As I understand it your code would be duplicating the red line on the CXO chart. I used your code with a start date of July 1, 1999 and an end date of Dec 23, 2009 and I got a 53.9% profit over the whole period which is close to (slightly higher) than the red line on their chart as this increases from $10,000 to almost $15,000 over the same period. I used a .25% trading cost.
The results aren't exactly the same for some reason. My results show a balance drawdown from April 2001 until March 2004. The red line on the chart appears to be underwater only from July 2002 until September 2003. --- In [email protected], "droskill" <drosk...@...> wrote: > > 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? >
