Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile Not sure if this is the best forum for this question so apologies in advance.
I'm looking to backtest a strategy that works off of a standard index (S&P 500, S&P 100, Nasdaq 100, etc.) but I'd like to filter out stocks that belong to certain industries (Drugs, Energy, etc.)
I'd like to do this so that the backtest uses the stocks that were in the index at the time less those stocks in certain industries.
One way would be to use OmniLanguage commands in the strategy to filter out (ignore) stocks in a given industry but I don't see a way to accomplish that.
Another thought is whether there might be a way to filter out industries via OmniScan.
I'd appreciate anyone's thoughts on how to possibly accomplish this.
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile Either method will work, or use Dynamic Scan. Weakness is that the MG's are not historically dynamic. I don't think many if any of the gereral Indexes are either. Not sure about the latter.
You can use Group(Symbol) (or SubGroup or Sector) to find the MG group and if statements to block that symbol if it's in a group you don't want.
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile Thanks Jim. I'll try the Group(Symbol) approach this weekend.