Sector selection system - need help!
I posted this for Augieboo on the MDA board. Thought someone on this board could help:
I want to set up sector momentum system similar to what Ned Davis Research uses. Here's what I have in mind:
I want to gauge the relative momentum of each DJ sector index used as benchmarks for Profunds sector funds. I think there are 22 Profunds sector funds. First, I would need to calculate the ROC of each indice for several periods; 5 day ROC, 6 day ROC, 7day ROC….all the way to 60 days (I don't know the actual time periods NDR uses, but from what I gather, this would be a pretty good data sample for intermediate term cycles). The ROC for each period would need to be divided by the number of days in the period (this is so longer periods don't dominate the composite). Then, every period would be added together to form a momentum composite for each index.
Next, I want to rank the sectors by their momentum composite, from strongest to weakest every day. If my intermediate timing model is on a buy signal, I want to own the 4 sector Profunds that mirror the top ranked indices. These funds would be sold when they drop below the top 6 ranking OR if my timing model gives a sell signal. New funds would be bought as they enter the top 4. This ranking system could also be used to short ETFs by shorting sectors in the bottom rankings when my model is bearish.
Based on NDR's research and other academic studies I've read, I'm pretty confident this system is a winner. My challenge is in implementing it.
First, the only data I need is closing prices of each DJ sector index. On the surface, it sounds easy. But I don't want to be burdened with entering these manually every day OR paying a wad for data feeds. Do you know of an inexpensive but easy solution?
Second problem, I'm not a math wizard or software programmer and I'm a novice in Excel. I assume my system could be developed just using Excel (?), but I wouldn't have the faintest idea of how to do it. Any suggestions or tips would be appreciated. Do I need to take a class in Excel or is this so simple even an idiot like me could learn just by tinkering?
AI
