★S&P500 股票交易策略測試 Robert Sucher

     這是一篇擷錄Robert Sucher Jr.的文章，原文有點冗長，所以我只擷取重點，希望可以看看美國那邊股票trader是如何進行股票篩選及交易的。雖然我覺得台股可能不太適用，但是文章選股的邏輯值得大家品味。

測試策略名稱：S&P500 ETF Trading System

(A) 選市選股邏輯： 
     1. 定期挑出S&P500中相對較強的前3個類股其代表性的股票。
     2. 個股的30週移動平均線的斜率必須為正值。

(B) 建立模組時機：
     當S&P500指數30週移動平均線近3週沒有呈現連續下降趨勢。

(C) 進場邏輯：
      1. 股票突破前波高點的1.2倍時進場。
      2. 選出3個類股最強的類股，其所選股票如突歷史新高時進場。
      3. 如果發現資金有限，優先選擇所屬類股是最強勢的的股票進行。

(D) 出場邏輯：
     1. 觸及進場日×0.9為初始停損點。
     2. 收盤跌破近30週移動平均線。
     3. 跌破近期轉折最低點×0.95。 (移動停利)

(E) 測試股票：
S&P500內ETFs: IXP, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, and XLY. (考慮配股配息)，測試週期為1999~2010年。

(F) 期初資金及手續費：
設定初始資金為10萬美元，每次交易成本設為8美元。

(G) 測試結果：

列出原文片段：

Setup and filter conditions:
1. Relative strength: Candidate stocks must be in the top-three
sectors as determined by RS ranking.
2. Overall market: The 30-week SMA of the S&P 500 has not
moved down more than three consecutive weeks.
3. The 30-week SMA of the stock is higher than the previous
week’s SMA value and the closing price is above the SMA.

Enter long if:
1. The stock closes above a prior 20-percent peak, or
2. The stock closes above the previous all-time high. (In this
case, the stock must be in a top sector, but the other setup
conditions do not apply.)
3. In the event of a multiple candidates competing for capital
on the same day, choose the one(s) with the high RS rate-of-change.

Exit rules:
Sell at the market when the stock closes below any of the following:
1. An initial 10-percent stop below the close of the breakout
day;
2. The 30-week SMA;
3. The most recent 5-percent trough low.