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Using Relative Strength from a Portfolio View

Posted By jhmfin 4 Years Ago
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Posted Thursday December 05 2013
I wish to develop RE code (C# or VB.Net) to use relative strength metrics to determine which securities to purchase or sell. The program would contain a basket of securities (90-120) from which to choose, and would also use stop-loss orders to limit downside risk, as well as other metrics.

So as not to reinvent the wheel, has anyone already developed RE code for this approach?


Thanks!
Jim Morgan
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Posted Friday December 06 2013
Hi Jim. While we don't know exactly what you want to do it is nonetheless certain that it can be done reasonably with RE. This forum can probably be most helpful if we take things a step at a time. It will be more efficient if we help clear up details at each step of development.
- C# is probably the dominate language used. How much experience do you have with it?
- Have you created a watchlist? To start with I would keep it to about a dozen symbols.
- Let's assume an EOD strategy to start with.
- Have you downloaded a few months of historical data from Yahoo? That must be kept up to date each day.
- The manual, particularly the part about "System Strategy Architecture", is going to be quite helpful.
- Look on the RE website under Community > Trading Systems for examples. For example, "Simple Trading System".

Does this get you started?

-Pete

See also Yahoo group about applying RE.

Posted Friday December 06 2013
Hi Pete,

Thanks for your reply! This is for managing client portfolios. What I want to do, in part least, is to create a portfolio of securities (mostly ETFs and some Mutual Funds) from which to purchase. Purchase decisions can be made using several metrics, but mostly those with the highest relative strength rank v. the S&P500 are chosen for purchase in a basket of securities. Stop Loss orders are used to limit downside risk. That's it in a nutshell.

To answer your other questions:
I have no experience with C#, but a lot with VB6. Any suggestions for a quick course.
I don't know how to download from Yahoo yet but will have time to learn this weekend, and haven't created a watchlist. Will try to review the System Strategy Architecture this weekend as well.


Thanks!
JIm
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Posted Friday December 06 2013
It looks like you have filled in your weekend nicely [grin]. Setting up a watchlist and backfilling with the provided Yahoo downloader is a good start. The RE manual is fairly thorough on this.

Here are some ideas on how to get more up-to-speed with C# (and the .NET Framework(s)):
- There is a LOT of information out on the internet. Start with Google. The universities often have free starting-point (PDF) documents.
- You will need a reference document. The "Nutshell" books are pretty good. "C# 5.0" for example.
- "Microsoft Visual C# 2012" is gentler.

You will NOT have to become a C# expert any time soon, so you can plan on taking some time climbing the learning curve. Just a rudimentary grasp of C# suffices to enable one to make quite effective use of RE. A bit of good news there.

-Pete

See also Yahoo group about applying RE.



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