Rank screener based on the variables

actionjackson · 2020-10-23T18:07:08+00:00

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

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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

Legend

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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