|
PureBytes Links
Trading Reference Links
|
The following message may explain:
http://groups.yahoo.com/group/amibroker/message/48476
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "ericleake" <eleake@xxxx> wrote:
> 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|