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Hi Gary:
Thanks for your presentation and AFL code! That really
helped me get a grasp of
the PT concept.
I use TC2000 data, and here are my changes to the AFL:
RUT = Foreign("RUT-X","C"); //Foreign("!RUT","C");
TVOLQ = Foreign("COMPQX","V"); //Foreign("!NQ-V","C");
UVOLQ = Foreign("QUVOL","C"); //Foreign("!NQ-AV","C");
DVOLQ = Foreign("QDVOL","C"); //Foreign("!NQ-DV","C");
Could you confirm that the following signal days are
accurate or close for
RUTVOL? I am trying to prove the data I have is good
enough.
3/21/03 BUY
7/29/03 CASH
8/29/03 BUY
9/26/03 CASH
10/13/03 BUY
10/24/03 CASH
11/04/03 BUY
11/18/03 CASH
Thanks!
- Mark
john gibb wrote:
> Hi Gary,
>
> Thanks for the step-by-step instructions!
>
> Questions:
>
> 1) In place of your !NQ-V, !NQ-AV, and !NQ-DV, I
plan on using these
> Esignal counterparts; do they look OK?:
>
> $TVOLQ NASDAQ TOTAL VOLUME
> $UVOLQ NASDAQ UP VOLUME
> $DVOLQ NASDAQ DOWN VOLUME
>
> 2) Could you clarify, in 5.b., '...you may want to
tailor the prices to
> open for testing stocks.' (Does that mean you have
coded using the Close
> somehow and I need to comment it out?)
> 4) When you say, in 5.f., '...check "add artificial
future bar" if you
> want.' does that mean i can expect different results
if I do check that? If
> so, which results might differ.
>
> -john
>
> ----- Original Message -----
> From: Gary A. Serkhoshian
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, November 18, 2003 12:41 PM
> Subject: Re: [amibroker] Instructions on how to use
the RUTVOL timing and BB
> scoring AFL
>
> I meant "Portfolio Backtest" button in step 6 not
optimize.
>
> I need to start making some decent money so I can
hire a secretary.
>
> Rgds,
> Gary
>
> "Gary A. Serkhoshian" <serkhoshian777@xxxx> wrote:
> Hi Wayne !
>
> I've copied the AmiBroker list as several others
have asked the same
> question, and I apologize for not giving more
detailed instructions of "how
> to" related to using the .afl I posted.
>
> Here goes:
>
> 1. Load the afl in AA window.
>
> Starting from Top to Bottom we'll run through the
right column features
> 2. Apply to. Use can select a watchlist of Russell
2K stocks which Fred was
> kind enough to post via "use filter", or just run it
against "all stocks".
> If you run it against all stocks in database, you
may want to add at least a
> volume filter if not a price filter. Example
>
> PRICEOK = C > 5;
> VOLOK = MA(V,21) > 500000;
>
> Then modify position score:
>
> PositionScore = 100 - 100 * (Close - LBBand) /
(UBBand - LBBand) * PRICEOK *
> VOLOK;//0 when C == Upper Band, 100 when C == Lower
Band
> 3. Range. Select whatever time period you'd like. I
run a YTD via "from
> to" dates
>
> 4. Click "check" to make sure all the afl is okay.
It's just a good habit
> : )
>
> 5.a. Click "Settings" button "General" tab.
>
> Make sure "positions" reads long as this is a long
only methodology.
> Periodicity should read daily. I have a round lot
size of 100 and a percent
> commission of 0.5 just to build in some slippage
costs.
>
> 5.b. Click "Trades" tab. Trade delays are already
built in the code of 1
> day, but you may want to tailor the prices to open
for testing stocks.
>
> 5.c. Click "Stops" tab. Make sure all stops are
disabled.
>
> 5.d. Click "Report" tab and select detailed log so
you can see what's going
> on with the selection method.
>
> 5.e. Click " Portfolio" tab and make sure that the
"Pad and align all data
> to reference symbol" is checked and that you have
the Russell 2K symbol as
> the reference since this a general market signal
driven by the Russell.
>
> 5.f. You can check "add artificial future bar" if
you want.
>
> 5.g. Click OK or you can save the settings to
something other than default
> if you want.
>
> 6. Click "Portfolio Optimize" button and voila! You
have results!
>
> That wasn't too painful, was it?
>
> Hope this helps,
> Gary
>
> Wayne Kroutil <wayne100@xxxx> wrote:
> Hi Gary--I downloaded you RUTVOL afl but am not able
to get results with it.
> Would you provide details of how you set it up and
run it.? Thanks a
> million. I have used AB for a year but have not not
done portfolio trading.
> My time has been spent on AA and IB.
>
> Wayne Kroutil
>
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