Stock/ETF Rotation Strategy Feasible?

[wuileng]

Hi,

I was wondering if it is possible to create a stock/ETF rotation strategy in NT.

The basis of such a system would be to rank a bunch of stocks/ETFs based on historical criteria (e.g. past one month percent change).

The only way I can think of executing this idea in NT would be to Add() a whole bunch of instruments in Initialize() and am concerned that doing this for the Nasdaq 100 or S&P 500 would be problematic due to the number of instruments.

Is NT able to handle large amounts of instruments in a single strategy (assuming the calculations are done once per day, are not too computationally intensive, and the strategy has CalculateOnBarClose = true)?

Thanks

[NinjaTrader_CalH]

Hello Wuileng,

Thank you for your post.

Yes, this would be possible to do with NinjaScript Strategy.

With concerns of the multiple instruments, yes they can be a factor in the performance.

If you only plan on having them calculate once per day this shouldn't be an issue as for the instance and running. Things to keep in mind are if you change the COBC to false and if you want to use an intraday time frame. Both will cause the strategy to calculate more frequently and could cause performance issues.

[ScorpioTravis]

Perform a forum search on such terms as "ETF," "rotation," and "rank."