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Eric
Forgot to mention, a negative position score indicates a candidate
for shorting, assuming you don't want to short you can prevent
negative position scores by substituting for position score the line
PositionScore = Max(rs * NotExit,0);
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx> wrote:
> 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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