Uncategories RE: [amibroker] Re: code for Clenow book

RE: [amibroker] Re: code for Clenow book

Coolman 17.14
 

Hi Sean:

Strategy:

1. Russell 1000 universe. Worse rank help: 250
2. point-in-time components ( using IsIndexConstituent("$RUI") fundction of PDU)
3. date range of 1/1/2002 to 6/28/2006,
4. Move to bond etfs (SHY, IEF, or TLT - based on positionscore) when SPY 20 day ema is below 200 day ema
5. Mostly Clenow strategy

A: Risk parity position sizing (1.5 * buyprice / (3*ATR))
CAR: 22.33%;   Trades: 731;   %winner: 59.1% ;   Avg Bars held = 35.22;    MDD = 29.32% (in Q3 2010)

B: Risk parity position sizing (1.5 * buyprice / (ATR))
CAR: 29.59%;   Trades: 374;   %winner: 60.4% ;   Avg Bars held = 36.29;    MDD = 48.1% (in Q4 2014) (`30% in Q3 2010)

C. 1/N sizing using to 12
CAR: 18.18%;    Trades: 1037;   %winner: 56.8%;   Avg Bars held = 35.72;  MDD = 28.61% (in Q3 2010)

Vandan
(I think this is what you were asking for)

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