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Greg,
This backtest comparison is for illustrative purposes only. I make no
claims regarding these test results other than the AFL and Setup
criteria was identical for both tests. The only difference was the
assignment of PositionScore = QRS versus PositionScore = RSW.
NOTE:
// RSW = .4*(Total Return 13-Week)+.3*(Total Return 26-Week)+.3*(Total
Return 1-Year)
tr13 = 0.4 * (C - Ref(C, -65)) / Ref(C, -65) * 100;
tr26 = 0.3 * (C - Ref(C, -130)) / Ref(C, -130) * 100;
tr52 = 0.3 * (C - Ref(C, -260)) / Ref(C, -260) * 100;
RSW = tr13 + tr26 + tr52;
PositionScore = RSW;
Date Range 6/1/1995 to Present (No QRS scores exist prior to this)
Direct comparison:
RSW SCORE QRS SCORE
Long trades Long trades
Initial capital 100000 100000
Ending capital 22984180 190338380
Net Profit 22884180 190238380
Net Profit % 22884.18% 190238.38%
Exposure % 94.25% 94.16%
Net RAR % 24280.98% 202035.63%
Annual Return % 89.07% 142.19%
Risk Adj Retn % 94.50% 151.01%
All trades 7431 (100.00 %) 7487 (100.00 %)
Avg. Profit/Loss 3079.56 25409.16
Avg. Profit/Loss % -4.16% -2.88%
Avg. Bars Held 2.65 2.63
Winners 3829 (51.53 %) 4066 (54.31 %)
Total Profit 64437022.92 436648089.7
Avg. Profit 16828.68 107390.09
Avg. Profit % 3.10% 3.13%
Avg. Bars Held 2.33 2.33
Max. Consecutive 17 17
Largest win 978262.15 7798920.06
# bars in largest win 2 2
Losers 3602 (48.47 %) 3421 (45.69 %)
Total Loss -41552842.92 -246409709.4
Avg. Loss -11536.05 -72028.56
Avg. Loss % -11.88% -10.03%
Avg. Bars Held 2.98 2.99
Max. Consecutive 13 12
Largest loss -542767 -4301835.5
# bars in largest loss 6 6
Max. trade drawdown -610851.92 -4864832.72
Max. trade % drawdown -98.69% -99.67%
Max. system drawdown -2119041.36 -15587244.83
Max. system % drawdown -34.68% -27.63%
Recovery Factor 10.8 12.2
CAR/MaxDD 2.57 5.15
RAR/MaxDD 2.72 5.46
Profit Factor 1.55 1.77
Payoff Ratio 1.46 1.49
Standard Error 2982472.3 25676798.01
Risk-Reward Ratio 0.44 0.38
Ulcer Index 12.1 7.64
Ulcer Performance Index 6.92 17.9
Sharpe Ratio of trades -0.72 -0.86
K-Ratio 1.09 0.93
FWIW, I have some other systems / variations that I'll run a RSW vs.
QRS comparison on. If there are any notable improvements to the RSW
results, I'll post them.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> Phsst,
>
> Yes I think it is (Total Return 13-Week) means (Pct Price gain in
> 13-Weeks). The terms are from ValueLine, I think.
> http://www.valueline.com/
>
> IBD definition of Relative Strength:
>
> Relative Price Strength (RS) Rating or Relative StrengthThis IBD
SmartSelect® Corporate Rating measures each stock's price performance
over the latest twelve months compared to all other stocks. The rating
scale ranges from 1 (lowest) to 99 (highest). Stocks rating below 70
indicate weaker or more laggard relative price performance.
> http://www.investors.com/
>
>
> Greg
>
> ----- Original Message -----
> From: Phsst
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, December 13, 2003 4:52 PM
> Subject: [amibroker] Re: PositionScore Ideas
>
>
> Greg,
>
> I'll be happy to do a comparison on just about anything that might be
> comparable to IDB's RS Rank.
>
> I assume that (Total Return 13-Week) means (Pct Price gain in
> 13-Weeks), and so on?
>
> Worth noting here, that IDB's RS Rank is a score between 1 and 100
> that ranks each particular stock against the whole mkt for the
past year.
>
> But for positionscore pusposes, we are not limited to a score of 1 -
> 100, so I can do the raw comparison of results from your formula
to QRS.
>
> I'll post back later under this same Subject.
>
> Regards
>
> Phsst
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> > Hi Phsst.
> >
> > Here is a formula that I have been told closely follows that of IBD.
> Could you please do the comparison you offered ?
> >
> > RSW = .4*(Total Return 13-Week)+.3*(Total Return 26-Week)+.3*(Total
> Return 1-Year)
> >
> > Thanks,
> > Greg
> > ----- Original Message -----
> > From: Phsst
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, December 13, 2003 1:26 PM
> > Subject: [amibroker] Re: PositionScore Ideas
> >
> >
> > Al,
> >
> > My favorite is the QP2 QRS value (GetExtraData("QRS"). The QP2 QRS
> > value is supposed to be a 'knockoff' of the IBD RS ranking score.
> >
> > I almost always get a significant boost using this ranking
figure as
> > as the positionscore.
> >
> > If you do not have QP2, but have any ideas about how to do
your own RS
> > Rank calculation, I'd be happy to run some comparisons for you (or
> > anyone else) to measure your calculated RS Rank against QP2's QRS
> rank.
> >
> > Cheers,
> >
> > Phsst
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > > Hi, all:
> > >
> > > I've been experimenting with variuos short term trading systems
> > lately (average trade durations of about 2.5 days), and I was
looking
> > for ideas on how best to rank a watchlist to get the best
candidates
> > for portfolio trading a basket of 4 stocks. I was wondering if
anyone
> > would care to share any ideas on how you use the PositionScore
> > function to rank your candidate list (using regular mode, not
> > rotational mode). I've tried combinations of turnover and
volatility,
> > but I'd like to try other ideas. I'm not asking anyone to give
away
> > any secrets, and, yes, I am aware of TJ's example in the help file
> > (PositionScore = 100 -RSI());), but I was just looking for
more ideas.
> > I'm not even sure if this question is too vague or not. If it
is, I'm
> > sure you'll tell me. TIA.
> > >
> > > Al Venosa
> > > advenosa@xxxx
> > >
> > >
> > > ---
> > > Outgoing mail is certified Virus Free.
> > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.543 / Virus Database: 337 - Release Date:
11/21/2003
> >
> >
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