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Foster,
Your detailed reply is most thought-provoking.
As for the equity feed back problem, I think that might be
possible to do in a single AFL code sequence - if one is
trading an ETF (or mutual fund) for each sector.
If one is not trading ETFs but rather is trading one's own
portfolio of stocks from a sector, then things are a lot
more complex because the portfolio equity curve is only
created after the main part of the AFL code has run. In
this latter case, one would have to rename the ~~~Equity
ticker to something like ~EC_1. Then rerun the code for the
next sector and rename that ~~~Equity ticker to ~EC_2, and
so on for all the sectors one is interested in. Then one
would load a new AFL that would just trade ~EC_1, ~EC_2,
etc.
It is important to include reasonable slippage, but one
does not want to include slippage twice. In my mind, it
would be best to set slippage and commissions to 0 (zero)
when creating ~EC_1, etc. and used regular slippage when
switching between ~EC_1 and ~EC_2, etc.
b
--- "Foster J. Castner" <fcastner@xxxxxxxxxxxx> wrote:
> 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
>
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