re: [amibroker] Re: Ranking study

[Eric Leake <eleake@xxxxxxxxxxxxxxxxxx>]

Thanks Andrew! That is a big help. I'm sure I'll have more questions, but 
this definitely gets me started. I didn't know about the PositionScore 
function. 
 
 
Eric Leake
 
> Ericlets step through code first.  The line 
>Avg = EMA(Close, 28); needs to be modified as Avg is a predefined 
identifier. It denotes the average price -(High+Low+Close)/3 - so called 
"typical price". The lines > NumColumns = 3;> Column0Name = 
"RS Index";> Column0     = RS;can be replaced 
with AddColumn(rs,"RS Index"); This is just easier.To Rank the 
securities you have to assign a positionScore to each security, you have 
calculated this in your RS array.  To buy 5 positions, set 
PositionSize to -20, this represents 20% of your capital to each position. 
 Note - set Allow Position Size Shrinking in AA settings otherwise you 
will only end up with 4 open positions (each position is 20% + Commission, 
so available capital for 5th position is slightly less than 20%).For 
realistic EOD backtesting results, set tradedelays to 1, set commissions 
large enough to cover both commission + slippage. (I use 1% - large yes but 
if a system can't survive this it is not going to interest me 
anyway).So now our AFL looks something like RS = ROC(Close, 
120);Av = EMA(Close, 28);Exit = Close < Av;PositionScore = 
rs;Buy = Close > Av;Sell = exit;PositionSize = 
-20;SetTradeDelays(1,1,1,1);Filter = GroupID() == 
0;AddColumn(rs,"rel Str");The filter setting is only used in 
explores, so for backtests define the Apply To filter to select Group 0 or 
bactest on all securities and Substitute  Buy = Close > Av AND 
GroupID() == 0;  (first option is probably faster.Hope this 
helpsAndrew --- In

amibroker@xxxxxxxxxxxxxxx, "ericleake" wrote:> Making my first attempt at a very simple Relative Strength scan. > Using the ROC function, I'm able to create a RS number. I'm also > able to code a simple moving average qualifier for a buy signal, as > well as an exit. > > What approach should I use then to rank the securities by their new > RS number, and buy say the top 5? Would the new Percentile function > be the way to handle this? Here is what I have so far:> > Filter = GroupID() == 0;> > RS = ROC(Close, 120);> Avg = EMA(Close, 28);> > Exit = Close < Avg;> > > > NumColumns = 3;> Column0Name = "RS Index";> Column0     = RS;> > Any help would be appreciated!> > -Eric.------------------------ Yahoo! Groups Sponsor ---------------------~-->Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or LexmarkPrinter at MyInks.com. Free s/h on orders $50 or more to the US & Canada.http://www.c1tracking.com/l.asp?cid=5511http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM---------------------------------------------------------------------~-&g t;Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx----------------------------- ------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)- -------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/ < ----------------------- Original Message -----------------------    From: "Andrew" To: amibroker@xxxxxxxxxxxxxxx Date: Wed, 03 Dec 2003 23:15:23 -0000 Subject: [amibroker] Re: Ranking study    Ericlets step through code first.  The line >Avg = EMA(Close, 28); needs to be modified as Avg is a predefined identifier. It denotes the average price -(High+Low+Close)/3 - so called "typical price". The lines > NumColumns = 3;> Column0Name = "RS Index";> Column0     = RS;can be replaced with AddColumn(rs,"RS Index"); This is just easier.To Rank the securities you have to assign a positionScore to each security, you have calculated this in your RS array.  To buy 5 positions, set PositionSize to -20, this represents 20% of your capital to each position.  Note - set Allow Position Size Shrinking in AA settings otherwise you will only end up with 4 open positions (each position is 20% + Commission, so available capital for 5th position is slightly less than 20%).For realistic EOD backtesting results, set tradedelays to 1, set commissions large enough to cover both commission + slippage. (I use 1% - large yes but if a system can't survive this it is not going to interest me anyway).So now our AFL looks something like RS = ROC(Close, 120);Av = EMA(Close, 28);Exit = Close < Av;PositionScore = rs;Buy = Close > Av;Sell = exit;PositionSize = -20;SetTradeDelays(1,1,1,1);Filter = GroupID() == 0;AddColumn(rs,"rel Str");The filter setting is only used in explores, so for backtests define the Apply To filter to select Group 0 or bactest on all securities and Substitute  Buy = Close > Av AND GroupID() == 0;  (first option is probably faster.Hope this helpsAndrew --- In amibroker@xxxxxxxxxxxxxxx, "ericleake" wrote:> Making my first attempt at a very simple Relative Strength scan. > Using the ROC function, I'm able to create a RS number. I'm also > able to code a simple moving average qualifier for a buy signal, as > well as an exit. > > What approach should I use then to rank the securities by their new > RS number, and buy say the top 5? Would the new Percentile function > be the way to handle this? Here is what I have so far:> > Filter = GroupID() == 0;> > RS = ROC(Close, 120);> Avg = EMA(Close, 28);> > Exit = Close < Avg;> > > > NumColumns = 3;> Column0Name = "RS Index";> Column0     = RS;> > Any help would be appreciated!> > -Eric.------------------------ Yahoo! Groups Sponsor ---------------------~-->Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or LexmarkPrinter at MyInks.com. Free s/h on orders $50 or more to the US & Canada.http://www.c1tracking.com/l.asp?cid=5511http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM---------------------------------------------------------------------~-&g t;Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx----------------------------- ------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)- -------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/ Yahoo! Groups Sponsor ADVERTISEMENT Send BUG REPORTS to bugs@xxxxxxxxxxxxx Send SUGGESTIONS to suggest@xxxxxxxxxxxxx ----------------------------------------- Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/) -------------------------------------------- Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.