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We are getting closer. However, it doesn't look like the code is
removing tickers that fall out of the top 8, or close below their
moving avg. To check this, I removed any stops. There are positions
being held that are well below their average, and I know were not in
the top 5 RS rank. Does something else need to be added to make it
re-evaluate the condition each period? (daily or weekly)
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx> wrote:
> 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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