the top N percent of symbols will be traded. This is controlled by the Ranking Limit parameter and “Select Ranking Symbols by Percentile” from the drop-down list.
Symbols can also be eliminated from trading if the closing price is less than the PriceLimit parameter.
PARAMETERS
Period - Lookback Period for Prices (30) used in Williams-R calculations.
PriceLimit - Minimum Price required for a trade to be taken (1.50).
RankHighToLow – How to rank the symbol list: True ranks from High to Low (Descending) or False ranks from Low to High (Ascending).
XLS Ranking Import
ImportXLS Ranking Import is a strategy that allows user importing ranking values from an Excel spreadsheet.
PARAMETERS
SymbolColumn – Column containing the trading symbol.
RankValueLimit – Minimum (or Maximum) Rank Value that will be traded.
RankingColumn - Column containing the ranking value.
RankHighToLow – How to rank the symbol list: from High to Low or from Low to High.
FileName – File Name for the Excel ranking file.
DateColumn – Column containing the date.