I've been trying to duplicate the results in this CXO article:
http://www.cxoadvisory.com/blog/internal/blog12-22-09/
It's a rotational system that trades the top fund from the SPDR Select series
based on a 6 month return as long as it is above the 10 month SMA.
I'm not testing it monthly, but here's the daily code I've come up with:
SetBacktestMode(backtestRotational);
SetTradeDelays(0,0,0,0); // everything delayed 1 day
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("MinShares", 10);
SetOption("AllowPositionShrinking",True);
SetOption("AccountMargin",100);
Totalpositions = 1;
MAFilter = C > MA(C,200);
PositionScore = MAFilter * ROC(C,120);
PositionSize = -100/Totalpositions;
SetOption("WorstRankHeld", Totalpositions + 1);
SetOption("MaxOpenPositions", Totalpositions );
m = Month();
newMonth = m != Ref( m, -1);
PositionScore = IIf(PositionScore < 0, 0, PositionScore); // Long only
PositionScore = IIf(newMonth, PositionScore, scoreNoRotate);
My portfolio consists of the nine SPDRs - XLF,XLE,XLP,XLY,XLI,XLK,XLV,XLB,XLU
I've been unable to duplicate anything close to their results - anybody have
any idea of what, if anything, I'm doing wrong?
