How do you go to cash in a simulation?

How do you go to cash in a simulation?

Chaim6
2014-09-15 23:24:30

How can I go to "cash" (i.e. TLT) if the highest ranked ETF in my system is below it's moving average?

Here is the relevant code from the simulation:

r = Close/Close[63]-1;
SetSimLongRank(r);
timing = Close < SMA(200);
cashFund = StringEqual(Name(), "TLT");
Buy = Iff(timing, cashFund, !cashFund);

Obviously this code doesn't do the job. How can I modify it to go to TLT if the *highest* ranked symbol is below its moving average?

Thanks.

QuantShare
2014-09-16 05:11:58

Note that QS formula is executed individually for each symbol.
If you need a rule or something that interacts between several symbols then you must use the money management script.

Chaim6
2014-09-16 15:01:29

Thanks. After thinking it over, one workaround that should work before using the money management script (which is still a bit intimidating for me) is to use the Comp with Percentile, manually set the rank for the cash ticker to a lower number, and pick the and filter for the SMA rule if the ticker != cash.

EDIT:

cashFund = StringEqual(Name(), "TLT");
// IsNA() is a custom function that replaces all NAs in a vector with the second parameter
r = IsNA(Comp(Close[0]/Close[63]-1, "Percentile!", 1, 1, "AAA;BBB;CCC;DDD"), -1);
SetSimLongRank(r);
Buy = Close > SMA(P_SMA) || cashFund;

This seems to work. I am doing some more testing to verify it.

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