ActiveTrader 2012-05 | Efficient Rotation Strategy [Rev. C] by Eugene


Efficient Stock Rotation

Requires installed Community Indicators extension.

Efficient Rotation is a non-Intraday strategy that continuously holds n stocks of a DataSet that have the highest Kaufman's Efficiency Ratio value averaged over three time frames.  Although the number n is determined by the n Symbols Strategy Parameter, you must adjust Portfolio Simulation Mode sizing appropriately for the number that you select. For example, with 3 symbols you might set 33.3% of Equity sizing. 

To avoid dropped trades due to opening gaps, set the margin factor slightly above 1 (e.g., 1.05:1), or, use a slightly smaller Percent of Equity size.

The Strategy is easy to trade (uses AtMarket orders), but the "Ulcer Index" is high since the Strategy could potentially ride losing positions for large losses. 

Author: Eugene
Category: Symbol Rotation
Creation Date: 5/28/2015
Licence: Freeware
Availability: Globally
Instructions for Script Download
  1. In Wealth-Lab client software, open the Strategy Explorer (Ctrl+O)
  2. Click the "Download..." button
  3. Click "Begin Download"
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