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1. Copied put the SPDRs into a watchlist.
2. I copied the Droskill's code into the formula editor and saved it.
3. I ran a backtest filtering it just for the SPDR watchlist with the a
start date of July 1, 1999 and an end date of Dec 23 2009.
--- In amibroker@xxxxxxxxxxxxxxx, Bob Waits <bobwaits2@xxx> wrote:
>
> Thanks Donald. Could you walk us through (steps) so that we can
understand how you got these returns?
>
>
>
>
> ________________________________
> From: donald_brown_48367 donald_brown_48367@xxx
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sat, January 2, 2010 12:15:07 PM
> Subject: [amibroker] Re: CXO article
>
>
> As I understand it your code would be duplicating the red line on the
CXO chart. I used your code with a start date of July 1, 1999 and an end
date of Dec 23, 2009 and I got a 53.9% profit over the whole period
which is close to (slightly higher) than the red line on their chart as
this increases from $10,000 to almost $15,000 over the same period. I
used a .25% trading cost.
>
> The results aren't exactly the same for some reason. My results show a
balance drawdown from April 2001 until March 2004. The red line on the
chart appears to be underwater only from July 2002 until September 2003.
>
> --- In amibroker@xxxxxxxxx ps.com, "droskill" droskill@ .> wrote:
> >
> > I've been trying to duplicate the results in this CXO article:
> >
> > http://www.cxoadvisory.com/blog/internal/blog12-22-09/
> >
> > It's a rotational system that trades the top fund from the SPDR
Select series based on a 6 month return as long as it is above the 10
month SMA.
> >
> > I'm not testing it monthly, but here's the daily code I've come up
with:
> >
> > SetBacktestMode( backtestRotation al);
> > SetTradeDelays( 0,0,0,0); // everything delayed 1 day
> > SetOption("UsePrevB arEquityForPosSi zing", True);
> > SetOption("MinShare s", 10);
> > SetOption("AllowPos itionShrinking" ,True);
> > SetOption("AccountM argin",100) ;
> >
> > Totalpositions = 1;
> >
> > MAFilter = C > MA(C,200);
> > PositionScore = MAFilter * ROC(C,120);
> > PositionSize = -100/Totalpositions ;
> >
> > SetOption("WorstRan kHeld", Totalpositions + 1);
> > SetOption("MaxOpenP ositions" , Totalpositions );
> >
> > m = Month();
> > newMonth = m != Ref( m, -1);
> > PositionScore = IIf(PositionScore < 0, 0, PositionScore) ; // Long
only
> > PositionScore = IIf(newMonth, PositionScore, scoreNoRotate) ;
> >
> > My portfolio consists of the nine SPDRs - XLF,XLE,XLP, XLY,XLI,XLK,
XLV,XLB,XLU
> >
> > I've been unable to duplicate anything close to their results -
anybody have any idea of what, if anything, I'm doing wrong?
> >
>
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