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Rotational trading can be based on most any measure of performance. To my
knowledge, some of the more common measures used are Alpha, return,
multiperiod returns with different weight assignments to the different
periods, relative strength, momentum, , etc. Stops are sometimes employed.
The selection of the individual stocks or funds that makeup the trading
group is also important. Vehicles with high relative correlations (R
Squared) are usually avoided for obvious reasons. Groups made up of stocks
or funds with widely different volatilies are usually avoided because the
same set of parameters will usually not be optimum for all. Sometimes this
can be partially compensated for by dividing by standard deviation or some
other measure of volatility.
Another possible way around the problem associated with greatly different
volatilities (and various other problems) would be to set up individual,
optimum trading systems for each vehicle in the trading group and then setup
a rotational system to trade the equity curves for those individual, optimum
trading systems. The objective would be to stay invested in only the best
performing trading system/vehicle at any given time. Unfortunately, I don't
know how to program that in afl. I posted a request for help with this
problem sometime ago but received no replies. I guess what I need to know
is how to use the equity curve data in a PositionScore statement such as-
PositionScore = EMA(C, 9) - EMA(C, 16);
with the equity curve data replacing the C.
Foster
----- Original Message -----
From: "davelansing2004" <d.ankrapp@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, March 26, 2004 6:06 PM
Subject: [amibroker] Re: Sector Trading (was Metastock...)
> --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> >
> > Like Jim, I am interested in what tips you could give about sector
> > trading. I am just now starting to think there may be a place
> > sector rotation in my trading.
> >
>
> Hello b,
>
> The sector rotation is based on volatility, momentum and monitering
> momentum change over short periods of time (daily time frame)..and by
> no means am I an "expert" in sector rotation but it's practically the
> only thing on my mind when it comes to trading... I should note that
> I trade only Fidelity Select Funds and some Fidelity bond funds when
> there are no good trades with the Select funds.... Fidelity charges
> a 0.75% fee for holding trades less than 30-days, but I'd rather take
> a small loss that includes the short-term redemption fee, then to
> hold on to a large (3% to 4%) losing position until the 30-day
> short-term holding period is over...
>
> Dave
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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