Let's say I have a basic momentum rotation model for a universe of domestic ETFs. It is long only (no shorting). I want the system to get out of all ETFs if the S&P 500 crosses below it's 200 day moving average.
One route which works is to merge symbol/date/price data with my S&P 500 model offline and then import it into AB through the ASCII wizard. I have succeeded with this.
I would prefer to do this directly through the formula language in AB, but cannot figure out how to do it. The momentum rotation is feasible, but the market signal eludes me. |