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The Quotes Plus formula is not known to me. If others know it, please
post it.
Or if others have their own AFL formulas for calculating RS then post
them and I'll be happy to report comparisons with QP2 QRS figures.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> 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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