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Momentum Rotation Strategy for Amibroker (AFL)
Rating:
3 / 5 (Votes 6)
Tags:
trading system, amibroker, momentum
This strategy is a long only strategy where intermittently all capital is re-balanced to the best performing stock in the selected watch list. Basically the strategy is you buy the stock with the highest current momentum rank and hold while it has the highest rank. If a stock with a better rank comes up you sell and reinvest it in the new stock.
When running this formula in the Automatic Analysis window you must do so on a watch list for it to work.
All credit to the original author TrendXplorer and you can read more on his site here…
Indicator / Formula
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// --- MRS_Optimizable.afl ---
/*
** -----------------------------------------
**
** Momentum Rotation Strategy
**
** idea by Marc Cohn
** http://seekingalpha.com/article/2041703-return-like-a-stock-risk-like-a-bond-15_5-percent-cagr-with-17-percent-drawdown
**
** afl-code by TrendXplorer
** trendxplorer@gmail.com
** www.trendxplorer.info
** version: Mar 22, 2014
**
** -----------------------------------------
*/
// --- backtester settings ---
PosQty = 1; // Position Quantity: max number of positions
SetOption( "CommissionAmount", 0.00 );
SetOption( "InitialEquity", 100000 );
SetOption( "MaxOpenshort", 0 );
SetOption( "MaxOpenLong", PosQty );
SetOption( "MaxOpenPositions", PosQty );
SetOption( "WorstRankHeld", PosQty );
SetOption( "AllowPositionShrinking", True );
SetPositionSize( 100 / PosQty, spsPercentOfEquity );
SetTradeDelays( 0, 0, 0, 0 );
SetBacktestMode( backtestRotational );
Filter = Status( "LastBarInTest" );
// --- inputs ---
MomStart = Param( "Momentum StartValue", 1, 1, 100, 1 );
MomEnd = Param( "Momentum EndValue" , 100, 1, 100, 1 );
AvgStart = Param( "Smooth StartValue" , 1, 1, 30, 1 );
AvgEnd = Param( "Smooth EndValue" , 30, 1, 30, 1 );
MomLength = Optimize( "Momentum Period", MomStart, MomStart, MomEnd, 1 );
AvgLength = Optimize( "Smooth Period" , AvgStart, AvgStart, AvgEnd, 1 );
// --- detect watchlist ---
wlnumber = GetOption( "FilterIncludeWatchlist" );
watchlist = GetCategorySymbols( categoryWatchlist, wlnumber );
// --- ranking routine ---
// based on https://groups.yahoo.com/neo/groups/amibroker/conversations/topics/178791
if ( Status( "stocknum" ) == 0 )
{
StaticVarRemove( "Mom*" );
StaticVarRemove( "RankMom*" );
for ( i = 0; ( symbol = StrExtract( watchlist, i ) ) != ""; i++ )
{
SetForeign ( symbol );
Data = MA( Close, AvgLength );
Mom = ( Data / Ref( Data, -MomLength ) ) * 100;
RestorePriceArrays();
StaticVarSet( "Mom" + symbol, Mom );
}
// generate ranks for Momentum
StaticVarGenerateRanks( "Rank", "Mom", 0, 1224 );
}
// --- get values and ranks for Momentum ---
symbol = Name();
Mom = StaticVarGet( "Mom" + symbol );
RankMom = StaticVarGet( "RankMom" + symbol );
// --- portfolio rebalancing ---
PositionScore = 1000 - RankMom; // always positive to prevent short trades
// --- generate columns for strategy exploration ---
ColorMom = IIf( Mom > 0, colorLime, colorRed );
ColorTopX = IIf( RankMom <= PosQty, IIf( Mom > 0, colorGold, colorRed ), colorWhite );
AddColumn( Mom , "Momentum", 3.3, 1, ColorMom );
AddColumn( RankMom , "RankMom" , 1.0, 1, ColorTopX );
AddTextColumn( Name(), "Tickers" , 1.0, 1, ColorTopX );
if ( Status( "action" ) == actionExplore ) SetSortColumns( -2, 4 ); // sort for Exploration only
// --- end of code ---0 comments
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