Hello, I am trying to build a trading system based on relative performance where I buy the strongest performing stock in a portfolio.
I only want to include the most liquid stocks in my portfolio. If my ticker list contains 200 symbols, for each day I would like to select the 50 most active stocks as my portfolio for which the exploration is run on. I would define active stocks by close * MA (volume,10). For this first part, this system does the job using PositionScore: http://www.amibroker.org/userkb/2007/10/14/15-day-performers-trading-system/ I am wondering if there is an easy way to accomplish the second part, ie filtering my ticker list to the n most liquid stocks for each day. Thanks for any ideas.
