[amibroker] IGNORE PRIOR WILL RESEND Fw: Can I recreate multivariate cross sectional ranking models in AB?

[Nick de Peyster <nickdepeyster@xxxxxxxxx>]

--- On Wed, 11/4/09, Nick de Peyster <nickdepeyster@xxxxxxxxx> wrote:

From: Nick de Peyster <nickdepeyster@xxxxxxxxx>
Subject: Can I recreate multivariate cross sectional ranking models in AB?
To: amibroker@xxxxxxxxxxxxxxx
Date: Wednesday, November 4, 2009, 7:13 AM

I have this model that I would like to recreate, if possible, in AB.

 

Imagine several different measures (e.g., ROC, RSI, whatever) for a groups of stocks.  Each day I calculate the different measures for each stock.

 

I then want to combine the factors.  I do it this way:

 

1. For each date, I isolate the stocks for which I have measures for that date alone.

 

 

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