I need help setting up a trading system to backtest a series of trading methodologies (i.e. relative strength rotational ranking model, SMA, EMA 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. similar to [url removed, login to view]
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.