AFL Library

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Details:

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Description:

Trade only Dow Industrial Stocks at the end of year and only buy those stocks that have lost the most the previous year. Doing backtest over from Jan 1, 1995 to Dec 31, 2005 shows a 3 stock portfolio would do the be with a 25% annual gain but had a system drawdown of 38%.

Formula:

//Set the amount of open positions
PosQty = Param ( "PosQty", 5, 1, 10, 1); // You can define here how many open
positions you want
SetOption("MaxOpenPositions", PosQty );

//Divide your total amount of equity across your number of positions.
PositionSize = -100/PosQty; // invest 100% of portfolio equity divided by max.
position count

//Buy on the first day of the year
Buy = IIf(DayOfYear() < Ref(DayOfYear(), -1), 1, 0);

//Sell On the Last Day Of the Year (this is only used for backtesting since you
will always close your positions
// on the last day of the year.
Sell = IIf(DayOfYear() > Ref(DayOfYear(), 1), 1, 0);

//Determine which of the 30 dow stocks you are going to buy or sell based upon

//the ones that have went down the most over the past Year
YearRoc = ROC(Close, 252);
// The position score allows you to pick the one that has decreased by the
most.  By taking the negative of that 
// you get the one that you want to buy.   You could use PositionScore =
YearRoc; if you were  
// looking to Short stocks
PositionScore = -YearRoc;

// This just lets you explore at the end of the year which stocks you would
want to buy.
AddColumn(YearRoc, "YearRoc");
Filter = Status("lastbarinrange");

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