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RE: [AmiBroker] Re: Z Score ?



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<FONT face=Arial color=#0000ff 
size=2>Al,
<FONT face=Arial color=#0000ff 
size=2> 
You 
have been most helpful and<FONT 
face=Arial color=#0000ff size=2> bring up some great 
points...
<FONT face=Arial color=#0000ff 
size=2>Somehow in reading Tharp, I blew past (or forgot) some Kaufman 
points (efficiency ratio) e.g. pg 191.
Let me 
digest it, work on it and get back to you.  
<FONT 
face=Arial color=#0000ff size=2> 
Thank 
you very much !
Happy 
Holidays.
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>Marc

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Al Venosa 
  [mailto:advenosa@xxxxxxxxxxxx]Sent: Monday, December 08, 2003 5:24 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [AmiBroker] 
  Re: Z Score ?
  Mr. Valley:
   
  It appears you are asking 2 different questions that are somewhat 
  related but not used in the same way: first, the Z-score as an entry filter 
  and a 3*ATR trailing stop in a Tharp position size statement. First, regarding 
  the Tharp positionsize statement, here is how you would combine a max 
  stoploss, a trailing profit target stop (chandelier exit), and a 
  positionsize statement:
   
  Cstop = optimize(Cstop, 3,1,4,0.5); //the ATR multiplier
  ApplyStop(0,2,Cstop*ATR(10),True, False); //if Cstop is 3, this would be 
  a 3*ATR stoploss calculated from the entryprice
  PositionSize = iif(Buy, -1 * BuyPrice/(Cstop*ATR(10)), -1 * 
  ShortPrice/(Cstop*ATR(10))); //for going long or short
  ApplyStop(2,2,3*ATR(10),True, True); //this will exit you at 3*ATR below 
  the highest high since the trade was initiated (or lowest low on the short 
  side). 
   
  The Z-score, which you defined as Zscore = (C - 
  ref(C,-x))/stdev(C,x) sounds like it is very similar in principle to 
  Tharp's Efficiency Index, which is defined as EI = (C - ref(C,-x)/ATR(x). I 
  think the way you would use it would be as a boolean Buy (or Short) qualifier. 
  In other words, something like this:
   
  Buy = <your normal buy rules> AND Zscore > y; // or
  Buy = <your normal buy rules> AND EI > y; //where y is an 
  optimizable variable. 
   
  What this says is that you buy when the Zscore or Efficiency Index is 
  greater than some scalar defined from an optimization. An efficient stock is a 
  stock whose price movements are high relative to its volatility changes (i.e., 
  the price change is high but the volatility change is minor). So, if a stock 
  increases by 3 points while its volatility only increases a little, that's 
  good because it gives you greater profitability at a given volatility. 
  Examining the formulas above, the positionsize is determined by the stock's 
  underlying volatility. If a stock has a low volatility, you would buy more of 
  it than another stock whose volatiltiy is higher. If its price increases 
  without a significant move in volatility, it is said to be efficient in 
  regards to the changes. If you have a stop and reverse type system, you would 
  re-enter on the short side at a higher price and at similar volatility as when 
  you bought it. 
   
  Hope this makes sense.
   
  Al Venosa
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Mr 
    Valley 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Monday, December 08, 2003 10:01 
    AM
    Subject: RE: [AmiBroker] Re: Z Score 
    ?
    
    <FONT face=Arial color=#0000ff 
    size=2>Howard,
    <FONT face=Arial color=#0000ff 
    size=2> 
    I 
    was thinking of using it on the entry side.
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>I'm trying to figure out them implementation of 
    it.
    <FONT face=Arial color=#0000ff 
    size=2> 
    1% 
    risk per position
    3 
    * ATR trailing exit stop
    <FONT face=Arial color=#0000ff 
    size=2> 
    To 
    implement on Stocks and futures
    <FONT face=Arial color=#0000ff 
    size=2>Thanks,
    <FONT face=Arial color=#0000ff 
    size=2>Marc
    
      <FONT face=Tahoma 
      size=2>-----Original Message-----From: Howard Bandy 
      [mailto:howardbandy@xxxxxxxxx]Sent: Monday, December 08, 2003 
      7:10 AMTo: <A 
      href="">amibroker@xxxxxxxxxxxxxxxSubject: 
      RE: [amibroker] Re: Z Score ?
      
      <SPAN 
      >Hi Mr Valley 
      –
      <SPAN 
      > 
      <SPAN 
      >I do use ZScore 
      in a lot of my systems.  Do you have a specific Tharp idea in 
      mind?
      <SPAN 
      > 
      <SPAN 
      >Howard
      <SPAN 
      > 
      <DIV 
      >
      <SPAN 
      >-----Original 
      Message-----From: Mr 
      Valley [mailto:valleymj@xxxxxxxxxxx] <SPAN 
      >Sent: Sunday, December 07, 2003 9:50 
      AMTo: 
      amibroker@xxxxxxxxxxxxxxx<SPAN 
      >Subject: RE: [amibroker] Re: Z Score 
      ?
      <SPAN 
      > 
      
      <SPAN 
      >Thank 
      you.
      
      <SPAN 
      > 
      
      <SPAN 
      >Has anyone done 
      anything extensive with say, combining Tharp, with Z 
      Score?
      
      <SPAN 
      > 
      
      <SPAN 
      >Mr 
      Valley
      
        <FONT face=Tahoma 
        size=2>-----Original 
        Message-----From: 
        the_chairmann [mailto:jhart_1972@xxxxxxxxx]<SPAN 
        >Sent: Sunday, December 07, 2003 
        7:17 AMTo: 
        amibroker@xxxxxxxxxxxxxxx<SPAN 
        >Subject: [amibroker] Re: Z Score 
        ?
        <SPAN 
        >Here's the indicator 
        formula:<SPAN 
        ><FONT 
        face="Courier New">periods=20;<FONT 
        face="Courier New">ZScore=(Close-MA(Close,20))/StDev(Close,20);<FONT 
        face="Courier New">Plot (MA(ZScore,3), "Z-Score 3 Day 
        MA",6,4);Plot 
        (MA(MA(ZScore,3),5), "5 Day MA Z-Score 
        MA",5,4);--- In 
        amibroker@xxxxxxxxxxxxxxx, "Mr Valley" <valleymj@xxxx> 
        wrote:> Has anyone coded 
        Z Score Transformation Exploration in .afl?<FONT 
        face="Courier New">> <FONT 
        face="Courier New">>              
        Score - Mean<FONT 
        face="Courier New">>      Z =  
        --------------------<FONT 
        face="Courier New">>            
        Std Deviation> 
        > 
        Thanks,> 
        > Mr. 
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