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Yup, got it working, thanks!
One methodology that we use is to buy the top x% of a ranked series,
and hold it until it drops below x% in series. For example, buy 5
positions that rank in the top 5th percentile, and hold them until
they either cross the moving average exit, or drop below the top
10th percentile.
Would the new Percentile function handle this, or is there another
way?
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx> wrote:
> Eric
> Which code are you referring to DT's or the rotational trading
AFL.
> The rotational trading AFL does work, just copied it from previous
> message to check. Stocks are sold when they fall below AV exit or
> fall outside the top 8 ranked stocks. I do have set data padding
on
> the Portfolio Tab of the AA settings (you should not need to do
this
> with this simple AFL, but if your data has lots of holes try it
and
> see).
> Andrew
> --- In amibroker@xxxxxxxxxxxxxxx, "ericleake" <eleake@xxxx> wrote:
> > 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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