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

Get more messages

No more messages

Back


Trading Items Averaging Down Money Management Strategy Structural Arbitrage Strategy Global Market Rotation Strategy V1.1 Adaptive Strategy Indicator Connors Alvarez MDD MDU Strategy	How-to Lessons Difference between the watchlist and the screener tools How to create a trading system How to generate buy/sell signals from a trading system How to create and trade a Neural Network model How to add a metric in the trading system simulation report
Related Forum Threads Pair Trading Strategy would be nice! Williams%R trading strategy Receate ETFReplay strategy Set Position Size by Ticker Within Main Strategy Advice on building a trading simulator strategy	Blog Posts Create a trading strategy using the money management tool - Part ... Trading the Strategy Equity Curve How to Backtest a Strategy from a Chart Backtesting a Strategy Based on Bond and Stock Index ETFs Money Management: Scale-in Trading Strategy