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Peter,
Prior to your post, I was unaware of the Nov 20, 2000 QRS Accuracy
suggestion of Gary Lyben (Quotes Plus Owner).
Here is all that I can offer to this thread:
I have a handful of profitable trading stradegies that are based upon
backtest resulta against my Quotes Plus database. ( No need to
elaborate upon degree of profitability of those stradegies ).
What I found was that even a marginally profitable stradegy that used
any form of trend analysis would get an almost exponential boost by
either adding or substituting the QP2 QRS rank figure to the filtering
process.
However QP2's QRS figure is calculated, it is probably the most
important metric that is in my backtesting toolbox (on both the Long
side AND the Short side).
Unfortunately, the QRS figure only goes back to 6/1/1995, which is
apparently when it was first included in the database. This means that
about 4 or 5 years of prior data simply had a QRS figure of -1... ie.
four or five years of historical data became useless once I included
the QRS metric on my backtests.
All of the above is offered FWIW.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "bluesinvestor" <bluesinvestor@xxxx>
wrote:
> In November 2000, Gary Lyben of Quotes-Plus offered the following
> calculation for RS ranking that he said (at the time) was similar to IBD
> RS ranking.
>
> The new calculation however was rejected by the users due to lack of
> consistency (prior years would have been the old calculation).
>
> Regards,
> Peter
>
> From: Gary Lyben <gary@xxxx>
> Date: Mon Nov 20, 2000 9:09 pm
> Subject: RE: [quotes-plus] QRS accuracy
>
> All -
>
> Attached is a csv file that contains a totally different calculation of
> the qrs.
>
> Look it over and see if it looks better than the current calculation.
>
> This one has ACTP at 18, which is pretty close to IBD.
>
> This is essentially the calculation
>
> 12 month performance + 9 month performance + 6 month performance + 2 * 3
> month performance
>
> versus the current calculation of
>
> performance 4 quarters ago + performance 3 quarters ago + performance 2
> quarters ago + 2 * current quarter performance.
>
> It looks like the attached calculation is better at capturing the
> downtrends, look at NXWX, EVTC, and MITK.
>
> The 99 ranks look like they should be 99's
>
> This is a significant change in the formula, so I'll send out the
> spreadsheets for a while to get your feedback.
>
> The ranks in this spreadsheet are for 11/20/00
>
> Regards
>
> Gary
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Thursday, September 04, 2003 7:32 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to calculate RS Rank?
>
> By using Portfolio Trader, a generic scoring, ranking, trading (GUI &
> AFL)
>
> --- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> > Hello,
> >
> > Has anyone performed calculations of RS Rank using AB, such as the
> > one that IBD provides? Although IBD's formula is secret, lets say
> > that if I define the gain to be simply "ROC(C, 200)", how do I go
> > about ranking the security against all other securities in the DB?
> >
> > I'm new to AB, so my thought process here could be a bit off.
> > Wondering if anyone can think of a better way to do this than
> > following -
> >
> > 1. Grab a list of all stocks in the DB, either thru automation
> > interface or by reading a file.
> > 2. Since there's no array in AFL to iterate these over, write them
> to
> > a file (if read using automation interface).
> > 3. For each ticker in the file, calculate current gain (as above or
> > thru a better formula), and write it to same or another file.
> > 4. Sort tickers in the new file by the gain value.
> > 5. Use a percentile style calculation to generate the rank, either
> by
> > creating percent buckets using value or by using number of
> securities.
> >
> > Is there a better way to do this than above?
> >
> > Thanks in advance.
> >
> > Jitu
>
>
>
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