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<FONT face=Arial color=#0000ff
size=2>Phsst...
<FONT face=Arial color=#0000ff
size=2>
I'm
sure that you are aware that I'm a "data guy". It sounds to me
like you would very much like to have QRS ranking going back a lot further than
1995? How about we work together to get this information back
to 1982? I say 1982 only because I have nominated that date as
the date where I wish to have my database pretty much solid going
forward. It shouldn't be too big of a job, although I'm
stretched a bit thin right now with moving out of one house and building another
so that I have a place to live. You won't be interested in my
problems, but the weather here has made my life a bit of a challenge with
endless rain putting a halt to my construction efforts every inch of the
way.
<FONT face=Arial color=#0000ff
size=2>
By
work together, I mean that I can build the data and you could compare it with
the results you have been getting since 1995. We could both then see
how it goes backwards from there.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, September 06, 2003 1:23
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
How to calculate RS Rank?Peter,Prior to your
post, I was unaware of the Nov 20, 2000 QRS Accuracysuggestion 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 uponbacktest resulta against my Quotes Plus database. ( No need
toelaborate upon degree of profitability of those stradegies
).What I found was that even a marginally profitable stradegy that
usedany form of trend analysis would get an almost exponential boost
byeither adding or substituting the QP2 QRS rank figure to the
filteringprocess.However QP2's QRS figure is calculated, it is
probably the mostimportant metric that is in my backtesting toolbox (on
both the Longside AND the Short side).Unfortunately, the QRS
figure only goes back to 6/1/1995, which isapparently when it was first
included in the database. This means thatabout 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 includedthe 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@xxxx]
> 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> > > > Yahoo! Groups Sponsor>
ADVERTISEMENT> > > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to suggest@xxxx>
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