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Hi Mark,
I can confirm these with QP3, except -
> 8/29/03 BUY
I see this on 8/27/03.
BTW, Gary, I also want to chime in my thanks. If the parameters
haven't really been optimized since 1998 (am I right in that
understanding?), this signal sure has done very well since then...
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, Mark H <mdhuang@xxxx> wrote:
> 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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