Composite rankings in momentum scanner
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Does the backtesting not take into account the composite weighted rankings. I am getting similar backtested results even after taking different weights for different ranking periods. It is only taking default weight as 1.
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Yes, your observation is correct. I also faced the same. For the time being the way out - lets say you want to wright 252 period as 3 and 20 period as 1. then repeat 252 - 3 times and keep 20 in last cell
