filter_rank

Selects the top N (best) or worst N stocks based on signal strength.
Optimized using matrix operations for 5-10x speedup.

Design, backtest, and analyze portfolio strategies using simple,
English-like function chains. Includes technical indicators, flexible stock
selection, portfolio construction methods (equal weighting, signal weighting,
inverse volatility, hierarchical risk parity), and a compact backtesting
engine for portfolio returns, drawdowns, and summary metrics.

Alberto Pallotta

PortfolioTesteR

Test Investment Strategies with English-Like Code

filter_rank function

<dl><dt>signal_df</dt>
<dd>Data frame with Date column and signal values</dd>
<dt>n</dt>
<dd>Number of stocks to select</dd>
<dt>type</dt>
<dd>"top" for highest values, "worst" for lowest values</dd></dl>

Arguments

Select Top or Bottom N Stocks by Signal — filter_rank

<dl>

<dt>signal_df</dt>
<dd>Data frame with Date column and signal values</dd>


<dt>n</dt>
<dd>Number of stocks to select</dd>


<dt>type</dt>
<dd>"top" for highest values, "worst" for lowest values</dd>

</dl>

filter_rank: Select Top or Bottom N Stocks by Signal

Description

Usage

Value

Arguments

Examples