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I use pretty much a similar formula. IBD or not, generally, each
philosophy I've read about, for any kind of "secret" ranking is to
basically assign different weights to different periods. Some
techniques use shorter term periods (instead of starting 12 months
ago), while others use different weights.
I completely agree with what you found interesting about negatively
weighting the latest performance. The philosophy there (as I'm sure
you already know) is that stocks that have advanced significantly in
the most recent quarter are ready for a pullback, and those which
have already pulled back, but have been bouncing upwards before that
are ready for rallying again. Personally, I don't use negative weight
for the most recent performance, FWIW, because it interferes with
rest of my strategy, but I agree with the logic. It makes sense for
certain type of strategies.
Phsst, I'm not familiar with Quotes-Plus, but if their formula for
calculating the gain is known (as it sounds like in bluesinvestor's
post below), why can't you just build the rankings for pre-95 years
yourself? I must be missing something...
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> To those of you interested in how IBD calculates its rankings...
>
> 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:
>
> 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.
>
> 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:
>
> 12 month performance +
> 9 month performance +
> 6 month performance +
> two times the 3-month performance
>
> 3. The exact formula used has changed over time and I can't say
for sure
> that the above is being used now.
>
> 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.
>
> 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.
>
> 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.
>
> 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.
>
> 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.
>
>
>
>
>
> -----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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