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To
those of you interested in how IBD calculates its
rankings...
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I
cannot get to the books and documents that I need in order to quote the exact
methodology. However, the news is not all
bad:
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<FONT face=Arial color=#0000ff
size=2>1. The primary book that contains that information is "The Hedge
Fund Edge" by Mark Boucher. I can think of dozens of reasons
why this is one of my favourite books and I urge you to have a look at it when
you have some time. Mark goes into a fair amount of
detail as to how IBD calculates (or has calculated) the RS
rankings.
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<FONT face=Arial color=#0000ff
size=2>2. I do have my AFL code that was based on what was quoted in the
book, but I have modified it somewhat. From that code, I can pretty
much confirm what Peter has offered:
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12 month
performance +
9 month performance
+
6 month performance
+
two times the
3-month performance
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size=2>3. The exact formula used has changed over time and I can't say for
sure that the above is being used now.
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size=2>4. As I was saying on another Yahoo board, I don't think our
objective should ever be to exactly match the numbers calculated by someone else
when doing our research. It is more important to come up with
numbers that work well.
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<FONT face=Arial color=#0000ff
size=2>5. Given the basic formula (either from Mark's book or Peter's
email), you have enough to play with using AmiBroker and PT to come up with
something that should work for you. For instance, I did a 15-year
research run on 14,000 stocks where I tried ten different lookback periods,
weighting each lookback period with a different value. This research
ran on ten PC's for over six days and gave me the weightings that I
use.
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<FONT face=Arial color=#0000ff
size=2>6. Amongst the papers that I can't get to right now are several
documents written by Columbine Capital Services in Colorado Springs.
I strongly urge that you do some searching on Google (columbine alpha
forecasting ranking) for some articles that you should find to be of
interest. Amongst the wealth of information generated by this
excellent organisation are several articles on ranking stocks.
If you dig very deep into what is freely available as well as write to them for
reprints of some articles that are not so easily available, you will discover
new and exciting ways of ranking stocks. I won't spoil the fun
for you, but the most interesting thing I found in Columbine's work is the fact
that they negatively rank the performance in the most recent time
period. Think about that one!! If I hadn't
read their articles and attended one or two of their presentations, I would
NEVER have thought of applying a negative weighting to one or more of the
lookback periods.
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<FONT face=Arial color=#0000ff
size=2>7. I'm happy to work with anyone in this area, but I won't be able
to share the exact methodology that I am using. In any event,
what I am using may not work well with the rest of your trading systems and/or
methods.
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I hope
this helps those of you who are interested in ranking. You won't be
able to do the job (as thoroughly) without AmiBroker and PT. If you
don't know about PT, I think you are missing the boat if you want to do any kind
of ranking.
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<FONT
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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