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Hi Alice --
I'm not sure this is the answer to your question, but it might be helpful.
Write the trading system you have in mind, and test it on one of the issues you want to trade.
Add a line of code that computes the account equity for that issue:
e = equity();
Add another line of code that computes the recent change in equity and assigns that value to PositionScore:
PositionScore = ROC(e,20);
Create a watchlist of all the issues you want to trade. When you run your system on the watchlist, ties will be broken by taking the one(s) with the highest value of PositionScore.
Thanks,
Howard
www.quantitativetradingsystems.com
On Sat, Apr 19, 2008 at 5:11 AM, a_chaabo < a_chaabo@xxxxxxxxxxx> wrote:
I'm trying out a trading strategy that buys and sells when the price
moves around key moving averages. For example, buy when the price
closes above the SMA(20) *AND* the SMA(20) is visibly rising.
On symbols that move up and down a lot - eg: Daily GBPUSD - this
looks by eye to be very proifitable. The price has to go either up or
down from the SMA itself, and there are good swings above/below the
SMA(20).
My question is this: I'm trying to find the best performing symbols
from my database that move up and down regularly by a large amount.
Does anyone have any ideas on how to write a scan / exploration for
this - and rank symbols that move up/down? I tried 52week high = 3x
52 week low, but what I'm looking for is regular (or as regular as
possible) cycles up and down.
Thanks, alice
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