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Hi guys,
I already have a pretty good idea just from looking over back test
results that signal success seems highly correlated with the number
of signals I get on any particular day. That is to say, out of a
basket of, say, 20 stocks, if 8 or 10 of them signal the same way, it
seems highly likely that a very high percentage of those signals are
going to be good, whereas if only a single stock triggers on a
particular day, the odds of success, while still good, are not nearly
as good as when many issues signal at the same time.
I'd like to try and quantify that in a back test, but I am not sure
how to write the code. I need to include some argument in the buy
and short statements that requires a certain level of "participation"
before any signals are taken. (This would allow me to run various
back tests for that level, in an attempt to discover if this is even
a condition I should consider requiring.)
Can anyone help with the argument part of this?
Best,
Yuki
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