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Hello all,
I have some experience with writing AFL scripts to perform
backtesting. I was wondering how I would go about programming this
scenario.
On a weekly basis, check the SP-500 histogram. A buy signal is
present so long it is positive, and a short signal if it is negative.
For a buy signal, go long the strongest ETF from a list of ETFs in a
watchlist. As long as the buy signal is present, each week select the
strongest ETF from the list. If a short signal is present, each week
select the weakest ETF from the list. Use this as a backtest. I was
thinking of using the ADX or RSI as the ETF selection criteria.
if( S&P histogram > 0 )
{
each week select the strongest ETF
}
else
{
each week short the weakest ETF
}
Any ideas?
Many thanks,
Paul
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