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Suppose I have the following system:
Buy = Cross(C, MA(C, 50));
Obviously, the above would generate many candidates (more than what my
equitiy can afford). Now suppose I only want the top 3 with the
highest beta (or any other metrics) on any given date. How can I do
this within my backtest? Right now, I think AB, by default, "ranks"
alphabetically until all the equity is exhausted. I'd like to
customize this default "ranking" scheme.
Thanks,
-Alex
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