April 2009

ESIGNAL: HIGH RELATIVE STRENGTH MUTUAL FUNDS

For this month’s Traders’ Tip, we’ve provided the formula, GardnerVolatility.efs, based on the formula code from Gerald Gardner’s article in this issue, “Profit With High Relative Strength Mutual Funds.”

The formula plots the indicators as histograms along with labels to signal the entry and exit of a long position. The formula contains parameters that may be configured through the Edit Studies option to change the colors of the indicators, the thickness, as well as the period lengths. The study is a long-only system that colors the background of the study to indicate a long position is in force. The formula is also compatible for backtesting in the Strategy Analyzer.

Figure 2: eSIGNAL, GARDNER VOLATILITY INDICATOR. The eSignal formula plots the indicators as histograms and print labels to enter and exit.

To discuss this study or download a complete copy of the formula code, please visit the Efs Library Discussion Board forum under the Forums link at www.esignalcentral.com or visit our Efs KnowledgeBase at www.esignalcentral.com/support/kb/efs/. The eSignal formula scripts (Efs) are also available for copying and pasting from the Stocks & Commodities website at Traders.com.

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data Corporation.
    2009. All rights reserved. This sample eSignal Formula Script (EFS) is for
    educational purposes only and may be modified and saved under a new file
    name. eSignal is not responsible for the functionality once modified.
    eSignal reserves the right to modify and overwrite this EFS file with each
    new release.

Description:        
    Profit With High Relative Strength Mutual Funds, by Gerald Gardner

Version:            1.0  02/06/2008

Formula Parameters:                Default:
    Volatility HOTFX Color         Blue
    Volatility FHYTX Color         Red
    Volatility HOTFX Color         Green
    Display Cursor Labels          True
    SMA Length For HOTFX           10
    SMA Length For FHYTX           20
    Line Thickness                 2

Notes:
    The related article is copyrighted material. If you are not a subscriber of
    Stocks & Commodities, please visit www.traders.com.
    
**********************************/

var fpArray = new Array();
var bInit = false;
var bVersion = null;

function preMain() {
    setPriceStudy(false);
    setShowCursorLabel(false);
    setShowTitleParameters( false );
    setStudyTitle(“Gardner Volatility”);
    setCursorLabelName(“Volatility HOTFX”, 0);        
    setCursorLabelName(“Volatility FHYTX”, 1);    
    setCursorLabelName(“Close - Avg”, 2);            
    setCursorLabelName(“Sell”, 3);        
    setDefaultBarFgColor(Color.blue, 0);
    setPlotType(PLOTTYPE_HISTOGRAM, 0); 
    setDefaultBarThickness(2, 0);
    setDefaultBarFgColor(Color.red, 1);
    setPlotType(PLOTTYPE_HISTOGRAM, 1); 
    setDefaultBarThickness(2, 1);
    setDefaultBarFgColor(Color.green, 2);
    setPlotType(PLOTTYPE_HISTOGRAM, 2); 
    setDefaultBarThickness(2, 2);
    askForInput();
    var x=0;
    fpArray[x] = new FunctionParameter(“LineColor1”, 
    FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName(“Volatility HOTFX Color”);
        setDefault(Color.blue);
    }    
    fpArray[x] = new FunctionParameter(“LineColor2”, 
    FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName(“Volatility FHYTX Color”);
        setDefault(Color.red);
    }    
    fpArray[x] = new FunctionParameter(“LineColor3”, 
    FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName(“Volatility HOTFX Color”);
        setDefault(Color.green);
    }    
    fpArray[x] = new FunctionParameter(“ViewValue”, 
    FunctionParameter.BOOLEAN);
    with(fpArray[x++]){
        setName(“Display Cursor Labels”);
        setDefault(true);
    }    
    fpArray[x] = new FunctionParameter(“LengthHOTFX”, 
    FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setName(“SMA Length For HOTFX”);
        setLowerLimit(1);		
        setDefault(10);
    }
    fpArray[x] = new FunctionParameter(“LengthFHYTX”, 
    FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setName(“SMA Length For FHYTX”);
        setLowerLimit(1);		
        setDefault(20);
    }
    fpArray[x] = new FunctionParameter(“Thickness”, 
    FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setName(“Line Thickness”);
        setLowerLimit(1);		
        setDefault(2);
    }
}

var xPrice_FHYTX = null;
var xSMA20_FHYTX = null;
var xStdDev20_FHYTX = null;
var xSMA10_HOTFX = null;
var xStdDev10_HOTFX = null;

function main(LengthHOTFX, LengthFHYTX, LineColor1, 
			  LineColor2, LineColor3, Thickness, 
              ViewValue) {
var nbdiffbuy = 0;
var ndiffsell = 0;
var nCloseGreaterSMA10 = 0;

    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;   

    if ( bInit == false ) { 
        setDefaultBarFgColor(LineColor1, 0);
        setDefaultBarThickness(Thickness, 0);
        setDefaultBarFgColor(LineColor2, 1);
        setDefaultBarThickness(Thickness, 1);
        setDefaultBarFgColor(LineColor3, 2);
        setDefaultBarThickness(Thickness, 2);
        setShowCursorLabel(ViewValue);  
        xPrice_FHYTX = close(“FHYTX, D”);
        xSMA20_FHYTX = sma(20, xPrice_FHYTX);
        xStdDev20_FHYTX = efsInternal(“StdDev”, 20, 
        xSMA20_FHYTX);
        xSMA10_HOTFX = sma(10);
        xStdDev10_HOTFX = efsInternal(“StdDev”, 10, 
        close());
        bInit = true; 
    } 

    if (xStdDev20_FHYTX.getValue(0) == null || xStdDev10_HOTFX
       .getValue(0) == null) return;
   
	ndiffbuy = (xPrice_FHYTX.getValue(0) - xSMA20_FHYTX
       .getValue(0)) / (2 * xStdDev20_FHYTX.getValue(0));
    ndiffsell = (close(0) - xSMA10_HOTFX.getValue(0)) / 
    (2 * xStdDev10_HOTFX.getValue(0));
    nCloseGreaterSMA10 = close(0) - xSMA10_HOTFX
    .getValue(0);
     
    if (Strategy.isLong()) {
		if (ndiffbuy < -1 && ndiffsell < -1) {
            Strategy.doSell(“Exit Long”, Strategy.CLOSE, 
            Strategy.THISBAR);
            drawTextRelative(-1, 0, “Exit Long”, Color.black, 
            Color.red, Text.VCENTER | Text.BOLD |  Text.PRESET, 
            null, null, “Txt” + getValue
            (“time”));
		}
    } else {
		if (ndiffbuy > 1) {
			if (nCloseGreaterSMA10 > 0) {
                Strategy.doLong(“Enter Long”, Strategy.MARKET, 
                Strategy.NEXTBAR);
                drawTextRelative(-1, 0, “Long”, Color.black, Color.lime, 
                Text.VCENTER  | Text.BOLD |  Text.PRESET, null, null, “Txt”
                 + getValue
                (“time”));
            }
        }
    }

    if (Strategy.isLong()) setBarBgColor(Color.lightgrey);
    
    return new Array(ndiffsell, ndiffbuy, nCloseGreaterSMA10); 
}

function StdDev(nLength, xSeries) {
var sum = 0;
var avg = 0;
var res = 0;
    if (xSeries.getValue(0) == null) return;
    for (var barsBack = nLength-1; barsBack >= 0; barsBack--) {
        sum += xSeries.getValue(barsBack*(-1));
    }
    avg = sum / nLength;
    sum = 0;
    for (var barsBack = nLength - 1; barsBack >= 0; barsBack--) {
        sum += (xSeries.getValue(barsBack*(-1))-avg)*(xSeries.getValue(barsBack*
        (-1))-avg);
    }
    res = Math.sqrt(sum / nLength);
    return res; 
}

function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, “This study requires version 8.0 or later.”, 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|
            Text.BOLD|Text.LEFT,
            null, 13, “error”);
        drawTextAbsolute(5, 20, “Click HERE to upgrade.@URL=https://www.esignal.
        com/download/default.asp”, 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|
            Text.BOLD|Text.LEFT,
            null, 13, “upgrade”);
        return b;
    } else {
        b = true;
    }
    return b;
}

—Jason Keck
eSignal, a division of Interactive Data Corp.
A subsidiary of TradeStation Group, Inc.
800 815-8256, www.esignalcentral.com

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AIQ: HIGH RELATIVE STRENGTH MUTUAL FUNDS

The Aiq code is shown here for the unilateral pairs-trading system described in “Profit With High Relative Strength Mutual Funds” by Gerald Gardner in this issue.

In the article, the author uses a pair of mutual funds that are highly correlated and uses the less volatile one (Fhtyx) for the purpose of generating trading signals for the more volatile one (Hotfx). However, I was not convinced by the backtest using this pair, since there are very few trades with long holding periods. To test the idea on stocks, I used the Russell 1000 list of stocks and Aiq’s MatchMaker module, which uses the Spearman statistical technique to correlate stocks on a daily or weekly price-change basis. I ran the entire list of Russell 1000 stocks against itself to find the highly correlated stock pairs. Two that were highly correlated are Chevron (Cvx) and Exxon-Mobile (Xom). A second pair was also tested, Lennar (Len) and Toll Brothers (Tol).

I created symmetrical rules to go short (since this was not provided by the author) and tested these two pairs both long and short on a unilateral basis. I used the pyramiding feature of the Portfolio Manager and entered positions in 25% sized positions, one position per day, four maximum positions for each stock. The pyramiding will enter up to 100% of capital if four signals occur in the same direction before an exit signal is generated. However, if only one entry signal is generated before an exit signal, then only 25% of capital will be traded. This approach helped to reduce the drawdowns somewhat.

FIGURE 3: AIQ, PAIR TRADING STRATEGY. Shown here is a consolidated equity curve for unilateral pair trading of CVX (against XOM) and LEN (against TOL) as compared to the buy and hold equity curve for the SPX.

The long side of the two pairs made a small return but had rather large drawdowns relative to the return generated. Neither was able to beat the Spx buy-and-hold over the time period tested (7/1/1986 to 2/10/2009). The short side on both pairs lost money over the test period and also had large drawdowns.

I then consolidated all the tests into a single equity curve. The results are displayed in Figure 3. By consolidating, the final result did barely beat the Spx buy-and-hold, but the drawdowns are still rather large relative to the return. I think using a larger number of pairs and changing the exit so that trades are held for a shorter period of time might improve the system and smooth out the equity curve.

The code can be downloaded from the Aiq website at www.aiqsystems.com and also from www.TradersEdgeSystems.com/traderstips.htm.

!! PROFIT WITH HIGH RELATIVE STRENGTH MUTUAL FUNDS
! Author: Gerald Gardner, TASC, April 2009
! Coded by: Richard Denning 2/09/09
! www.TradersEdgeSystems.com

! PARAMETERS:
   smaLen1 is 	10.
   smaLen2 is 	10.

! ABBREVIATIONS:
   C 		is [close].

! VARIABLES FOR MUTUAL FUND TRADING:
   MF1		is TickerUDF(“HOTFX”,C).
   MF2 		is TickerUDF(“FHYTX”,C).
   sma2 	is simpleAvg(MF2,smaLen2).
   sma1 	is  simpleAvg(C,smaLen1).	
   closeSMAdiff1 is MF1 - sma1.
   closeSMAdiff2 is MF2 - sma2.
   stdDev1 	is sqrt(variance(closeSMAdiff1,smaLen1)).
   stdDev2 	is sqrt(variance(closeSMAdiff2,smaLen2)).
   vtyMF1 	is closeSMAdiff1 / (2 * StdDev1). 
   vtyMF2 	is closeSMAdiff2 / (2 * StdDev2). 

! INSURE INDICATORS HAVE ENOUGH DATA:
   HD 		if hasdatafor(max(smaLen1, smaLen2)+5) 
		>= max(smaLen1, smaLen2).
! BUY RULE (for HOTFX):
   LE_hotfx	if vtyMF2 > 1 and C > sma1 
		and symbol() = “HOTFX”
		and TickerRule(“HOTFX”,HD)
		and TickerRule(“FHYTX”,HD).

! EXIT RULE (for HOTFX):
   LX_hotfx	if vtyMF2 < -1 and vtyMF1 < -1.

! ALTERNATE TEST USING STOCKS:
  ! PAIR1: CVX & XOM, trade CVX as more volatile of pair
  ! PAIR2: LEN & TOL, trade LEN as more volatile of pair
   STK3		is TickerUDF(“CVX”,C).
   STK4		is TickerUDF(“XOM”,C).
   STK5		is TickerUDF(“LEN”,C).
   STK6		is TickerUDF(“TOL”,C).
   sma3 	is simpleAvg(STK3,smaLen1).
   sma4		is simpleAvg(STK4,smaLen2).
   sma5 	is simpleAvg(STK5,smaLen1).
   sma6		is simpleAvg(STK6,smaLen2).
   closeSMAdiff3 is STK3 - sma3.
   closeSMAdiff4 is STK4 - sma4.
   closeSMAdiff5 is STK5 - sma5.
   closeSMAdiff6 is STK6 - sma6.
   stdDev3 	is sqrt(variance(closeSMAdiff3,smaLen1)).
   stdDev4 	is sqrt(variance(closeSMAdiff4,smaLen2)).
   stdDev5 	is sqrt(variance(closeSMAdiff5,smaLen1)).
   stdDev6 	is sqrt(variance(closeSMAdiff6,smaLen2)).
   vtySTK3	is closeSMAdiff3 / (2 * StdDev3). 
   vtySTK4	is closeSMAdiff4 / (2 * StdDev4). 
   vtySTK5	is closeSMAdiff5 / (2 * StdDev5). 
   vtySTK6	is closeSMAdiff6 / (2 * StdDev6). 

! BUY RULE (for CVX):
   LE_cvx 		if vtySTK4 > 1 and STK3 > sma3 
		and symbol() = “CVX”
		and TickerRule(“CVX”,HD)
		and TickerRule(“XOM”,HD).

! BUY RULE (for LEN):
  LE_len 		if vtySTK6 > 1 and STK5 > sma5 
		and symbol() = “LEN”
		and TickerRule(“LEN”,HD)
  		and TickerRule(“TOL”,HD).

! EXIT LONG RULE (for CVX):
   LX_cvx 	if vtySTK4 < -1 and vtySTK3 < -1.

! EXIT LONG RULE (for LEN):
   LX_len 	if vtySTK6 < -1 and vtySTK5 < -1.
	
! SELL SHORT RULE (for CVX):
  SE_cvx		if vtySTK4 < -1 and STK3 < sma3
		and symbol() = “CVX”
		and TickerRule(“CVX”,HD)
		and TickerRule(“XOM”,HD).

! SELL SHORT RULE (for LEN):
   SE_len	if vtySTK6 < -1 and STK5 < sma5
		and symbol() = “LEN”
		and TickerRule(“LEN”,HD)
		and TickerRule(“TOL”,HD).

! EXIT SHORT RULE (for CVX):
   SX_cvx 	if vtySTK4 > 1 and vtySTK3 > 1.

! EXIT SHORT RULE (for LEN):
   SX_len 	if vtySTK6 > 1 and vtySTK5 > 1.

—Richard Denning
richard.denning@earthlink.net
for AIQ Systems

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TRADE NAVIGATOR: HIGH RELATIVE STRENGTH MUTUAL FUNDS

While mutual funds are not currently available through Trade Navigator, Genesis Financial Technologies will be offering mutual fund data for Trade Navigator starting in the second quarter of 2009.

Here, we will show you how to recreate the strategy described in the article “Profit With High Relative Strength Mutual Funds” by Gerald Gardner using Nyfe Crb index and the Dow Jones Industrial Average. The strategy for this article is easy to set up and test in Trade Navigator:

• Go to the Strategies tab in the Trader’s Toolbox.
• Click on the New button. Click the New Rule button.
• To create the long entry rule, type the following code:

  IF (MovingAvg (Close Of “$djia” , 20) - Close Of “$djia”) / (MovingStdDev 
  (Close Of “$djia” , 20) * 2) > 1 And Close > MovingAvg (Close , 10)

• Set the Action to “Long entry (buy)” and the Order Type to “market.”
• Click on the Save button. Type a name for the rule and then click the OK button. Repeat these steps for the long exit rule using the following code:

  IF (MovingAvg (Close Of “$djia” , 20) - Close Of “$djia”) / (MovingStdDev 
  (Close Of “$djia” , 20) * 2) < -1 And (MovingAvg (Close , 20) - Close) / 
  (MovingStdDev (Close , 10) * 2) < -1

• Set the Action to “Long exit (sell)” and the Order Type to “market.”
• Be sure to set the commission/slippage fees options on the Settings tab on the Strategy screen.
• Save the strategy by clicking the Save button, typing a name for the strategy and then clicking the OK button.

You can test your new strategy by clicking the Run button to see a report or you can apply the strategy to a chart for a visual representation of where the strategy would place trades over the history of the chart.

We are providing the strategy discussed here as a special downloadable file for Trade Navigator. Simply click on the blue phone icon in Trade Navigator, select Download Special File, type “SC0409,” and click on the Start button.

FIGURE 5: Trade Navigator, CONDITION SETUP. Here is how to set up the entry rule in Trade Navigator.

—Michael Herman
Genesis Financial Technologies
www.GenesisFT.com

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TRADECISION: HIGH RELATIVE STRENGTH MUTUAL FUNDS

The article by Gerald Gardner in this issue, “Profit With High Relative Strength Mutual Funds,” demonstrates how a timing method applied to correlated mutual funds can maximize profit and reduce drawdown.

Using the Strategy Builder in Tradecision, you can set up a strategy for Gardner’s method. Here is the Tradecision code for the strategy:

Entry Long:
var
  sma_hotfx:=0;
  sma_fhytx:=0;
  vol_fhytx:=0;
  diffbuy:=0;
  ext_fhytx:=0;
end_var

if HISTORYSIZE > 30 then begin
sma_hotfx := SMA(C,10);
sma_fhytx := SMA(External(“close”,”FHYTX”),20);
vol_fhytx:= StdDev(sma_fhytx,20);

if (not IsInPosition()) then begin
ext_fhytx := External(“close”,”FHYTX”);
diffbuy:=(ext_fhytx - sma_fhytx)/(2*vol_fhytx);

if (diffbuy > 1) then begin
if (C > sma_hotfx) then return true;
end;
end;
end;
return false;

Exit Long:

var
  sma_hotfx:=0;
  sma_fhytx:=0;
  vol_hotfx:=0;
  vol_fhytx:=0;
  diffsell:=0;
  c_fhytx:=0;
end_var

if HISTORYSIZE > 30 then begin
sma_hotfx := SMA(C,10 );
sma_fhytx := SMA(External(“close”,”FHYTX”),20 );
vol_hotfx:= StdDev(sma_hotfx,10);
vol_fhytx:= StdDev(sma_fhytx,20);

if (IsInPosition) then begin
c_fhytx := External(“close”,”FHYTX”);
diffsell:=(c_fhytx - sma_fhytx)/(2*vol_fhytx);
if (diffsell < -1) then begin
if (vol_hotfx = 0) then diffsell := C - sma_hotfx;

else diffsell := C - sma_hotfx/(2*vol_hotfx);
if (diffsell < -1) then return true;
end;
end;
end;
return false;

Once the strategy has been applied to the chart (Figure 7), you can view and analyze the Strategy Performance Report (Figure 8) and the Trade Reports.

FIGURE 7: TRADECISION, APPLYING A STRATEGY. Here is a HOTFX chart with an equity curve and strategy applied.

FIGURE 8: TRADECISION, PERFORMANCE REPORT. The return on capital is 7.75%, the percent of profitable trades is 78.57%, and the percent of losing trades is 21.43%.

To import the strategy into Tradecision, visit the area “Traders’ Tips from Tasc Magazine“ at www.tradecision.com/support/tasc_tips/tasc_traders_tips.htm or copy the code from above.

—Yana Timofeeva, Alyuda Research
510 931-7808, sales@tradecision.com
www.tradecision.com

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NINJATRADER: HIGH RELATIVE STRENGTH MUTUAL FUNDS

We have implemented the system discussed by Gerald Gardner in his article “Profit With High Relative Strength Mutual Funds” as a sample strategy available for download at www.ninjatrader.com/SC/April2009SC.zip.

Once it has been downloaded, from within the NinjaTrader Control Center window, select the menu File > Utilities > Import NinjaScript and select the file. This strategy is for NinjaTrader version 6.5 or greater.

You can review the strategy’s source code by selecting the menu Tools > Edit NinjaScript > Strategy from within the NinjaTrader Control Center window and selecting “April2009SC.”

NinjaScript strategies are compiled Dlls that run native, not interpreted, which provides you with the highest performance possible.

FIGURE 10: NINJATRADER, STRATEGY ANALYZER. This screenshot shows the high relative strength strategy backtested in the NinjaTrader Strategy Analyzer.

—Raymond Deux & Josh Peng
NinjaTrader, LLC
www.ninjatrader.com

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VT TRADER: HIGH RELATIVE STRENGTH MUTUAL FUNDS

Our Traders’ Tip submission is inspired by Gerald Gardner’s article in this issue, “Profit With High Relative Strength Mutual Funds.“ We’ll be offering Gardner’s method of calculating volatility as an indicator for download in our online forums. The VT Trader code and instructions for recreating the indicator are as follows:

Gardner’s volatility

1. Navigator Window>Tools>Indicator Builder>[New] button
2. In the Indicator Bookmark, type the following text for each field:

   Name: TASC TASC - 04/2009 - Gardner’s Volatility
   Short Name: vt_tascGardnerVol
   Label Mask: TASC - 04/2009 - Gardner’s Volatility 
   (%price% | %maprice%,%maperiods%,%matype% | %stdevperiods%,%d%)
   Placement: New Frame
   Inspect Alias: Gardner’s Volatility

3. In the Input Bookmark, create the following variables:

   [New] button... Name: price , Display Name: Price , Type: price , 
   Default: close
   [New] button... Name: maprice , Display Name: MA Price , Type: price , 
   Default: close
   [New] button... Name: maperiods , Display Name: MA Periods , 
   Type: integer , Default: 20
   [New] button... Name: matype , Display Name: MA Type , Type: MA Type , 
   Default: simple
   [New] button... Name: stdevperiods , Display Name: Standard Deviations 
   Periods , Type: integer , Default: 20
   [New] button... Name: d , Display Name: Standard Deviations , 
   Type: float , Default: 2.0

4. In the Output Bookmark, create the following variables:

   [New] button...
   Var Name: Gardners_Volatility
   Name: (Volatility)
   Line Color: blue
   Line Width: slightly thicker
   Line Type: solid

5. In the Horizontal Line Bookmark, create the following variables:

   [New] button...
   Value: +0.0000
   Color: black
   Width: thin
   Type: dashed
   
   [New] button...
   Value: +1.0000
   Color: red
   Width: thin
   Type: dashed
   
   [New] button...
   Value: -1.0000
   Color: red
   Width: thin
   Type: dashed

6. In the Formula Bookmark, copy and paste the following formula:

   {Provided By: Capital Market Services, LLC & Visual Trading Systems, LLC}
   {Copyright: 2009}
   {Description: TASC, April 2009 - “Profit With High Relative Strength 
   Mutual Funds” by Gerald Gardner}
   {File: vt_tascGardnerVol.vtsrc - Version 1.0}
   
   Data_MA:= mov(maprice,maperiods,matype);
   Data_StDev:= stdev(Data_MA,stdevperiods);
   Gardners_Volatility:= (price-Data_MA)/(d*Data_StDev);

7. Click the “Save” icon to finish building Gardner’s volatility indicator.

FIGURE 11: VT TRADER, GARDNER’S VOLATILITY. Here is an example of Gardner’s volatility indicator attached to a EUR/USD 30-minute candle chart.

To attach the indicator to a chart (Figure 11), click the right mouse button within the chart window and then select “Add Indicator” -> “TASC - 04/2009 - Gardner’s Volatility” from the indicator list.

To learn more about VT Trader, visit www.cmsfx.com.

—Chris Skidmore, CMS Forex
(866) 51-CMSFX, trading@cmsfx.com
www.cmsfx.com

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WEALTH-LAB: HIGH RELATIVE STRENGTH MUTUAL FUNDS

The Wealth-Lab code to implement the high relative strength mutual fund timing model from “Profit With High Relative Strength Mutual Funds” by Gerald Gardner in this issue is below.

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
     {
	     protected override void Execute()
          {
	            Bars series_bond= GetExternalSymbol(“fhytx”, true);
	            double  diffbuy, diffsell;	
			

SMA sma10_hotfx = SMA.Series(Close,10 );
SMAsma20_fhytx = SMA.Series(series_bond.Close,20 );
		
			
DataSeries Volatil_hotfx = StdDev.Series( sma10_hotfx, 
10,StdDevCalculation.Sample  );
DataSeries Volatil_fhytx = StdDev.Series( sma20_fhytx, 
20,StdDevCalculation.Sample  );			

HideVolume();

for(int bar = Bars.FirstActualBar+90; bar < Bars.Count; bar++)
{
			    
diffbuy = (series_bond.Close[bar] - sma20_fhytx[bar])/(2.0 * 
Volatil_fhytx[bar]);
diffsell = (series_bond.Close[bar] - sma20_fhytx[bar])/(2.0 * 
Volatil_fhytx[bar]);

	if (IsLastPositionActive)
	{
		//code your exit rules here
		if (diffsell < -1.0) 
		{
		// Check if hotfx is heading down.  If not hold 
        on for more
		
		diffsell = (Close[bar] - sma10_hotfx[bar])/(2.0 
        * Volatil_hotfx[bar]);
		}    
				
		
		if (diffsell < -1.0) 
		{ 
		 SellAtMarket(bar + 1, LastPosition, “Sell at Market”);
		}

		// end code your exit rules here
		}
			else
		{
		//code your entry rules here
		if (diffbuy > 1.0)
		{
			if (Close[bar]  > sma10_hotfx[bar])
		{
			 BuyAtLimit(bar + 1, Close[bar]);

			}
		}
		// End code your entry rules here

					
	               }  // End BUY ELSE
	           }
	       }
      }
}

—Gerald Gardner

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