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Ken,
You may well be right that a PositionScore based on a compound of
various items will give the best results. That makes sense.
However, adding items to the PositionScore compound will quickly
increase the "degrees of freedom" to make "curve fitting" a much
larger danger.
That does not mean it should not be attempted. It does mean that one
will need to take special care to avoid curvefitting, or to use OOS
verification to detect it.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> "PHSST"!!
>
> I meant to ask...can you express in words what you THINK the QP QST
> variable is measuring. When you say it mimics the IBD RS
variable, what
> is that? Is it simply (nothing is simple I know) Relative
Strength??
>
> In reading this thread and thinking about some of my experiences,
I have
> decided that creating a "predictive" PositionScore is another
attempt to
> find that expression that yields movement in the future like you
think
> or want it to be. Expecting that PositionScore will be a single
number
> or variable is, unfortunately, hunting for the Holy Grail. I
suspect
> that powerful, profitable PositionScore statements will be
composed of a
> variety of components.
>
> Ken
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Saturday, December 13, 2003 2:54 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: PositionScore Ideas
>
> <I've been doing that all morning, Pfsst:>
>
> Pfsst? I don't get no respect around here! <g>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > I've been doing that all morning, Pfsst: I've looked at most of
the
> getextradata variables available with QP2. I have no preconceived
> notions about anything other than the fact that I thought most of
> those data were not updated as often as daily. I was wrong about
QRS,
> and thank you for clearing that up for me. I verified this by
> exploring on QRS. Beta doesn't seem to get updated at all!! I
explored
> back until 1996, and the beta for AAPL remains the same 1.843 from
Jan
> 1996 until today. Same for other tickers. So, beta is worthless, at
> least the one QP2 gives.
> >
> > AV
> > ----- Original Message -----
> > From: Phsst
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, December 13, 2003 12:49 PM
> > Subject: [amibroker] Re: PositionScore Ideas
> >
> >
> > QRS is updated daily and goes as far back as 6/1/1995 in the
QP2
> database.
> >
> > Just a suggestion... set aside whatever preconcieved notions
you may
> > have about this and take the time to research it and do a
little due
> > diligence. You might be glad you did.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > > Thanks, Phsst. I'm a QP2 user also. But all those QP2
GetExtraData
> > variables are not updated daily, so I don't think they would be
> useful
> > for a short-term trading system like I was talking about. Using
> > PositionScore over a modest time period, you'd get the same 4
stocks
> > all the time, wouldn't you, or at least until they get updated.
> > Perhaps QRS gets updated weekly, so maybe that wouldn't be as
bad,
> but
> > I think I'd like something that is more reflective of the trade
> system
> > duration, in other words, something that I can update daily at
EOD.
> > >
> > >
> > > ----- Original Message -----
> > > From: Phsst
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, December 13, 2003 12:26 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
> > > >
> > > >
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