Click here to Login





                                                   Momemtum Strategy

  0

0
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

  0

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

  0

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

  1

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

  0

That was what I was looking for.Thanks


No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"










QuantShare

Trading Items
Long strategy created with the money management tool
Adaptive BuyInd MR_Mom Strategy
Global Market Rotation Strategy V1.0
Adaptive Strategy Indicator
Stocks Sharp Decline 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
Place a profit stop through Money management strategy
Williams%R trading strategy
Receate ETFReplay strategy
Reuse optimization parameters from Strategy script in Money Mgmt
Convert TOS Strategy to Quantshare 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
6 techniques to improve the performance of your stock trading str...









QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2021 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.