[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Do all trading systems stop working? - Howard Bandy's book

PureBytes Links

Trading Reference Links

 
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi Samantha --
> 
> Thanks for the kind words about my book.
> 
> Could you post the code for the momentum / ROC system you are referring to ?
> 
> Thanks,
> Howard
> 


Howard,

Thanks for your prompt reply. I'm still a loser at AFL programming, but I can give you the system parameters in a few sentences - they are very simple.


a) Trend-following with the 10 month SMA
Buy rule: Buy when monthly price > 10 month SMA
Sell rule: Sell and go to cash when monthly price < 10 month SMA

Asset classes used: S&P500, MSCIA EAFE, 10-year treasuries GSCI commodity index and NAREIT real estate index.

b) Momentum based on rolling 3/6/12 months returns

Take the above five asset classes. Calculate monthly the average of the rolling 3-, 6- and 12-months returns for each one. Buy the top two asset classes with the highest averages. 

Both systems only require monthly rebalancing, so good for retirement portfolios, for example. They should deliver above market returns and lower volatility for any 5-year period consistently.

Does this help you or do you need more from me?

Thanks, Samantha




------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> 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/