Sort my alerts and limit them to a specific number?
Author: Christos
Creation Date: 7/27/2011 7:14 AM
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Christos

#1

Is there a way to sort my alerts and limit them to a specific number without using the "Position Options" position sizer?

With respect to this position sizer, in which way are the alerts limited to the number specified (i.e what is the logic of keeping alert a and alert b and dropping C?

Is it possible to modify the Alerts list by sorting or deleting elements?
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Eugene

#2
Let's start with what are you trying to achieve with limiting, sorting and deleting Alerts?
QUOTE:
With respect to this position sizer, in which way are the alerts limited to the number specified (i.e what is the logic of keeping alert a and alert b and dropping C?

This is really a multifaceted PosSizer. Its possibilities are documented in the Wiki. To view the online guide, either click on "More info..." in the UI or follow this link: Position Options. If after reading the text something is unclear, please rephrase your question.
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Christos

#3
I have already read the text from the link you posted so I must have misundrestood the functionality of the "reject on Alerts < or >" so I will try and tell you exactly what I need to do.

I monitor a universe of 500 stocks and the strategy generates every day 500 BuyAtLimit alerts. What I would like to do is generate a fixed number of 30 alerts based on an indicator that ranks the above stocks and keeps the top 30. Is it possible to achieve that without writing a rotation strategy?
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Eugene

#4
The idea here is to note the Candidate.Count and, if the option is enabled, to either reject or take ALL trades if on the current bar the number of candidate Positions being sized is less than or greater than some user-input value. Maybe the concept is not too intuitive but that was the forum request behind this option.

Re: generating a fixed number of 30 alerts. Isn't it the same as the Max Open Positions option? Or it's crucial to have 30 alerts every day regardless of the active positions count?
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Cone

#5
The issue is the ranking of the Alerts. Max Positions won't work because it doesn't guarantee that you process only the top 30. You could do it with Position.Priority if a Position Sizer had an option to process only 30 (n) candidates/signals.

QUOTE:
Is it possible to achieve that without writing a rotation strategy?
It's not really a "Rotation" strategy, but for the script itself to consider only 30 signals on each bar it would require that you performed the ranking operations for all symbols in a Single-Symbol Mode using DataSetSymbols, SetContext, etc.
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Eugene

#6
Thanks for the clarification. Then does it sound like a task for Graded equity percentage?
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