I am calculating certain characteristics for every stock
than I have in my EOD database (approximately 3000). For the sake of clarity
let’s use alpha and Beta as characteristics. I want to :
1.
calculate the min and max value of alpha & beta in my
data base.
2.
Then normalize the values to values between 0 and 1
3.
Then calculate the sum of normalized alpha and beta and
store them in atc file to be used in backtests
I was thinking of using the following procedure:
1.
Calculate alpha and beta and store the values for each
stock in an atc file (first pass thu database)
2.
Run thru the atc files and find the min and max values
for alpha and beta and store is in one new atc file (2nd pass thru
database)
3.
Normalize alpha & beta for each stock using the
stock’s atc file and minmax atc file that I created during the previous step
(3rd pass thru database)
Is there a better/faster approach? Any help or suggestions
is much appreciated. TIA