Systems, page-42

afternoon guys.  hope your enjoying the blinding heat.

So @wilfran1pm id like to ask you a reasonably long question for comparison purposes.

Now for anyone reading this, i have not tested the following system im just plucking it out of the air for my question although im happy to test it if anyone wants me to.

How long would it take for you to set up the following system to the point where you could backtest it in amibroker and see CROR, drawdown, winrate etc etc etc.

*vectorvest has some proprietory indicators and i dont know exactly whats in them but ill try use the laymens equivalent.

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starting portfolio size: $10000

positions: 10

 

stock search/selection criteria:

asx 200 stocks

EMA crossover 12day cross 26 day

average daily volume > 50day MA volume

ranking: descending by dividend yield

market timing:

when XJO is >200 day MA always maintain the 10 positions:

when XJO is <200day MA move to cash

system parameters:

invest average portfolio value (example 10000/10 = $1000 to start with)

maintain the 10 positions by automatically replacing closed positions the next day

open a maximum of 2 positions per day

account for brokerage

stop criteria: take profit at 10% gain at EOD price from buy price

stop loss: 5% from buy price at EOD prices

dont buy the same stock for 20 days after closing the trade

purchase maximum 25% of the stocks daily average volume

limit 3 stocks per industry

test period: 1/1/08 - 16/1/19

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