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Eric
lets step through code first. The line >Avg = EMA(Close, 28); needs
to be modified as Avg is a predefined identifier. It denotes the
average price -(High+Low+Close)/3 - so called "typical price".
The lines
> NumColumns = 3;
> Column0Name = "RS Index";
> Column0 = RS;
can be replaced with AddColumn(rs,"RS Index");
This is just easier.
To Rank the securities you have to assign a positionScore to each
security, you have calculated this in your RS array. To buy 5
positions, set PositionSize to -20, this represents 20% of your
capital to each position. Note - set Allow Position Size Shrinking
in AA settings otherwise you will only end up with 4 open positions
(each position is 20% + Commission, so available capital for 5th
position is slightly less than 20%).
For realistic EOD backtesting results, set tradedelays to 1, set
commissions large enough to cover both commission + slippage. (I use
1% - large yes but if a system can't survive this it is not going to
interest me anyway).
So now our AFL looks something like
RS = ROC(Close, 120);
Av = EMA(Close, 28);
Exit = Close < Av;
PositionScore = rs;
Buy = Close > Av;
Sell = exit;
PositionSize = -20;
SetTradeDelays(1,1,1,1);
Filter = GroupID() == 0;
AddColumn(rs,"rel Str");
The filter setting is only used in explores, so for backtests define
the Apply To filter to select Group 0 or bactest on all securities
and Substitute Buy = Close > Av AND GroupID() == 0; (first option
is probably faster.
Hope this helps
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "ericleake" <eleake@xxxx> wrote:
> Making my first attempt at a very simple Relative Strength scan.
> Using the ROC function, I'm able to create a RS number. I'm also
> able to code a simple moving average qualifier for a buy signal,
as
> well as an exit.
>
> What approach should I use then to rank the securities by their
new
> RS number, and buy say the top 5? Would the new Percentile
function
> be the way to handle this? Here is what I have so far:
>
> Filter = GroupID() == 0;
>
> RS = ROC(Close, 120);
> Avg = EMA(Close, 28);
>
> Exit = Close < Avg;
>
>
>
> NumColumns = 3;
> Column0Name = "RS Index";
> Column0 = RS;
>
> Any help would be appreciated!
>
> -Eric.
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