I need someone to help me setup the ninjascript to back-test, and possibly trade a relative strength ranking model that also includes other indicators as well i.e. SMA, EMA, RSI etc.
I will add a list of symbols that I want to ranked by relative strength the parameters of which (back-test time frames, trailing performance periods, volatility, and input 'weight' etc) I can adjust/optimize as I run the back-test. Initially this will be an end of day strategy although it may become more frequent depending on the backtesting.
1. every X weeks/days/months the system will rank a basket of securities based on 3 parameters which are weighted
1) trailing X day/mo returns (X% weight) 2) Trailing Y daymo returns (X%) weight and 3) Z day/mo trailing volatility.
Every X days/weeks/mo, the system purchases the top X # of securities and holds until the next period ranking. at the next period ranking, the system purchases X# of new positions if different from the existing.
Additional Action variable - I want the system to be able to allow me to set a parameter for the actions above that allows the position to remain in the portfolio until it drops to a rank of 4 or 5 or lower before it is sold.
If you have any questions let me know.
**If Ninjatrader is not your preferred method we're open to other systems that you feel will better meet our needs