filter_rank: Select Top or Bottom N Stocks by Signal

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Select Top or Bottom N Stocks by Signal

Description

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

Usage

filter_rank(signal_df, n, type = c("top", "worst"))

Arguments

signal_df	Data frame with Date column and signal values
n	Number of stocks to select
type	"top" for highest values, "worst" for lowest values

Value

Binary selection matrix (1 = selected, 0 = not selected)

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, 12)
# Select 10 highest momentum stocks
top10 <- filter_rank(momentum, 10, type = "top")

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.