3-parameter Combined Ranking Rotation system
Author: Sammy_G
Creation Date: 9/17/2011 8:57 PM
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Does there exist a rotation strategy that utilizes the combined ranking based on these (or any) 3 parameters:
- Highest 20d ROC
- Highest 60d ROC
- Lowest 20d RSI
and buys the top 'n' symbols (assuming the two ROC lists are sorted from highest to lowest, and the RSI list from lowest to highest, then the top symbol would be the one with the lowest total score = rank in 20d ROC list + rank in 60d ROC list + rank in RSI list)?
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None that I'm aware of; please see here for a pointer.