1. 200 symbols sounds like a lot. Spend some time on CAREFULLY selecting a universe of NON-correlated ETFs. You can find an .afl that produces a correlation matrix either here or at the AB website. Only include low correlated ETFs in your list say < 0.6 and > -0.6 (or whatever bounds you like).
This should drop your list down to several dozen. 2.(with all due credit to Howard Bandy) Think of a reversion to mean system rather than a trend following system you have outlined below. 3.Think about the signal to noise ratio of your ranking system. ROC only uses 2 values to compute the ROC. This produces a very noisy signal and lots of buys / sells based solely on random noise - not good. Think about all of those estimates of the value of the ETF in between. Reef Break "Headed for Acid Drops in a few days - can hardly wait" --- In [email protected], "upsidetarget" <[EMAIL PROTECTED]> wrote: > > I use a simple ETF RS system (on 200 symbols) which I want to put into > Amibroker. Here is what I have so far: > > PosQty = 14; > SetOption("MaxOpenPositions", PosQty ); > PositionSize = -100/PosQty; > PositionScore = ((ROC(C,63)+ROC(C,252))/2); > Buy=ROC(C,63)>0 AND ROC(C,252)>0 AND Percentile(ROC(C),63,69) AND > Percentile(ROC(C),252,69); > Sell=???; > > I don't think this will do it... > > What I want is to take a percentile ranking of ROC(C,63) > and a percentile ranking of ROC(C,252), add them and divide by 2. > > Example: ROC(63) rank = 70, ROC(252) rank = 90 > ... result (70+90)/2=80 [average rank] > > Buy: Average Rank =>80 > Sell: Average Rank <80 > > Problem is, I don't think I can use percentile ranking to get this > done. Is there another way? > > Thank for any ideas... > > Michael >
