The strategy is based mainly on the work done by Mike Carr in his book "Smarter Investing in Any Economy: The Definitive Guide to Relative Strength Investing"
The strategy is as follows:
1.) Each week, calculate the relative strength rank of each ETF. This can be done in any number of ways. I chose to use a ratio of moving averages as done by Carr. The attached file contains the custom indicator used to calculate the RS rank.
2.) Hold the top X-number of ETFs based on relative strength rank.
3.) Sell these ETFs if they fall below a programmed sell-rank and replace with the highest ranked ETF given by that week's calculation.
I've also added a hedge factor to reduce drawdowns. I do not buy ETFs if the S&P is below a programmed moving average. 200-day SMA works well. When backtesting, call it on the "SPY" ETF which tracks the S&P. This is used as the hedging instrument.
I've been backtesting with Yahoo data and I'm showing cumulative profit of close to 400% since 1/1/1999--I'm still trying to optimize.
Also note that I had to manually add the SPDR ETFs via the Instrument manager.
Before it gets picked apart, please know it's my first time developing on the NT platform and this is also free I'm still trying to optimize the input parameters
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