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TonyJ

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2525
Posts: 59

Joined: 12/11/2003
Location: Marietta, GA

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Subject : Trade Selection Based on Liquidity
Posted : 1/5/2018 10:22 AM
Post #43955

I am looking to order trades based on their liquidity when running a backtest in the Portfolio Simulation.

I understand that I can create a filter for minimum liquidity requirements but I'd like to order the trades so that the highest liquidity stocks are selected.

Can anyone think of a way to accomplish that?
Deleting message 43955 : Trade Selection Based on Liquidity


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