ROC Rotation strategy with Evaluation/Trading Period Twist
Author: PFNikolai
Creation Date: 3/27/2016 10:37 PM
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PFNikolai

#1
I've spent a few hours becoming familiar with the pre-made Symbol Rotation strategies available and don't see one that enables testing of the various momentum strategies that have become popular. I have been testing them using Excel but need to make better use of my time.

Is there a strategy that has the following parameters (that can be optimized)?

n Symbols (Position Size in terms of Percent of Equity should correspond with n Symbols; 1=99%, 2=49.5%, 3=33%, 4=24.75%, 5=19.8%)

ROC Period (number of trading days/bars)

Minimum ROC Required (Y/N)

if yes then Minimum ROC Required (%; if Minimum ROC Required but not met then go to cash for that trading segment until next evaluation date for that trading segment)

Evaluation Period (each trading segment is evaluated and traded every x bars)

Trading Period (wait x bars before evaluating and trading next trading segment; number of trading segments should be calculated by dividing Evaluation Period by Trading Period; e.g., if using Evaluation Period of 24 bars and Trading Period of 6 bars then initial capital should be divided into 4 equal trading segments; Evaluation Period divided by Trading Period should produce whole number quotient; Starting Capital for each trading segment should be equal initially and traded on schedule without rebalancing--every 24 bars in example)

The backtest should test each possible starting date (skipping non-trading dates) from initial starting date of first trading segment until get to what would be the initial starting date of the second trading segment. We want relatively tight grouping of high CAGRs from the possible starting dates since do not know in advance which trading date to start on. By breaking Evaluation Period into Trading Periods and backtesting each possible starting date we have enough information to evaluate the consistency of results.

Does that exist?

Thanks!
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Eugene

#2
There's a number of strategies that satisfy your criteria that can be taken as basis and fine-tuned.

1. n Symbols - Yes. You set the Percent of Equity in the position sizing control.

2. ROC - Yes, there's even a ROC rotation strategy. Furthermore, you can adjust an available strategy to use a different criterion such as ROC, RSI, Volatility etc. as per the Wealth-Lab Wiki FAQ: I need other rotation rule other than the built-in RSI

3. Minimum ROC Required. It's a simple double value comparison - a one-liner which you can plug into your rotation 'program'.

4. This is the catch. The custom logic you're asking for is too complicated and specific to be implemented in any public strategy. This would be a custom programming request. The good thing is that it seems like you can get this from WFO (Walk-Forward) Optimization tool. The tool which has been introduced in v6.6 lets apply the optimization logic you requested to any strategy without having to program. Click "WFO" on your strategy's status bar strip to activate it.
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PFNikolai

#3
Thanks for the explanation Eugene

I've dug around a bit and tried different things but am spinning my wheels. Do I open a support ticket to initiate a custom programming request?
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Eugene

#4
No, support doesn't cover custom code or teaching how to program. There's a large number of free web resources, books, tutorials, etc. Many examples are to be found with the application, in the QuickRef, User and Programming Guides, on our forum and the Wiki.

But what makes you think you need it? #1 doesn't require programming, #2 is available, #3 is effortless, and #4 is a built-in feature since v6.6.