end of year trading.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

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//
//  Formula Name:    End Of Year Trading
//  Author/Uploader: cemays 
//  E-mail:          
//  Date/Time Added: 2006-07-09 13:29:46
//  Origin:          Winning with the Dow's Losers by Charles B. Carlson.
//  Keywords:        
//  Level:           basic
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=634
//  Details URL:     http://www.amibroker.com/library/detail.php?id=634
//
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//
//  Trade only Dow Industrial Stocks at the end of year and only buy those
//  stocks that have lost the most the previous year. Doing backtest over from
//  Jan 1, 1995 to Dec 31, 2005 shows a 3 stock portfolio would do the be with
//  a 25% annual gain but had a system drawdown of 38%.
//
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//Set the amount of open positions
PosQty = Param ( "PosQty", 5, 1, 10, 1); // You can define here how many open positions you want
SetOption("MaxOpenPositions", PosQty );

//Divide your total amount of equity across your number of positions.
PositionSize = -100/PosQty; // invest 100% of portfolio equity divided by max. position count

//Buy on the first day of the year
Buy = IIf(DayOfYear() < Ref(DayOfYear(), -1), 1, 0);

//Sell On the Last Day Of the Year (this is only used for backtesting since you will always close your positions
// on the last day of the year.
Sell = IIf(DayOfYear() > Ref(DayOfYear(), 1), 1, 0);

//Determine which of the 30 dow stocks you are going to buy or sell based upon 
//the ones that have went down the most over the past Year
YearRoc = ROC(Close, 252);
// The position score allows you to pick the one that has decreased by the most.  By taking the negative of that 
// you get the one that you want to buy.   You could use PositionScore = YearRoc; if you were  
// looking to Short stocks
PositionScore = -YearRoc;

// This just lets you explore at the end of the year which stocks you would want to buy.
AddColumn(YearRoc, "YearRoc");
Filter = Status("lastbarinrange");