Hi, I'm a new trader using Wealth-Lab Pro 6.2.

I'm trying to build a simple model by which to test a mechanical investing strategy for 401ks which would pick the top 5 (of 40) Fidelity sector funds beating the S&P. Hold period would be 30 days. The logic would be something like:

1. For 40 funds, sort on 3 month returns
2. For 40 funds, sort on 1 month returns
3. Exclude top 2 funds if 1 week returns > 50% of 1 month returns

The set of selected funds would be the intersection of 1 and 2 with any funds which match criteria 3 excluded. Could someone point me rules or code which would allow this?

Many thanks,

D

It looks like some code by Eugene does a version of this with those symbols Fidelity Select Sector Fund Rotation System, but only over 30 days. Any way to add in a second condition, like 3 month returns, and keep the intersection?

The "ROC Period" and "Min.holding time" are customizable through Strategy Parameters. See slider controls in the Strategy Parameters frame at the bottom of the Data Panel? Although this particular strategy wasn't coded with 3 months in mind, click the bluish link labels and type any value you want e.g. 90 days of holding time. Hope that helps.