Traders' Roundtable

OK. How many elements approximately and how often do you intend to sort?

It is a good question. If the list to be sorted is numeric and not strings, and the number of elements do not exceed the number of instruments, there is another possibility involving the functions SortInstruments and SetLongRankingValue (or -Short-).

This use may not be official or recommended but ...

Those are important considerations. I did not think of it when I saw your $4.6bn simulation.

Returning to your first post, one could also recognize that some markets have an upward drift, like the stock markets and commodities, whereas others are mean reverting such as interest rates and foreign ...

Eric, thanks for posting your conclusions. Don't abandon your search for short-only systems. You are on to something here which sluggo raised: the correlation between portfolios and diversification benefits.

Granted, the Trade Short system in your example was not attractive with a 50% drawdown. It ...

Check out the book "What Works On Wall Street" by O'Shaunessey if you haven't already studied it. It is full of test results of strategies based on various fundamental and technical stock factors that can be used as filters. It is all empirical research from computerized back-testing so the approach ...