New to P123 and looking to simulate a strategy that I have been using with ETFreplay. Its a fairly simple one but P123 is a little intimidating.
Looking to setup a universe of stocks and take the top 4 performing stocks based on relative strength of the universe. It rotates and rebalances monthly.
It looks like I'll need to setup a universe, a ranking system and then the strategy separately.
Ranking System:
Looking to replicate these RS weights and volatility filter:
I believe these are the nodes for relative strength? Is there one for volatility?
I don't know how ETFReplay defines volatility, but I would use PctDev(20,1)
It is the standard deviation of the daily percentage moves of the closing prices over 20 bars.
Are you looking for stocks with high or low volatility? This selects stocks with high volatility, but stocks with low volatility have historically tended to perform better. Also, check with ETF Replay regarding the 4-week relative strength. Normally you want to buy stocks that dip, which would mean reversing the arrow on that one too.
P123 does not support fractional shares at this time.
