What I want to do is take a user-supplied list of symbols, some parameters to control a momentum calculation, and return a list of the symbols, ordered by the momentum calculation. The list order will (obviously) change as momentum changes, so needs to be calculated for any particular day I want.
The idea is to use this as the underpinnings of a sector or an asset allocation rotation plan. I'd like to be able to backtest strategies, such as how well it would work if I switched into the top N securities every W weeks.
What about generating my list automatically -- say comparing all stocks that made new 52-week highs within the prior 4 weeks and then ranking those?
I have not yet read up on NT strategies, but in most cases strategies pertain to single instruments. I am looking to build a strategy that compares multiple instruments.
Assuming I am willing to do the programming, is this sort of thing doable in NT?
Thanks,
--EV
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