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<FONT face=Arial color=#0000ff
size=2>Phsst,
<FONT face=Arial color=#0000ff
size=2>
There
seems to be something radically wrong with your stats
(below):
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. Both of them show nice annual returns
(89-140%).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. Yet, the average p/l is negative
(2-4%).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. The Sharpe ratio is negative.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. The average win is 3%.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>5. The average loss is 10-11%.
<FONT face=Arial color=#0000ff
size=2>
What's
the story???
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, December 13, 2003 5:31
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
PositionScore IdeasGreg,This backtest
comparison is for illustrative purposes only. I make noclaims regarding
these test results other than the AFL and Setupcriteria was identical for
both tests. The only difference was theassignment of PositionScore = QRS
versus PositionScore = RSW.NOTE: // RSW = .4*(Total Return
13-Week)+.3*(Total Return 26-Week)+.3*(TotalReturn 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
tradesInitial capital
100000
100000Ending capital
22984180 190338380Net
Profit 22884180
190238380Net 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 25409.16Avg. Profit/Loss
% -4.16%
-2.88%Avg. Bars Held
2.65 2.63
Winners
3829 (51.53
%) 4066 (54.31 %)Total
Profit 64437022.92
436648089.7Avg. Profit
16828.68 107390.09Avg. Profit
% 3.10%
3.13%Avg. Bars
Held 2.33
2.33Max.
Consecutive 17
17Largest win
978262.15 7798920.06# bars in largest
win 2
2
Losers 3602
(48.47 %) 3421
(45.69 %)Total Loss
-41552842.92 -246409709.4Avg.
Loss -11536.05
-72028.56Avg. Loss %
-11.88%
-10.03%Avg. Bars Held
2.98 2.99Max.
Consecutive 13
12Largest loss
-542767
-4301835.5# bars in largest loss
6 6
Max. trade
drawdown
-610851.92 -4864832.72Max. trade %
drawdown -98.69%
-99.67%Max. system
drawdown
-2119041.36 -15587244.83Max. system %
drawdown -34.68%
-27.63%Recovery
Factor 10.8
12.2CAR/MaxDD
2.57
5.15RAR/MaxDD
2.72
5.46Profit Factor
1.55
1.77Payoff Ratio
1.46
1.49Standard Error
2982472.3 25676798.01Risk-Reward
Ratio 0.44
0.38Ulcer Index
12.1
7.64Ulcer Performance Index
6.92 17.9Sharpe Ratio of
trades -0.72
-0.86K-Ratio
1.09 0.93FWIW, I have some other systems
/ variations that I'll run a RSW vs.QRS comparison on. If there are any
notable improvements to the RSWresults, 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.> <A
href="">http://www.valueline.com/>
> IBD definition of Relative Strength:> > Relative
Price Strength (RS) Rating or Relative StrengthThis IBDSmartSelect®
Corporate Rating measures each stock's price performanceover the latest
twelve months compared to all other stocks. The ratingscale ranges from 1
(lowest) to 99 (highest). Stocks rating below 70indicate weaker or more
laggard relative price performance. > <A
href="">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 thepast 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 formulato 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 rankingfigure as> > as the
positionscore.> > > >
If you do not have QP2, but have any ideas about how to doyour 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
waslooking> > for ideas on how best to
rank a watchlist to get the bestcandidates>
> for portfolio trading a basket of 4 stocks. I was wondering
ifanyone> > 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 andvolatility,>
> but I'd like to try other ideas. I'm not asking anyone to
giveaway> > any secrets, and, yes, I am
aware of TJ's example in the help file> >
(PositionScore = 100 -RSI());), but I was just looking formore
ideas.> > I'm not even sure if this question
is too vague or not. If itis, I'm> >
sure you'll tell me. TIA.> > >
> > > Al Venosa>
> > advenosa@xxxx> > >
> > > >
> > ---> > > Outgoing
mail is certified Virus Free.> > >
Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).>
> > Version: 6.0.543 / Virus Database: 337 - Release
Date:11/21/2003> > > >
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