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--- In amibroker@xxxxxxxxxxxxxxx, Eric Leake <eleake@xxxx> wrote:
Thanks again for the assistance Andrew. After looking at this, I
am wondering if it is really accomplishing what I am trying to do.
Has anyone here discussed Jay Kaeppel's Relative Strength strategy?
It is a fairly simple in concept, but I am having a difficult time
coding it. His strategy is this:
-Rank the securities by their 40 week Relative Strength. (ROC)
-From the top 8, select five funds for 20% positions each.
-If there are less than 5 funds in the top 8 that are above their
exit, hold cash for that portion.
-Exit if the weekly low is more than $.02 below its 28week EMA.
-If a fund falls out of the top 8, then replace it with the next
candidate.
The code we have so far is only accomplishing half of this strategy-
basically screening securities that are above their EMA, and sorting
them by their RS.
What approach do I need to take to make sure that when a security
falls out of the top x%, or top 8, they are sold and replaced?
Thanks for the help!
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx> wrote:
> 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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