In TradersStudio it’s easy to implement many strategies which are impossible in other platforms. Let’s look at the concept of relative strength analysis with a filter. This is a powerful but simple concept. We want to buy only the top ranking stocks on a relative basis in each portfolio. We also want to keep our investment in balance, so if one stock increases in value it does not become too large of a percentage of our portfolio. We use dynamic rebalancing, by buying or selling shares once a month in order to have the same dollar value invested in each stock.

TradersStudio has two major constructs; the first is the session. The Session allows us to run a set of rules, a system on one or more markets. We will use this portfolio capability in the following example. Let’s now look at our system as below.

Session Level Code (Trading System)

The code below calculates a “Filter which is price relative to a 200 bar moving average”. We also have a ranking function which is a 50 bar percentage rate of change. We then pass these to the trade plan level. We use the marketvar function to set a MAPermission screen value to true/false.

This system is used for all the sessions which we will use. We will use the Nasdaq 100 stocks in our example and in order to see exactly how this works we will create 3 different sessions.

1. RelativeRankSess1, contains 6 stocks starting with A
2. RelativeRankSess2, contains 4 stocks starting with B
3. RelativeRankSess2, contains 6 stocks starting with C

Since, we are using letters of the alphabet in this test; it will make it easier to see if it’s working correctly. Let’s start with our first trade plan. This trade plan takes the top ranked stock from each session and on passing the permission screen; it will either buy or rebalance it monthly.

Create a trade plan and use the RelativeRankTest script and add all the above three sessions. Make the account size $100,000. Now, run the trade plan. You shall need to select overlapping date rate range since we are doing relative strength analysis.

Let’s first look at our custom ranking function which creates a ranking array for a given session.

The above function is used in the trade plan below; the “Stock plan” which takes the top stocks from each session based on their relative strength measures of custom performance.

You can see that all orders buy and sell “new buy’s” or “buy’s and sell’s” as per the rebalancing done inside the trade plan. Also all exits are (a) a complete exit, if the stock is no longer top ranked or, (b) a partial exit as per the rebalancing done inside the trade plan.

Let’s now look at how this trade plan works. Below are the results of the “Trades for Trade Plan”

Firstly, we can see that we rebalance on the second trading day of the month. Our rebalance active orders are placed when Month(date)<>Month(Date[1]), thus these orders are executed on the next bar. This code selects the top ranked stock from each session and invests in the same. It also ensures that we have an equal dollar value for each stock, for example let’s look at CELG; we purchased 702 shares on 07/05/2006. On 08/02/2006, we exited 18 shares as we now have a higher percentage of our money in CELG. In August we exited the remaining 684 shares and purchased 1423 shares of CSCO.

Likewise, in AKAM we purchased 908 shares on 07/05/2006. Using rebalancing, we exited 77 of them on 08/02/2006. We then exited another 87 on 10/03/2006 as the price of AKAM increases. We finally exited our complete position on 12/04/2006.

Let’s look at our current positions, the number of shares owned in each portfolio are AAPL (165 shares), BBBY (1118) and COST (757). These shall be rebalanced on the first trading day of November.