Active Trader 2012-11: Weekly Rotation Strategy: Lowest 20-Day RSI
Author: rmpwealth
Creation Date: 10/20/2012 8:23 PM
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rmpwealth

#1
Are you guys planning to publish code for the subject strategy? If not, may I humbly request that you do? The stategy sounds promising, but from the article it (a) seems to be sensitive to the portfolio to which it is applied, and (b)appears to have drawdowns that are multiples of B&H drawdowns (sounds like the old Sector Rotation Strategy!).

One interesting feature of the subject strategy is an Exit Rule that sells at market the following day any position that exceeds a Maximum Favorable Excursion (whatever that is) of 4% on an intraday basis -- is MFE > 4% simply a profit > 4%? It would be nice if the code would include this parameter as a variable that could be optimized.

Thanks.
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Cone

#2
Before posting it, I need to work on the strategy so that it's useful for trading, i.e., alerts. For ease of programming, it was easier to use "valid peeking" to determine the first and last trading days of the week.

Anyway, if you're anxious, here's the strategy as tested for the article. Note that for this weekly rotation strategy, you must select the DataSet, not just one symbol, and use Daily data.

CODE:
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Cone

#3
The Alert-enabled code is now available. We recommend downloading it directly using the convenient "Strategy Download" feature (found in Wealth-Lab's "Open Strategy" dialog).


Note! The strategy requires the Community.Components extension upgrade to 2012.10, which should be available later today.

For further discussion on this strategy, please visit the strategy's forum.
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rmpwealth

#4
Thanks.
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rmpwealth

#5
I downloaded the Strategy, compiled it, and test-ran it using DataSet = WealthLab 100. Per the Strategy's instructions, I selected DataSet = WealthLab100, not an individual symbol within the DataSet.

Problem: The strategy Buys all 100 symbols every week, instead of Buying only the five symbols with the lowest RSIs.

My other settings were: Scale = Daily; DataRange = 3-Yrs.; and PosSize = $10,000.

Please advise what is wrong.

Thanks.

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Cone

#6
You're running Raw Profit mode instead of a Portfolio Simulation. Use 20% equity sizing for 5 symbols and also bump the Margin setting to 1.05 to avoid getting that 5th position rejected due to price gaps.

The reason you can select the DataSet in this case is because the Strategy uses Position.Priority (based on RSI) to select the trades for the week. All Positions are exited on Friday at the close and the process repeats each week.
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rmpwealth

#7
Thanks.