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montypelerin
2018-03-06 12:45:58
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I have a rotational trading system and would like to modify it with a market screen. I will use SPY as a proxy for the overall market.
Here is what I would like to do:
- Set up a series of moving averages for SPY (let's say 5 of them).
- Score the market based on how many of the MA Spy is above. (Simple weighting scheme like a value of X or Y for each MA exceeded by current value of SPY)
- Example scoring 1 or 0 for two shortest MA (ex. 1 if SPY >= MA) and 2 or 0 for intermediate and long-term MA.
- Given this example, the strongest rating would be 8 and the weakest 0.
Then, this rating would be used to modify number of trades or percentage of funds invested in a particular month. I can handle the SPY screening code.
My question is if this code should go into the original system code or whether it more properly belongs as a money management add. I suspect that it could go either place, but would like to see how it would be used in the money management section.
It is unclear to me when and how money management should be used. I am sure others are unsure on this issue.
Any advice is appreciated.
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