MEOM (Monthly End-of-the-Month) trading system
Author: AbsoluteReturn
Creation Date: 1/8/2011 5:41 AM
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AbsoluteReturn

#1
Hi all,

I would like to ask, if someone already tried to code the interesting trading system MEOM in WL6?
This concept is presented by "QuantingDutchman" at his following website:

Strategy 2 – Monthly End-of-the-Month (MEOM)

Seem like a profitable approach with low risk for trading ETF's
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Eugene

#2
Hi,

Although I haven't seen it coded, that shouldn't stop you from making it. The rule-based wizard now has all the conditions required:
QUOTE:
The strategy enters a long position, at the last day of the month, in ETF’s that are trading above a medium term moving avarage (WMA89) of the closing price


Note: the only part that the wizard probably couldn't handle is the market selection logic:
QUOTE:
To determine what two ETF’s are traded, ETF’s are ranked by a calculation that multiplies short-term 2-day returns with long term 2-day returns. The top 2 ETF’s in that ranking are selected.


FYI: I've corrected your raw text links but it's better to wrap them around in a pair of LINK tags when posting. To do this, click the LINK button with your link text selected.
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