Trading on ETF based on its component stocks
Author: giorgos
Creation Date: 12/8/2012 4:17 PM
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giorgos

#1
Need some help with a strategy. I want to buy or short the DIA when the majority of the 30 stocks in its index are bullish or bearish. A stock is bullish if its OBV is above the OBV 20 day SMA and steady or rising and it’s bearish if it is below and falling.
Any suggestions help on how to go about it would be greatly appreciated.
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Eugene

#2
Since you didn't specify exit conditions, I reversed the entry conditions.

Run in single symbol mode on any stock in your Dow 30 (!) DataSet.
CODE:
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Eugene

#3
And here is a stop-and-reverse system based on your rules:
CODE:
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giorgos

#4
This is great thanks. With a little tweaking picks up all major moves on the up and down and outperforms. Need to figure out some filtering for some of the noisy trades.