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.

Get more messages

No more messages

Back


Trading Items How far are the close prices from the support line Invest Available Cash In a Security PEG and Price to Free Cash Flow above Market Averages Interest Rates Historical Data for Australia - Interbank and Targ... ETF Number of securities, percent stock and cash - Historical Dat...	How-to Lessons How to generate buy/sell signals from a trading system How to debug a downloader How to quickly add a ticker symbol How to run QuantShare offline How to plot the relative performance of several stocks/indices
Related Forum Threads How do you retrieve the entry and exit price for a position? How do you lag fundamental data? how do you check if the price data is up to date? how do you restore it to default settings How do you check for NaN?	Blog Posts Let me Show You How to Create Hundreds of Profitable Trading Syst... Fundamental analysis: How to track economic indicators in the For... How to get buy and sell orders for a portfolio based on a trading... How to Backtest Each Stock or Asset Individually How to Optimize a Trading System with Thousands of Billions of Co...