I am posting main part of my 'stocks on the move' code here:
I use it on Russell 1000 historical constituents. (using premium data alpha program)
SetBacktestMode( backtestRotational );
SetOption("WorstRankHeld", 250); //top 25%
BuyPrice = O;
SellPrice = O;
//Calculate purchase size
lbp = 30; //one month
RiskPerShare = 3 * ATR(lbp);
PositionRisk = 1.5; //PosRisk risk 1.5% of equity
PctSize = PositionRisk * BuyPrice / RiskPerShare;
SPY = Foreign("SPY","C");
SPY200 = EMA(SPY,200);
//sell if SPY below 200day ema
bMacro_SellStocks = (SPY < SPY200) ; //Liquidate holdings
lbp = 90;
AnnualizedSlope = (exp(LinRegSlope(ln(C),lbp))^252) - 1;
Rsq = (Correlation(Cum(1), C, lbp))^2;
ExpectedGain = AnnualizedSlope * Rsq;
Score = 100 + ExpectedGain; //to avoid short selling
Score = IIf(bMacro_SellStock, 0, Score); //no buy if market in downtrend
PositionScore = IIf(DayOfWeek() == 5,Score, scoreNoRotate); //trade once a week
HTH,
Vandan
Posted by: vandan_tanna@yahoo.com
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