In the Active Trader March 2011 issue, there is an article called “International ETF trading system” by Jay Kappel. We decided to implement a system similar to that one in NeuroShell. There are two charts which you can download. These charts require release 6.0 or better.
The first chart (the unoptimized one), simply buys the top 5 etfs based on the 52 week percent change in price. The way NeuroShell normally works, it can get in on any bar, not just the first of the month. NeuroShell does not mix the funds between stocks, but we set each possible etf to work with a $2000 account. The funds for that etf will increase or decrease if that particular etf gets purchased multiple times.
This first chart exits after 4 weeks in position if it has fallen off the top 5. Final total profit was only a little under $22,000.
In the second chart we decided to find out if the 52 week change and the 4 week holding period could be improved upon by optimization. NeuroShell increased the profit almost five fold to over $100,000 by discovering that it is better to use a 6 week percent change and a 33 week holding period.