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Chuck,
Sounds like a good project to work on with excellent potential
paybacks on the effort.
You know my email address.
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Phsst...
>
> 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.
>
> 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.
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Saturday, September 06, 2003 1:23 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to calculate RS Rank?
>
>
> 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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