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Steve,
I have posted "A complete top10 application", Sept7, where I take the
top10 performers of systemA and see their performance in systemB.
See if it helps, else we shall create a solution from the beginning.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> I want to backtest a system (regular backtest, not rotational)
which has the following two parts:
>
> 1. A simple market timing signal - let's say:
>
> RUT = Foreign("^RUT", "C");
> UpTrend = EMA(RUT, 4) > EMA(RUT, 11);
>
> 2. A scoring system. I want the scoring system to be based on
the 'performance' of the same market timing system. Say on
12/31/1997 the market timing signal indicates a buy condition. I run
a simple backtest of 1 year duration on the 100 stocks in the
Nasdaq100, like so:
>
> RUT = Foreign("^RUT", "C");
> UpTrend = EMA(RUT, 4) > EMA(RUT, 11);
> buy=Uptrend;
> sell=NOT uptrend;
>
> I pick the 5 best performing stocks (say highest CAR) and use them
going forward into 1998, until the market timing signal gives a sell
indication, when I sell the 5 stocks. At the next market timing buy
signal, I again pick the top 5 performers (using the simple backtest)
over the past year. etc. etc.
>
> It seems like some sort of feedback system.
>
> Is it possible?
>
> Steve
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