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