The Top Ranked Stocks system periodically ranks the stocks in the portfolio according to one of four user chosen indicators and allocates an equal dollar share of system trading equity to each stock ranking at or above the percentile set by the user. This simple system is long only and trades only on bars when the entire portfolio is reallocated.
The rankings are determined by the user’s choice of one of four available indicators along with a parameter for look-back bars:
•Percent Change – The percentage change in closing price over the look-back number of bars.
•Price vs. EMA - The current closing price as a percentage of the look-back bar EMA.
•Momentum in ATRs – The difference in current closing price versus closing price of look-back bars ago expressed as a percentage of the look-back bar ATR.
•Rate of Change – Built-in Rate of Change of closing prices indicator over the look-back bars.
By default, stocks are ranked from highest to lowest indicator values. The Invert Ranking parameter may be set to “True” to rank stocks from lowest to highest.
The user sets the value of the Reallocate Every N Bars parameter to determine the number of bars that elapse between reallocation of the portfolio. At the beginning of the simulation, the portfolio of stocks is ranked and an initial set of positions chosen. After that, every time the set number of bars elapses, the portfolio is re-ranked and positions are reallocated on the next open.
If a stock was included for the last holding period, and after re-ranking is still included, then the size of the position is adjusted on the next open to represent an equal dollar share of current system trading equity. If a stock is held long but no longer ranks high enough to be included, it is exited on the next open. If there is no position in a stock that now ranks high enough for inclusion, then it enters long on the next open with an equal dollar allocation to all other positions.
Edit Time: 10/10/2017 1:36:30 PM
Topic ID#: 226