backtesting relative strength
Posted: Fri Jul 07, 2006 12:56 pm
Hi,
I am new to this forum. Great forum here!
I've been doing backtesting mainly in Microsoft Excel, but have been pushing the limits and looking for a real trading/backtesting platform, like Trading Blox.
I've got the demo version and the manual, and am digging through both of those.
One question I have, since I haven't got into the Blox programming side of things yet, is whether you can build a system that compares relative strength of a portfolio of stocks.
For example, in the Turtle rules, if you get multiple simultaneous entry signals, and you can't take them all, then you take the ones with the best relative strength. Can that be programmed into Trading Blox? (Is it already there in the Turtle system in Trading Blox?)
Also, can you get more complicated than that? For example, I built a system in Excel that evaluated relative strength, by comparing a ratio of a stock with all the other stocks in a portfolio, and watching for trending of that ratio, with trends based on 6% reversals. The system compared every stock to every other stock in the portfolio. If a stock turned out to be stronger (i.e., the ratio of ABC to XYZ is in an uptrend), it would score 1 point. So, if there are 12 stocks in the portfolio, the most you can score is 11, meaning you are stronger than every other stock in the portfolio. If you score a 1, it means you are pretty weak, stronger than only one other stock in the portfolio. The system would then stay in positions that scored 10 or higher, and rotate the stocks every week or month or whatever.
The system generates good returns (35-45%) over a 20-year period, but with also big, long-lasting drawdowns. But with Excel, I can't really add any more testing parameters because it's just too unwieldy and starts crashing. I also can't add any more than 12 stocks to the portfolio, which is severely limiting.
I perhaps should clarify that by the term "relative strength" I don't mean RSI, but instead I mean comparing the performance of one stock to another, or to a basket of other stocks.
This is an example of the kind of thing I'd like to test. I like the flexibility of Excel because I can make it do whatever I want, but again I am just pushing the limits, especially when I try to add in position sizing, risk management, and other essential elements.
Thanks very much!
I am new to this forum. Great forum here!
I've been doing backtesting mainly in Microsoft Excel, but have been pushing the limits and looking for a real trading/backtesting platform, like Trading Blox.
I've got the demo version and the manual, and am digging through both of those.
One question I have, since I haven't got into the Blox programming side of things yet, is whether you can build a system that compares relative strength of a portfolio of stocks.
For example, in the Turtle rules, if you get multiple simultaneous entry signals, and you can't take them all, then you take the ones with the best relative strength. Can that be programmed into Trading Blox? (Is it already there in the Turtle system in Trading Blox?)
Also, can you get more complicated than that? For example, I built a system in Excel that evaluated relative strength, by comparing a ratio of a stock with all the other stocks in a portfolio, and watching for trending of that ratio, with trends based on 6% reversals. The system compared every stock to every other stock in the portfolio. If a stock turned out to be stronger (i.e., the ratio of ABC to XYZ is in an uptrend), it would score 1 point. So, if there are 12 stocks in the portfolio, the most you can score is 11, meaning you are stronger than every other stock in the portfolio. If you score a 1, it means you are pretty weak, stronger than only one other stock in the portfolio. The system would then stay in positions that scored 10 or higher, and rotate the stocks every week or month or whatever.
The system generates good returns (35-45%) over a 20-year period, but with also big, long-lasting drawdowns. But with Excel, I can't really add any more testing parameters because it's just too unwieldy and starts crashing. I also can't add any more than 12 stocks to the portfolio, which is severely limiting.
I perhaps should clarify that by the term "relative strength" I don't mean RSI, but instead I mean comparing the performance of one stock to another, or to a basket of other stocks.
This is an example of the kind of thing I'd like to test. I like the flexibility of Excel because I can make it do whatever I want, but again I am just pushing the limits, especially when I try to add in position sizing, risk management, and other essential elements.
Thanks very much!