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Not sure what the S&P 500 Histogram is. Histogram
of what?
Hello all,
I have some experience with writing AFL scripts
to perform
backtesting. I was wondering how I would go about programming
this
scenario.
On a weekly basis, check the SP-500 histogram. A buy
signal is
present so long it is positive, and a short signal if it is
negative.
For a buy signal, go long the strongest ETF from a list of ETFs in
a
watchlist. As long as the buy signal is present, each week select the
strongest ETF from the list. If a short signal is present, each week
select the weakest ETF from the list. Use this as a backtest. I was
thinking of using the ADX or RSI as the ETF selection criteria.
if(
S&P histogram > 0 )
{
each week select the strongest
ETF
}
else
{
each week short the weakest ETF
}
Any
ideas?
Many thanks,
Paul
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