Sounds good Vandan, and your code included one of the suggested filters. But there were other filters.
Bruce, while testing the rankings don't forget that trades are filtered out.
The next rules are the 'filters',
// The Filters
// each chosen stock must be in long term uptrend
// the market must also be in long term uptrend
// avoid stocks with recent large gap trade
// the author was unclear in the book but he meant the gap to be a ONE DAY gap
// gapsize = (Open-Ref(Close, -1))/Ref(Close,-1); // a 15% one day gap almost never happens in the large cap stocks that make up the SP500
// in mid to large cap stocks maybe come up with a different gap
gapsize = (HHV(C,2)-LLV(C,2))/ LLV(C,2); // my version is a two day Highest Close compared to Lowest Close "Gap"
gapFilter = HHV(abs(gapsize), 90) > 0.15; // try different size filters, 0.12 or .18 (12%, 18%, etc)
TrendFilter = C < MA(C, 100 ); // only stocks in an uptrend are eligible
SP500 = Foreign ("$SPX", "C");
IndexFilter = SP500 < MA(SP500, 200 ); // market regime filter
// I want to be a more "elegant" code writer so I tried this
Exclude = gapFilter or TrendFilter or IndexFilter;
// but I couldn't get that to work, so the filters need to be added in a different way
The remaining rules and the "magic" that I think is largely responsible for the outperformance of this stock portfolio is the risk parity position sizing, the rebalancing of position size, and then the rotation.
Posted by: portfoliobuilder99@gmail.com
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