Sector Based Index Filter

[ZachSwann]

I put this together for the Australian Market

_SECTION_BEGIN(“AUS Sector Index Filter”);

SectorIndextog = ParamToggle(“AUS Sector Index Filter”,”On|Off”,1);
sectorIndexCode = SectorIndexAUS = IIf(InGics(“10”),Foreign(“$XEJ”,”C”),
IIf(InGics(“15”),Foreign(“$XMJ”,”C”),
IIf(InGics(“20”),Foreign(“$XNJ”,”C”),
IIf(InGics(“25”),Foreign(“$XDJ”,”C”),
IIf(InGics(“30”),Foreign(“$XSJ”,”C”),
IIf(InGics(“35”),Foreign(“$XHJ”,”C”),
IIf(InGics(“40”),Foreign(“$XFJ”,”C”),
IIf(InGics(“45”),Foreign(“$XIJ”,”C”),
IIf(InGics(“50”),Foreign(“$XTJ”,”C”),
IIf(InGics(“55”),Foreign(“$XUJ”,”C”),Foreign(“$XPJ”,”C”)))))))))));//Note if have US data $XAO.au

SectorIndmaper = param(“AUS Sector Index Filter MA Periods”,100,80,120,10);
sectorIndexfilterup = sectorindexcode > MA(sectorindexcode,sectorindmaper);
sectorIndexupfilt = IIf(sectorindextog,1,sectorindexfilterup);
_SECTION_END();

[ZachSwann]

AUS Market Sector Based Index Filter if have both US and AUS data

_SECTION_BEGIN(“AUS Sector Index Filter”);

SectorIndextog = ParamToggle(“Sector Index Filter”,”On|Off”,1);
sectorIndexCode = SectorIndexAUS = IIf(InGics(“10”),Foreign(“$XEJ.au”,”C”),
IIf(InGics(“15”),Foreign(“$XMJ.au”,”C”),
IIf(InGics(“20”),Foreign(“$XNJ.au”,”C”),
IIf(InGics(“25”),Foreign(“$XDJ.au”,”C”),
IIf(InGics(“30”),Foreign(“$XSJ.au”,”C”),
IIf(InGics(“35”),Foreign(“$XHJ.au”,”C”),
IIf(InGics(“40”),Foreign(“$XFJ.au”,”C”),
IIf(InGics(“45”),Foreign(“$XIJ.au”,”C”),
IIf(InGics(“50”),Foreign(“$XTJ.au”,”C”),
IIf(InGics(“55”),Foreign(“$XUJ.au”,”C”),Foreign(“$XPJ.au”,”C”)))))))))));

SectorIndmaper = param(“Sector Index Filter MA Periods”,200,40,400,20);
sectorIndexfilterup = sectorindexcode > MA(sectorindexcode,sectorindmaper);
sectorIndexupfilt = IIf(sectorindextog,1,sectorindexfilterup);
_SECTION_END();

[Nick Radge]

I’d be cautious of using sector based strategies in Australia. Most sectors have one stock that essentially IS the sector because of its weighting – and where that stock moves, so does the sector.

Very different in the US though.

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