[ChrisThong]

Hi Tim,

I read your post in June this year and found that you have done some courses about data science and programming. If I may, can you recommend some courses about data science and programming? Thanks Tim.

[ChrisThong]

First of all, thank you Nick and Craig for helping, and also answering all my questions (including stupid and silly ones)

Just completed a MR strategy and will be trading it in the Russell 1000. Organising my funds at the moment, and hopefully can commence live trading soon.

[ChrisThong]

Thanks Glen. You have given something to compare.

[ChrisThong]

Hi All and Michael,

Sorry to hijack your post as I think it is unnecessary to start a new thread for the same topic.

Attached are the stats of the rotational strategy that I am building. Trading universe is ASX 100 with dividend on. Rules are as follows:

1. Position sizing: volatility based using the code from Said.

2. Ranking: ROC * HV (got this idea from Cesar’s blog)

3. Stock’s close > MA

4. Dual index filter such as fast and slow.

5. Test period: 1/1/2005 to 5/7/2021

6. 10 max positions

7. Worst Rank = 20

With the volatility based position sizing the CAR is 8.77% and MDD is 12.77% MAR 0.68

When it comes to % of equity and a reduced max position to 5, I have CAR 19.45% MDD 24.77% MAR 0.79

My questions are as follows:

1. are the above results in the ball park?

2. Can someone please share some idea for reducing the MDD?

3. I was told that Nick rebalances his monthly rotational system every second week or something like. Wouldn’t that be a fortnightly system?

4. Can someone point me to the direction how to rebalance in the month?

Thank you very much.

[ChrisThong]

Hi Glen,

Thank you for sharing codes!!

One stupid question, if I may. The code “abs(MA(C,50)/MA(C,200)-1)” May I know why is “-1” in it? I have checked the formula for abs in AB help contents and cannot figure out why “-1” is being used.

[ChrisThong]

Hi All,

Can someone please share the formula to calculate weighted ROC?

[ChrisThong]

Hi Tim,

Yes, it is. I am glad that I signed up for this course and be part of this community. Keep learning and improving!!

[ChrisThong]

Hi All,

I found the following codes from Cesar’s Blog, which is relating to exploration of ~~~Equity for drawdown percentage and new equity high.

To explore, please select symbol “~~~Equity” and the date that you wanted to explore.

Code:

//=================================================================================
//Equity exploration parameters
//=================================================================================
Filter = True;
{
eq = C;
drPerc = -100*(eq/Highest(eq) – 1);
barSinNewHigh = BarsSince(drPerc == 0);
dd1 = IIf((barSinNewHigh == 0 AND Ref(barSinNewHigh,-1) != 0) OR (Status(“lastbarinrange”)), 1, 0);
dd1 = IIf(Status(“firstbarinrange”), 1, dd1);
dd2 = IIf(barSinNewHigh == 0 AND Ref(barSinNewHigh,-1) != 0 OR (Status(“lastbarinrange”)), HHV(drPerc, barSinNewHigh) , 0);
ddSort = Sort(dd2);
dn = DateNum();
barsToMdd = IIf(dd1 != 0, HighestSinceBars(Ref(dd1, -1) != 0, drPerc), 0);
}

//=================================================================================
// Equity exploration code
//=================================================================================

{
AddColumn(C,”Equity”);
AddColumn(drPerc,”Draw Down Percent”);
AddColumn(barSinNewHigh,”barSinNewHigh”);
AddColumn(dd1,”dd1″);
AddColumn(dd2,”dd2″);
AddColumn(ddSort,”ddSort”);
AddColumn(barsToMdd,”barsToMdd”);
AddColumn(IIf(dd1==1, Ref(dn, -barsToMdd), 0), “DN MDD”);
AddColumn(BarIndex(), “Bar Index”, 1.0);
}

Code:

[ChrisThong]

Thanks Taranveer. I have been following your journal. Good luck to you too.

[ChrisThong]

Hi Dan, this is Chris here. Me too is a new member here. I am enjoying my course and I hope you are too.

[ChrisThong]

Thanks Nick and me too.

[Author]

Posts