Happy 2008 to everyone!! Let's say I want to only trade stocks in the top 50% under 3 different criteria ( volume , price and RSI for example) on any given day. I other words I backtest at portfolio level a given strategy and I then want to see cross-sectional selection effects under different ranking at the same time. Position score would partially achieve the goal (it doesn't give direct control over the percentile rank a far as I understand, since it is constrained only by number of max position an funds, while the number of signals is not fixed, so the top 50% could correspond to different numbers on different days).
I was thinking of creating a multidimensional array for each bar and sort it by different raws/columns values but it would be rather long and slow I suppose. I would also need the number of raw signals on any given day.Can it be obtained without looping through the signal list, and counting? Any suggestion? Thanks Ly
