Hello Everyone,
I hope to use a DataSet similar to the following in backtesting:
“Russell 2000 without stocks in S&P 500”
I can build such a dataset in Norgate Data, but after consulting, this kind of combination is not dynamic and cannot be used for backtesting.
Therefore, I would like to ask if there is a way to implement this within the building block or if it‘s possible to add an option for DataSets in the symbol exclusion module.
Thanks for your help.
I hope to use a DataSet similar to the following in backtesting:
“Russell 2000 without stocks in S&P 500”
I can build such a dataset in Norgate Data, but after consulting, this kind of combination is not dynamic and cannot be used for backtesting.
Therefore, I would like to ask if there is a way to implement this within the building block or if it‘s possible to add an option for DataSets in the symbol exclusion module.
Thanks for your help.
Rename
I think you can do this with the IndexConsituteNorgate indicator. Use a customized watchlist that is a union of R2000 and SP500 Current & Past.
I did not validate this so if it works please let us know.
I did not validate this so if it works please let us know.
Hi Rainfield，thank you very much, I'll try this setup.
@Rainfield I think this works.
I tested the setting "in Russell 1000 but not in S&P 500" using Tesla. The strategy continuously issued signals until 2020-12-21, which is the date Tesla was added to the S&P 500.
I tested the setting "in Russell 1000 but not in S&P 500" using Tesla. The strategy continuously issued signals until 2020-12-21, which is the date Tesla was added to the S&P 500.
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