Rank screener based on the variables

• 10/23/2020 at 7:07 PM #148275
  actionjackson

  I would like to rank a securities list according to two criteria.

  Example:

  I have the two criteria

  – Return of the last three months and
  – historical vola of the last 20 days

  The ranking should be based on the formula:

  rank = 60% of return last 3 months and 40% of historical vola last 20 days

  Is there a possibility to normalise two variables with the Screener and combine them into a ranking?

  periodReturn = 63 // 63 days approx 3 month returnA = ((abs(close[periodReturn]-close)/close)*100) // historic vola period periodVola = 20 // 20 days vola = HistoricVolatility[periodVola](close) // rank = 0,6 * returnA rank + 0,4 * vola rank ??? SCREENER(rank as "rank")

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  periodReturn = 63 // 63 days approx 3 month returnA  = ((abs(close[periodReturn]-close)/close)*100)   // historic vola period periodVola = 20 // 20 days vola = HistoricVolatility[periodVola](close)   // rank = 0,6 * returnA rank + 0,4 * vola rank ???   SCREENER(rank as "rank")

  Thanks for your support

  

  actionjackson

  Participant

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  10/26/2020 at 9:19 AM #148477
  Nicolas

  Problem is that we can’t get the whole values for all the stocks in order to calculate a normalization function. It can only be made on a single stock.

  

  Nicolas

  Keymaster

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