Стратегия для амиброкера

SIMPLE RELATIVE STRENGH AFL FOR AMIBROKER:

2 versions :

1) END OF DAY VERSION

2) INTRADAY VERSION (requires IQ FEED FOR USA test )

1) We rank the daily performance (CC) of our universe in deciles (percentiles).

Next day opening we trade 1 st decile long vs 10 th decile short of yesterdays ranking.

AFL need to be able to choose which decile to trade long or short. Daily Basket Performance is computed open close Excel file is generated of backtest results.

Indicators like COPA (price cop) , TRADE BELOW CLOSE etc. HIST VOL, CONNORS DAILY and WEEEKLY etc are shown from other AFL and their coding can be copied. HEDGING with SPY can also be taken from example AFLs.

2) Intraday version : AFL computes the performance of the universe for the last 15 minutes (15 min bar).

It applies a rank. Next day (trading day ) Afl computes first 15 minutes of the trading day performance (15min bar).

It ranks it. Then AFL does a combined rank of yesterdays and the trading days rank.

Then on next 1 min bar close it should be able to trade best decile vs last decile. ( or other combinations -customized). No indicators etc needed because most of them apply only on opening. Backtestfile should be same like

1. Exportable xls