Limit Sector weighting in Ranked Portfolio using Group/Filter function

Limit Sector weighting in Ranked Portfolio using Group/Filter function

Kiran
2016-04-14 03:23:16

How do i use the Group parameter (or Filter parameter) in Comp to backtest a ranked system (of say 10 positions) to add a constraint where <4 positions are from 1 sector? Didn't find a blog explaining.
Any sample code you could provide is much appreciated..

QuantShare
2016-04-14 04:37:54

Here is an example:

filter = comp(roc(10), "rank", industry()) <= 4;

For debugging, you can use the screener tool to display the "comp" result using "AddColumn" function
AddColumn("Rank Industry", filter);

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