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Starting to find my way around Amibroker, I'm wondering if anyone
has done any simple Relative Strength/Rate of Change studies. I am
interested in testing some very basic RS Srategies, someting like
this:
One method is to sum an "RS Index" based upon multiple periods of
Relative Strength or Rate of Change. These can be weighted, or non
weighted. The idea goes something like this:
9 Period ROC + 28 Period ROC + 80 Period ROC + 130 Period ROC = The
RS Index.
Rank securities by their RS Index.
Buy 6 positions from the top 5%, and hold them until they drop out
of the top 10%. Replace the dropped symbol with the next highest
rank not already held, in the top 5%. If there are no new candiates,
hold cash.
Stop: Use the 20 day low as a fail safe exit.
Not totally sure about how to code this. Any thoughts?
Eric Leake
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