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Eric
Now your talking Rotational Trading, different strategy entirely.
In AFL rotational Trading Mode there are no BUY and Sell arguments,
only PositionScore and Stops. Leaving stops aside, we want
PositionScore to reflect RS but also to be set to zero if the close
drops below our exit. Lets modify our exit code to
NotExit = Close > Av;
So our new code looks like
RS = ROC(Close, 120);
Av = EMA(Close, 28);
NotExit = Close > Av;
PositionScore = rs * NotExit; //will set score to zero if <AV
PositionSize = -20;
SetTradeDelays(1,1,1,1);
Now we need to set the worst ranked position held. Top 8 you said so
SetOption("worstrankheld",8);
You also want to set maximum open positions to 5 so
SetOption("maxopenpositions",5);
Our new AFL now looks like
EnableRotationalTrading();
RS = ROC(Close, 120);
Av = EMA(Close, 28);
NotExit = Close > Av;
PositionScore = rs * NotExit; //will set score to zero if <AV
PositionSize = -20;
SetTradeDelays(1,1,1,1);
SetOption("worstrankheld",8);
SetOption("maxopenpositions",5);
//ApplyStop(stopTypeLoss, stopModePercent, 20, True, False, 10 );
//ApplyStop(stopTypeTrailing, stopModePercent, 30, True, False, 10 );
Note the EnableRotationalTrading(); statement at the beginning of
the AFL. A couple of stops to play with at the end.
Hope this helps.
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "ericleake" <eleake@xxxx> wrote:
> --- 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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