[StephaneFima]

Craig,

In which section of the course did you amend the text about PositionScore?

Thanks

[StephaneFima]

I also rolled the US Momo strategy positions yesterday.

Last month was not so good, but yesterday was nice (check SYY and AWK …).
Let’s hope this will be a good month despite the moto “Sell in May and go away”

PS: My $50m orders went through! (just kidding )

[StephaneFima]

Said,

What period did you take for ADX, +DI and -DI ? On my side I took the the usual 14 days.
For %K, I included the built-in indicator StochK(8,1), i.e. with no smoothing

The results are pretty bad (CAR between -7% and -3% on the S&P 500 / Nasdaq 100), and I think my code is not right. I have now to check it in detail.

[StephaneFima]

Ok. This seems interesting.
I am going to try coding it and then revert to have a chat here on this system.

[StephaneFima]

Thanks Said.
Looking at the figures of the second version of the system, do you have an idea why this strategy is not working during 2014 and 2015?

[StephaneFima]

Well done Said!

[StephaneFima]

Thanks Nick
Would the API work with a Reg T account type?

[StephaneFima]

Thank you Said.
I am going to work on it today.

[StephaneFima]

Thanks Said.

You did not confuse me, on the contrary, that’s clear.
The only thing is that you absolutely need to backtest the strategy with the same ranking condition.
If you have the AFL that would be fantastic!

[StephaneFima]

Thanks Said and Nick.

Quote:

(1) If you’re unsure which trades will be executed the next day, which means you’re using an order type other than MKT, then you’ll need something like the API which Said has guided you to.

All my entries are LMT and I am using the Excel DDE so I do not have any problem linking Amibroker to my IB account.

However, when I run an exploration Amibroker will return all the signals with the number of shares corresponding (for example) to a $10 000 position size for each trade.

This means that if I have 20 signals, and by any chance, all signals go through, I would have then a global position of 20 x 10 000 = $200 000 while my portfolio is $100 000.

Maybe I am missing something here. :blush:

Quote:

(2) If you use a MKT order which definitely triggers an entry without fail, then you’ll need to use a ranking mechanism and only place trades with the top 10 rankings. These also MUST be the same ones that appear in your backtest results.

Yes, that makes sense.

[StephaneFima]

Thank you Maurice. Impressive!

I did not checked the code but just tried to use it “as is” (I just deleted the first few lines dealing with ASX) and I turned off the Price Filter.
From 01/01/05 till today, the CAR / MDD I get are the following:

– S&P 500 => +2.60% / -23%
– Russell 1000 => +3.30% / -31%
– Russell 2000 => +6.11% / -37%
– Russell 3000 => +2.91% / -37%
– Nasdaq 100 => +6.80% / -15%

So, without any further MC analysis, it seems that your system is still profitable on those markets. However, CAR is quite different than on the ASX…
I also tried to test the S&P 500 universe with an Index Filter on the $SPX at MA(100), but strangely it lowers significantly the CAR (+0.5%). MDD is -21%

[StephaneFima]

And yes, your last solution works fine too

[StephaneFima]

Yep. Just did some test (with the explorer) on my solution and it works perfectly well.
I think we were saying the same thing but coded differently.

However, as I said before, I always have some delisted stocks with no GICS number.
Therefore the results of a strategy using this snippet will have some bias (but I think it should be small).

[StephaneFima]

sorry our messages crossed

[StephaneFima]

I think I found something.
Maybe we have to think by exclusion, i.e. if no specifications, Amibroker will consider the entire universe.
So if we do not want to exclude one (or more) sector, it will be equal to 1, otherwise it will be equal to Not InGics(“…”).

The code would then be the following:

Code:

SectTog = ParamToggle (“Sector Filter”,”Off|On”,0);

Energy = ParamToggle(“Energy”,”Included|Excluded”,0);
Materials = ParamToggle(“Materials”,”Included|Excluded”,0);
Industrials = ParamToggle(“Industrials”,”Included|Excluded”,0);
ConsDisc = ParamToggle(“Consumer Discretionary”,”Included|Excluded”,0);
ConsStap = ParamToggle(“Consumer Staples”,”Included|Excluded”,0);
Healthcare = ParamToggle(“Healthcare”,”Included|Excluded”,0);
Financials = ParamToggle(“Financials”,”Included|Excluded”,0);
InfoTech = ParamToggle(“Information Technologies”,”Included|Excluded”,0);
Telco = ParamToggle(“Telecommunication Services”,”Included|Excluded”,0);
Utilities = ParamToggle(“Utilities”,”Included|Excluded”,0);

EnerCond = IIf(Energy ==0, 1, NOT InGics(“10”));
MatCond = IIf(Materials ==0, 1, NOT InGics(“15”));
IndusCond = IIf(Industrials ==0, 1, NOT InGics(“20”));
ConsDiscCond = IIf(ConsDisc ==0, 1, NOT InGics(“25”));
ConsStpCond = IIf(ConsStap ==0, 1, NOT InGics(“30”));
HealthCond = IIf(Healthcare ==0, 1, NOT InGics(“35”));
FiCond = IIf(Financials ==0, 1, NOT InGics(“40”));
ITechCond = IIf(InfoTech ==0, 1, NOT InGics(“45”));
TelcoCond = IIf(Telco ==0, 1, NOT InGics(“50”));
UtiCond = IIf(Utilities ==0, 1, NOT InGics(“55”));

Sectors = EnerCond AND MatCond AND IndusCond AND ConsDiscCond
AND ConsStpCond AND HealthCond AND FiCond AND ITechCond
AND TelcoCond AND UtiCond;

SectFilt = IIf(SectTog,Sectors,1);

Please verify but I think it is working.

There is also a “BUT”
I tried to exclude all of the sectors. I was then expecting no results in the baktester but in fact Amibroker returned signals over some delisted companies.
My guess is that Norgate do not assign GICS code to every stocks and in particular old delisted ones.

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