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<FONT face=Arial color=#0000ff
size=2>Gary,
<FONT face=Arial color=#0000ff
size=2>
I hope
that you aren't the only person in this group to take the time to read anything
produced by Columbine. I have just about everything that they have
published and find every article to be extremely useful. By the way,
Columbine charges something like $25,000 per year for their services and I
believe that to be a fair price considering the quality of their
work. However, a lot can be learned by simply reading the various
papers that they have presented over the years.
<FONT face=Arial color=#0000ff
size=2>
Yes,
you can do what you are proposing by using AddToComposite, although I'm not 100%
certain what it is that you want to maintain. Have a good look at
the documentation for AddToComposite and get back to me if you need some
help.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Gary A. Serkhoshian
[mailto:serkhoshian777@xxxxxxxxx]Sent: Sunday, September 07, 2003
12:45 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Columbine decile rank idea: Can this be done in
AB?
Chuck hit the nail on the head with his recommendation to read
the Columbine Capital's material !!
I'll have to re-read the docs they have avail on the site a few
more times to allow it to sink in, but Columbine Alpha.pdf really got me
thinking. Specifically, here's the quote that was the catalyst
behind this e-mail :
"At the beginning of every month we measure
each stock’s attractiveness with the
Columbine Alpha and rank-order all the
issues into deciles (equal 10% groupings).
Stocks in the top 10% (ranked
<FONT
color=#0000bf>1<FONT
color=#0000bf>) are most likely to outperform the market, and
those in the bottom 10% (ranked
<FONT
color=#0000bf>10) are
most likely to underperform."
With Frank's PT, we can score and rank,
but sometimes I find that with daily rankings (I'm currently playing around
with Werner Gansz' ncAlpha) the pickings get to be of a relative lower
quality. However, it is difficult to easily quantify what this quality
threshold is as the market cycles through various periods.
This idea is, instead of trading out of
my existing stock if it falls out of the top 10 scored to a "better" top 10
stock, I can trade out it if falls out of the monthly (or whatever historical
period) top 10% and move the money either to a top 10% stock or if there
aren't any go to cash. Sometimes the top 10 at any one time can be below
the historical top 10% threshold, and this is the issue I'm trying to address
(a bit too wordy I'm afraid).
So, my question is - is it possible in
AB to calc percentile rankings on some historical period, save those values on
a go-forward basis and use them as a threshold to determine when to "trade-up"
to something better or go to cash if no alternatives exist.
Hope this is clear. I am realtively new to all this.
So, please be patient if I'm asking some questions that have painfully obvious
answers.
Regards,
Gary
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