Rank screener based on the variables

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  • 10/23/2020 at 7:07 PM #148275 quote
    actionjackson
    Participant
    Senior

    I would like to rank a securities list according to two criteria.

    Example:

    I have the two criteria

    – Return of the last three months and
    – historical vola of the last 20 days

    The ranking should be based on the formula:

    rank = 60% of return last 3 months and 40% of historical vola last 20 days

    Is there a possibility to normalise two variables with the Screener and combine them into a ranking?

    periodReturn = 63 // 63 days approx 3 month
returnA  = ((abs(close[periodReturn]-close)/close)*100)

// historic vola period
periodVola = 20 // 20 days
vola = HistoricVolatility[periodVola](close)

// rank = 0,6 * returnA rank + 0,4 * vola rank ???

SCREENER(rank as "rank")

    Thanks for your support

    10/26/2020 at 9:19 AM #148477 quote
    Nicolas
    Keymaster
    Master

    Problem is that we can’t get the whole values for all the stocks in order to calculate a normalization function. It can only be made on a single stock.

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Rank screener based on the variables


ProScreener: Market Scanners & Detection

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actionjackson @actionjackson Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by Nicolas
5 years, 4 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 10/23/2020
Status: Active
Attachments: No files
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