|
PureBytes Links
Trading Reference Links
|
1. create a watchlist with the symbols - QQQQ, MDY, SPY, DIA, IWM,
IJT, IJS
2. In the AA window - select filter , then click on define and
select the watchlist.
3. Click on settings -> general tab , select daily
on report tab - you can either select trade list or detailed
report
4. Click on back test
5. click on report
Portfolio trading works in back test mode only.
The strategy listed is not doing exactly what I thought it would and
doesn't correlate with what was claimed in the article. It is a work
in progress.
Mohan
--- In amibroker@xxxxxxxxxxxxxxx, "dennisandlisa"
<dennisandlisa@xxxx> wrote:
> Hi...I'm new to Amibroker...can you please explain how to use this
formula...I plugged it onto the Automatic Analysis and nothing
happens.
>
> thank you
> Dennis
> ----- Original Message -----
> From: Mohan Yellayi
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, January 11, 2005 5:57 AM
> Subject: [amibroker] Rotational trading with ETFs
>
>
> Note: cross posting from Amibroker-TS list
>
> With TJ's help, I got this working - the system that was
published in Jan, 2005 issue of TASC, by David Vomund. It may be of
interest.
>
> Mohan
>
> /* AIQ's Releative Strength Short-Term - RSR - from Jan 2005
issue of TASC*/
>
>
>
> /* Take the data of the last 120 days. Break the data into
quarters. Calculate the
>
> percentage price change for each quarter and average them with
the latest quarter's weight
>
> being twice.
>
> At the start of the test, the 2 best performing ETSs are bought,
with equal dollar amounts
>
> to establish a fully invested portfolio. Two weeks later, RSR
report was run again.
>
> If the current holdings were rated as one of the three best in
the report, then there were no
>
> trades. If a holding fell in the RSR report ranking and was no
longer in the top 3, then
>
> it was soldand the highest rated ETF was purchased ( I assume ,
the ETF that was bought cannot
>
> be the same that is already being held in the portfolio ???).
>
>
>
> ETFs used:
>
> DIA, QQQ, SPY, MDY, IJS, IJT, IWM
>
> */
>
>
>
> q0 = (C - Ref(C,-60))/Ref(C,-60);
>
> q1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSR = 100* (2*q0 + q1)/3 + 100;
>
>
>
> Plot(RSR,"AIQ's RSR",colorRed, styleLine);
>
> Plot(MA(RSR,20),"ma(20)",colorWhite, styleLine);
>
>
>
>
>
>
>
> SetOption("InitialEquity", 20000 );
>
> SetTradeDelays(1,1,1,1);
>
> RoundLotSize = 1;
>
>
>
> EnableRotationalTrading(True);
>
> SetOption("MaxOpenPositions", 2);
>
> SetOption("WorstRankHeld", 3);
>
> PositionSize = -50;
>
> MonthChange = Month() != Ref( Month(), -1 );
>
> Rebalance = MonthChange OR Ref( MonthChange, -12); // rebalance
twice a month
>
> PositionScore = IIf( Rebalance, RSR, scoreNoRotate ); /*
scoreNoRotate prevents
>
> rotation in all days except rebalance days. */
>
>
>
> /* The rest of the RSR lines */
>
> /*
>
> a0 = SetForeign("SPY");
>
> qa0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qa1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRa = 100* (2*qa0 + qa1)/3 + 100;
>
>
>
> Plot(RSRa,"AIQ's RSR(SPY)",colorRose, styleLine);
>
>
>
> b0 = SetForeign("QQQQ");
>
> qb0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qb1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRb = 100* (2*qb0 + qb1)/3 + 100;
>
>
>
> Plot(RSRb,"AIQ's RSR(QQQQ)",colorOrange, styleLine);
>
>
>
> c0 = SetForeign("MDY");
>
> qc0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRc = 100* (2*qc0 + qc1)/3 + 100;
>
>
>
> Plot(RSRc,"AIQ's RSR(MDY)",colorYellow, styleLine);
>
>
>
>
>
> c0 = SetForeign("IWM");
>
> qc0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRc = 100* (2*qc0 + qc1)/3 + 100;
>
>
>
> Plot(RSRc,"\n AIQ's RSR(IWM)",colorTurquoise, styleLine);
>
>
>
> c0 = SetForeign("IJS");
>
> qc0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRc = 100* (2*qc0 + qc1)/3 + 100;
>
>
>
> Plot(RSRc,"AIQ's RSR(IJS)",colorTeal, styleLine);
>
>
>
>
>
> c0 = SetForeign("IJT");
>
> qc0 = (C - Ref(C,-60))/Ref(C,-60);
>
> qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
>
> RSRc = 100* (2*qc0 + qc1)/3 + 100;
>
>
>
> Plot(RSRc,"AIQ's RSR(IJT)",colorBrightGreen, styleLine);
>
>
>
> */
>
>
>
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> -------------------------------------------------------------------
-----------
> Yahoo! Groups Links
>
> a.. To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service.
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|