Very simple strategy request.

[GeminiSi]

Hello,
I am very confused and can't figure this out.

I wish to implement a very simple strategy backtest on a given basket of stocks.
It is the following -
1. Select the top 15 stocks in terms of 6 month return at the beginning of each month to buy.
2. Must have +200k in volume at time of purchase.
3. Must be over $2 at time of purchase.
4. Hold for one month at sell those not in top 15 and replace the next month.

(I have an additional timing system and allocation rules which I will overlay on this, but I am basically seeking is what were the top 15 momentum stocks on the market for each month as far back as possible)

Thanks to anyone who can help, Simon

[NinjaTrader_Kate]

Hello GeminiSi,

Thank you for your post.

This would actually be considerably more complicated than you might think. You'd need a multi-instrument strategy for this, as strategies cannot share information between instances of the strategy. So if you just ran the same strategy on say 30 different stocks, if you tried to calculate the six month return in each one there's no way the other instances of the strategy would know whether they were in the top 15 or not.

So you'd need to add all of these as a different data series to your Strategy. Then you would need logic to calculate the six month return for each (you could do this in an indicator that you then use in your strategy), then check that they have over the correct volume and price, then take the top 15 of those, and add a time filter so if it's the beginning of the month then sell any that were previously in the top 15 but aren't now. You'd then need to check positions on the top 15 and if they don't currently have a position then place an order.

This would not be something you could likely do with the Strategy Builder, it would need to be manually coded. This would be fairly complicated logic, and you may want to look into using a NinjaScript Consultant for assistance coding this or to code it for you.

Here are some resources that would be applicable should you decide to code this yourself:

Multi-Time Frame and Instruments:

https://ninjatrader.com/support/helpGuides/nt8/en-us/multi-time_frame__instruments.htm

Adding Indicators to Strategies:

https://ninjatrader.com/support/helpGuides/nt8/en-us/adding_indicators_to_strategie.htm

Using a Time Filter:

https://ninjatrader.com/support/helpGuides/nt8/en-us/using_a_time_filter_to_limit_t.htm

Please let us know if we may be of further assistance to you.