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)
