My version gets 11% CAGR with a -38% maxDD, but it hasn’t accounted for interest on cash and I used monthly bars.

I don’t think I’ve coded in the off switch properly either….

Nick or Craig, how to do you code for interest on cash? Do you use a bonds ETF to do this?

I’ve tried using the following to include the regime filter, seems to worsen results, don’t think I’ve coded it correctly.

Notes:
All weather example
1) If #NYSEHL is up OR SPY is up
2) If above is true, calcuate ROC for SPY and GLD in last 150 days
3) If the ROC is above 0, buy the strongest, if they are below 0, stay cash

Import:
DataSource: Norgate
IncludeList: SPY, GLD {“ETFs”} 
IncludeList: #NYSEHL, $SPX 
StartDate: 1/1/1995 
EndDate: Latest
SaveAs: AllWeather.rtd

Settings:
DataFile: AllWeather.rtd
StartDate: 1/1/2005
EndDate: Latest
BarSize: Monthly
Benchmark: Benchmark
Side: Long
Allocation: S.Equity
EntrySetup: Symbol=$$SPX      
Parameters:

RegimeLen: From 1 to 18 def 12 
RocLen: From 1 to 12 def 3 

Data:
Uptrend: Extern($$SPX, C > MA(C,RegimeLen))
HiLo: Extern($#NYSEHL, C > MA(C, RegimeLen))
Setup: Uptrend or HiLo
MyROC: ROC(C, RocLen)
//MyRank: #rank if(InList(“ETFs”), MyROC, nan) // the “nan” means “don’t rank if not in ETFs list” (you can’t trade $SPX or #NYSEHL)
Myrank: #rank Setup and if(InList(“ETFs”), MyROC, nan) 

Strategy: AllWeather
Side: Long
EntrySetup: MyRank = 1 // top-ranked ETF
ExitRule: MyRank > 1 // no longer top-ranked ETF
Quantity: 100 // 
QtyType: Percent

// To work on
// Check that the uptrend and HiLow indicators are switched on – don’t think they are
// Also need code to account for interest earned on cash ???
// And check that the system is in cash 

I gave it a crack as follows.
Robust feedback on where this is a little bit shite much appreciated. Its the only we we learn right……..!

No commissions included but with only 39 trades this shouldn’t trouble the scorer too much.

Notes: Attempt to replicate “A simple EFT” strategy poste by Nick on Forum.

Import:
DataSource: Norgate
IncludeList: SPY, GLD, $SPX, #NYSEHL
StartDate: 1/1/00
EndDate: Latest
SaveAs: ChartistSimpleEFT.rtd

Settings:
DataFile: ChartistSimpleEFT.rtd
StartDate: 1/1/05
EndDate: Latest
BarSize: Daily
UseAvailableBars: False
AccountSize: 100000

Notes: There are 2 (Filter1) and 2 (Posrank). “//” without backdating the ROC that seems to work better with momo.
Data:
Reggie1: Extern($#NYSEHL, C > MA(C,20)) // Regime Filter – NYSEHL
Reggie2: Extern($$SPX, C>MA(C,200)) // Regime Filter – SPX
ReggieCombo: Reggie1 or Reggie2 // Regime Filter – Combined
//Filter1: ROC(C,150) > 0 // Momentum not backdated – as per Nicks Post
Filter1: ROC(C,150)[20] > 0 // Momentum Backdated by a month works better.
Universe: Symbol == $GLD or Symbol == $SPY // Define Universe to stop $SPX going into trades
canhold: ReggieCombo and Filter1 and Universe
//Posrank: #rank if(canhold, ROC(C,150), -1) // Remove $SPX and #NYSEHL from Ranking – as per Nicks Post
Posrank: #rank if(canhold, ROC(C,150)[20], -1) // ROC Backdated by a month works better.

Parameters:
Positions: 1
Worstrank: 1 // Only 2 symbols

Notes: Benchmark with Dividends reinvested.
Benchmark: SPY
Side: Long
EntrySetup: Symbol=$SPY
ExitRule: Dividend > 0

Strategy: Nick Simple ETF
Side: Long
Quantity: 100 / Positions
QtyType: Percent
MaxPositions: Positions
EntrySetup: EndOfMonth and canhold and Posrank <= Positions
SetupScore: Posrank
ExitRule: EndOfMonth and (!canhold or Posrank > worstrank)

12.6% ROR, 22% maxDD and AvgExp 79%.

And with QQQ instead of SPY…. 15.7% ROR, 20.5% MaxDD and AvgExp 79%.