No. of Recommendations: 3
My reading is that it uses 9d WMA not EMA
Create [PcntNHC252WMA9]: [[Weighted Sum of [PcntNHC252] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]/[Weighted Sum of [1] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]]
The following is the output I have from GTR1
Create [NHNLDiff]: Import [NHNLDiff] as signal (screen_number=1, lag_days=0, default_value=0) from
{
Create [StockCount]: [# Eligible at step4]
Create [PcntNHC252]: [100*[[Sum [[[Closing g-price; quote_lag=0 days]/[Highest closing g-price over 251 days; lag=1 days]] > 1 ? 1 : 0] at step4]/[StockCount]]]
Create [PcntNHC252WMA9]: [[Weighted Sum of [PcntNHC252] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]/[Weighted Sum of [1] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]]
Create [PcntNLC252]: [100*[[Sum [[[Closing g-price; quote_lag=0 days]/[Lowest closing g-price over 251 days; lag=1 days]] < 1 ? 1 : 0] at step4]/[StockCount]]]
Create [PcntNLC252WMA9]: [[Weighted Sum of [PcntNLC252] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]/[Weighted Sum of [1] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]]
Create [NHNLDiff]: [1*[PcntNHC252WMA9] - 1*[PcntNLC252WMA9]]
step0: [[1*[Mkt Date as Ordinal; lag=0 days] - 1*[19731217 as market date ordinal 13271]] < 0 ? 3 : [Exchange Code; lag=0 days]] == 3
step1: [Security Type; lag=0 days] == 10,11,18,48
step2: [Mkt Days Since Security Opened; lag=0 days] >= 252
step3: [Rank by [Share Class #; lag=0 days] (Asc), grouped by [Permanent Company ID; lag=0 days], at step3] == 1
step4: [NHNLDiff] == -999999; Cash When None
Holding period = 1 mkt days
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.
Craig
