A Monthly Momentum Strategy In ETFs (Sector Rotation Strategy In EEM, SPY, And TLT) (Amibroker Code)

The strategy in plain English:

Data is monthly and we enter and exit on the open next month. The strategy is long the ETF with the best performance over the last month from close to close.

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Amibroker code:

SetBacktestMode( backtestRotational );

SetOption(“initialequity”,100000);

SetOption(“MaxOpenPositions”,1);

SetOption(“WorstRankHeld”,1);

SetPositionSize( 99.5, spsPercentOfEquity );

PositionScore = 1000 +ROC(C,1) ;

 

The exit and entry are on the open the next day, and this needs to be marked off in the “settings” under the tab “trades”. Use monthly bars, not daily, in the settings. By using the “backtestrotational” you can only control the exits and entries via this way.

You also need to create a watch-list containing those three symbols and use the filter in the Analysis window.

 

Tradestation code:

We have no Tradestation code for this strategy because of the complexity of the strategy.

 

Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.