As promised, this is my basic dual momentum rotational code, please let me know if you spot any errors.
I'm still working on a system that conducts multiple sorting runs to see if I can get it to work... debugging amibroker can be a real pain tbh...
C++:
//==================================
// Basic Dual Momentum System ===
// AFL By Willzy ===
//==================================
// Be sure to set your trade settings in the settings window because for Rotational Trading Mode, the script code will not work.
// ie BuyPrice = Open, SellPrice = Open.
// --- Include Files --- //
#include_once "Formulas\Norgate Data\Norgate Data Functions.afl"
// --- Functions --- //
//OptimizerSetEngine("cmae");
SetBacktestMode( backtestRotational );
//--- Rotation settings
nPos = 10;//Optimize("nPos",5,3,20,1);
worstRankHeld = 10;//Optimize("worstRankHeld",15,5,20,1);
SetOption("BuyDelay",1);
SetOption("MaxOpenPositions", nPos);
SetOption("WorstRankHeld",worstRankHeld);
//--- account Settings
SetOption( "CommissionMode", 2 );
SetOption( "CommissionAmount", 0 );
//--- All Positions Use Max Available Equity - Compounded Returns
posSize = 100/(nPos);
SetOption("InitialEquity",100000);
SetPositionSize(posSize,spsPercentOfEquity);
// Set Price Arrays for price and vol filters
CloseArray = NorgateOriginalCloseTimeSeries();
VolumeArray = NorgateOriginalVolumeTimeSeries();
priceFilter = CloseArray >= 10;
//--- Set foreign symbol for the indexFilter and Constituents
indexSymbol = "$NDX";
//--- Symbol exists within index at the time
canTrade = NorgateIndexConstituentTimeSeries(indexSymbol);
//--- index Filter
index = Foreign( "$NDX", "Close" );
indexPeriod = 200;
indexFilter = index > MA(index,indexPeriod);
//--- rankingScore
symScore = 0.4 * ROC(C,63) + 0.2*ROC(C,126) + 0.2*ROC(C,189) + 0.2*ROC(C,252);
//---symbol moving up
symbolFilter = C>MA(C,200) AND symScore > 0;
//--- Final Score Function
posScore = Max(0,
canTrade *
priceFilter *
indexFilter *
symbolFilter *
symScore
) ;
//--- rotate only at beginning of the month
Monthly = TimeFrameExpand(1, inMonthly, expandPoint);
PositionScore = IIf(monthly, Ref(posScore,-1), scoreNoRotate);
Filter = 1;
AddColumn( ROC(C,63), "ROC 50",1.4, colorBlack);
AddColumn( ROC(C,126), "ROC 100",1.4, colorBlack);
AddColumn( ROC(C,189), "ROC 250",1.4, colorBlack);
AddColumn( ROC(C,252), "ROC 500",1.4, colorBlack);
AddColumn( indexFilter, "indexFilter",1.4, colorBlack);
AddColumn( symScore, "symScore",1.4, colorBlack);
AddColumn( posScore, "posScore",1.4, colorBlack);
AddColumn( Close, "Close",1.4, colorBlack);
AddColumn( DayOfWeek(), "dayOfWeek",1.1, colorBlack);
.
