Momemtum Strategy - Trading Software

Momemtum Strategy

Husain
2010-08-04 14:53:45

Lets say I have a list of Symbols ( ABC , XYZ , DEF , LMN , UVW etc ) and I want to write a back test strategy in selecting the best performing symbol ( in terms of
absolute return ) in the last 1 month and sell if there is a new symbol which has the maximum return ( out of all the other ones ) or it meets a certain minimum return requirement.

How would I achieve that ?

QuantShare
2010-08-05 05:09:13

Do you want to keep symbols for a minimum number of bars or sell them directly when new symbols rank better than them in terms of last month return?

Husain
2010-08-05 10:57:44

I would like to sell them directly when new symbols rank better than them in terms of last month return .

QuantShare
2010-08-05 11:14:31

Best Answer

The best way to do this is to use the Composite function.

Buy Rule:
comp(perf(close, 25), "rank", 1, close > 2) <= 10

- Buy the top 10 stocks that have the highest perf(close, 25) value.
- Filter stocks using the following rule: close > 2

Sell Rule:
comp(perf(close, 25), "rank", 1, close > 2) > 10

- Sell stocks that are no longer in the top 10

Husain
2010-08-05 16:10:18

That was what I was looking for.Thanks

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