Problems testing a stock trading strategy

[dafunkyfalcon]

Hi all!

First of all, I apologize if I'm unclear and for potential abuse of the English language.

I want to test a trading strategy called momentum where you buy/sell stocks based on their past performance. Using historical data, I'm supposed to "buy/sell" the previously best/worst 10% performing stocks, a procedure which is repeated each month. These portfolios are then held for a period whereafter I calculate the portfolio return.

Since the number of available stocks vary, I'm struggling to come up with a good method.

Do you have any suggestions as to how I can include 10% of the stocks into a portfolio when the number of stocks vary? I have to use integers, so rounding off to the closest integer is neccessary.

I hope you are able to understand my problem and that you can offer me some help.

Regards

 

[ZPhantom]

im assuming you know how many stocks there are at any time, and have a method to work out a way of ranking them (average value change for instance)


psudocode:

dim x as integer
dim number of stocks as integer 
 
x = numberofStocks /10
 
{some code to buy the top x shares from your ranked list}
 
{some code to see if you have any of the bottom x from your ranked list, and to sell any you have}

<SOME top list ranked your from stocks x the purchace to function>

ZP<SOME stocks x the to function them sell then and own you bottom of which see other>

 

[dafunkyfalcon]

Hi!

Thank you for your help. Yes, I know how many stocks there are and how to rank them. My biggest problem is finding a way of putting the best performing stocks into one portfolio and vice versa, when the total number varies. Another problem is that I'm a total novice when it comes to VBA.

Is it possible to create some sort of threshold that varies depending on the number of stocks? (In this case, <10% and >90%). And could the percentile function be of any use in this case?

Regards