[amibroker] Multivariate PositionScore in AB?

[Nick de Peyster <nickdepeyster@xxxxxxxxx>]

I have this model that I would like to recreate, if possible, in AB.  It would be a variant on positionscore.

 

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.

2. Iterating through each factor, I rank-order them and then percentile so that each measure is scaled comparably to the others

3. I then combine (sum,average,weighted average, whatever) the different measures into a composite score

4. I percentile the composite scores so that each stock for that date has a score from 1 to 100.  If there are fewer than 100 stocks, they will be spaced appropriately such that the highest has a score of 100 and the lowest 1.

 

 

 

 

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