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Chuck: thanks for confirmation, as I
suspected as much.
Ken
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Sunday, December 14, 2003
1:24 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
PositionScore Ideas
Ken,
The material submitted by Pal has
absolutely nothing to do with the BOP study that is part of TC2000.
The Worden brothers actually got an injunction against S&C magazine saying
that they couldn't use Balance of Power as a technical study since the name
belongs to them.
I'm not aware of anyone who has broken the
BOP logic (as it works in TC2000). Many have come up with something that
closely approximates the TC2000 TSV study.
<font size=2
face="Times New Roman">-----Original
Message-----
From: Ken Close [mailto:closeks@xxxxxxxx]
Sent: Saturday, December 13, 2003
5:50 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
PositionScore Ideas
Pal, thanks for this (I think :-) ). I initially thought you had
messed<span
>
up and copied the same section many times, but
upon closer reading, I
see each section is slightly different than the
last.
It is not clear how close this will come to the
internal TC2000
so-called "proprietary" indicator, nor
how much time I might have to do
comparison tests of all of the variations.
Nonetheless, thanks for sharing it. What was
the source for this
information if I may ask? Also, do you have
any personal experience
with it and the variations? Are you a
TC2000 user and have thus made
comparisons? Just fishing for info that
might make my research a little
shorter.
Thanks again,
Ken
-----Original Message-----
From: palsanand [mailto:palsanand@xxxxxxxxx]
Sent: Saturday, December 13, 2003 5:10 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: PositionScore Ideas
FUNCTION: BOP: Bears Reward Based On Open Close
FORMULA: BOP_BearOpenClose
DESC: Measure the bears ability to
move the closing price below
the opening price relative to the trading range
for the day.
NOTES:
This function measures the bears ability to move
the closing price
below the opening price relative to the trading
range for the day.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bears ability to move
the closing price
below the opening price relative to the trading
range for the day.
Bears are considered to be pushing the price down
from its opening
value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
iif((C>O),0,(O-C)/(H-L))
FUNCTION: Balance Of Power
FORMULA: BOP
DESC: Measure the strength of bulls
versus bears by assessing
their ability to push the price to an extreme
level using a reduced
calculation.
NOTES:
This function measures the strength of bulls
versus bears by
assessing their ability to push the price to an
extreme level using a
reduced calculation.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function rates the ability of bulls and bears
to move the price
by examining the high and low prices against the
opening and closing
prices for each day. Bulls are considered to be
pushing the price up
from its opening value. Bears are considered to be
pushing the price
down from its opening value.
The function value varies between -1 (bearish) and
1 (bullish).
Usage
-----------
This function is typically used in a moving
average to detect trends
in whether price movements have been bearish or
bullish. Negative
values indicate that the bears have been
controlling the price during
the period of the average. Positiive values
indicate that the bulls
have been controlling the price.
This is the reduced form of the Balance of Power
function, which is
derived from the formula presented in the article.
It returns the
same value as the orignal form Balance of Power
function.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(C-O)/(H-L)
FUNCTION: Balance Of Power (Original Form)
FORMULA: BOP1
DESC: Measure the strength of bulls
versus bears by assessing
their ability to push the price to an extreme
level using the
underlying calculations.
NOTES:
This function measures the strength of bulls
versus bears by
assessing their ability to push the price to an
extreme level using
the underlying calculations.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function rates the ability of bulls and bears
to move the price
by examining the high and low prices against the
opening and closing
prices for each day. Bulls are considered to be
pushing the price up
from its opening value. Bears are considered to be
pushing the price
down from its opening value.
The function value varies between -1 (bearish) and
1 (bullish).
Usage
-----------
This function is typically used in a moving
average to detect trends
in whether price movements have been bearish or
bullish. Negative
values indicate that the bears have been
controlling the price during
the period of the average. Positiive values
indicate that the bulls
have been controlling the price.
This is the original form of the Balance of Power
function, which is
presented in the article. It returns the same value
as the normal
Balance of Power function, which has been derived
from this formula.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
BOP_BullDaily(O,C,H,L) - BOP_BearDaily(O,C,H,L)
FUNCTION: BOP: Bulls Reward Daily
FORMULA: BOP_BullDaily
DESC: Measure the strength of bulls
for a given day by assessing
their ability to push the price to an extreme
level.
NOTES:
This function measures the strength of bulls for a
given day by
assessing their ability to push the price to an
extreme level.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function rates the ability of bulls to move
the price by
examining the high and low prices against the
opening and closing
prices for each day. Bulls are considered to be
pushing the price up
from its opening value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(BOP_BullOpen(O,H,L) + BOP_BullClose(C,H,L) +
BOP_BullOpenClose
(O,C,H,L))/3
FUNCTION: BOP: Bulls Reward Based On Open Close
FORMULA: BOP_BullOpenClose
DESC: Measure the bulls ability to
move the closing price above
the opening price relative to the trading range
for the day.
NOTES:
This function measures the bulls ability to move
the closing price
above the opening price relative to the trading
range for the day.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bears ability to move
the closing price
above the opening price relative to the trading
range for the day.
Bulls are considered to be pushing the price up
from its opening
value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
iif((C>O),(C-O)/(H-L),0)
FUNCTION: BOP: Bears Reward Based On Close
FORMULA: BOP_BearClose
DESC: Measure the bears ability to
move the closing price down
from the high price relative to the trading range
for the day.
NOTES:
This function measures the bears ability to move
the closing price
down from the high price relative to the trading
range for the day.
Parameters
------------------
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bears ability to move
the closing price
down from the high price relative to the trading
range for the day.
Bears are considered to be pushing the price down
from its opening
value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(C-L)/(H-L)
FUNCTION: BOP: Bulls Reward Based On Close
FORMULA: BOP_BullClose
DESC: Measure the bulls ability to
move the closing price up from
the low price relative to the trading range for
the day.
NOTES:
This function measures the bulls ability to move
the closing price up
from the low price relative to the trading range
for the day.
Parameters
------------------
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bulls ability to move
the closing price up
from the low price relative to the trading range
for the day. Bulls
are considered to be pushing the price up from its
opening value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(C-L)/(H-L)
FUNCTION: BOP: Bears Reward Based On Open
FORMULA: BOP_BearOpen
DESC: Measure the bears ability to
move the low price down from
the opening price relative to the trading range
for the day.
NOTES:
This function measures the bears ability to move
the low price down
from the opening price relative to the trading
range for the day.
Parameters
------------------
Open
The open price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bears ability to move
the low price down
from the opening price relative to the trading
range for the day.
Bears are considered to be pushing the price down
from its opening
value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(O-L)/(H-L)
FUNCTION: BOP: Bulls Reward Based On Open
FORMULA: BOP_BullOpen
DESC: Measure the bears ability to
move the high price up from the
opening price relative to the trading range for
the day.
NOTES:
This function measures the bears ability to move
the high price up
from the opening price relative to the trading
range for the day.
Parameters
------------------
Open
The open price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function measures the bears ability to move
the high price up
from the opening price relative to the trading range
for the day.
Bulls are considered to be pushing the price up
from its opening
value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(H-O)/(H-L)
FUNCTION: BOP: Bears Reward Daily
FORMULA: BOP_BearDaily
DESC: Measure the strength of bears
for a given day by assessing
their ability to push the price to an extreme
level.
NOTES:
This function measures the strength of bears for a
given day by
assessing their ability to push the price to an
extreme level.
Parameters
------------------
Open
The open price of the security for each given day.
Close
The close price of the security for each given day.
High
The high price of the security for each given day.
Low
The low price of the security for each given day.
Function Value
------------------------
This function rates the ability of bears to move
the price by
examining the high and low prices against the
opening and closing
prices for each day. Bears are considered to be
pushing the price
down from its opening value.
The function value varies between 0 (no effect)
and 1 (large effect).
Usage
-----------
This function is typically used in the calculation
of the Balance of
Power indicator.
Source
------------
This function is based on the article
"Balance of Power" by Igor
Livshin in the July 2001 issue of "Technical
Analysis of Stocks and
Commodities".
(BOP_BearOpen(O,H,L,C) + BOP_BearClose(C,H,L) +
BOP_BearOpenClose
(O,C,H,L))/3
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Ken
Close" <closeks@xxxx> wrote:
> Gary/Phsst: now that is interesting.
>
>
>
> VectorVest has a "proprietary"
"Relative Strength" indicator called
RT,
> which some on another list have said is
approximated by C/Ref(C,-
65),
> along with some weighting scheme. Talk
about everyone drinking out
of
> the same cup.
>
>
>
> TC2000 has a thing called BOP (Balance of
Power), but I have never
seen
> an approximation of it much less a
description of what it attempts
to
> do. Nix that, here is something from the TC2k
Help files:
>
> "BOP fits into a category of devices
that can be termed "trend
quality"
> indicators. A variety of methods lead
naturally to buy and sell
signals.
> What BOP tells you is something about the
quality of the underlying
> trend. Not itself a pinpoint timing
indicator, BOP will modify your
> assessment of the vital risk-reward ratio of
a trade or investment.
It
> will help you determine whether the
supply-demand balance will be in
> your favor. It will help you spot changes of
character in a stock's
> action.
>
> "
>
> Ken
>
>
>
>
>
> -----Original Message-----
> From: Gary A. Serkhoshian
[mailto:serkhoshian777@xxxx]
> Sent: Saturday, December 13, 2003 1:16 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: PositionScore
Ideas
>
>
>
> Hi Phsst,
>
>
>
> Thanks for that suggestion, as I'd never
stumbled across it
before. QP
> has a great explaination in help which I've
posted below in
addition to
> my translation into AFL which just offers the
raw relstr numbers
which
> is good enough. If anyone wants to
beautify the code with the
ranking
> from 0 to 99, by all means tear it up.
>
>
>
> Value-added as always Phsst : ). Kind
Regards, Gary
>
>
>
> QRSRAW = ( (C / Ref(C,-62)) * 0.4 ) + (
(Ref(C,-63) / Ref(C,-125))
* 0.2
> ) + ( (Ref(C,-126) / Ref(C,-188)) * 0.2 ) + (
(Ref(C,-189) /
> Ref(C,-251)) * 0.2 );
>
>
>
> Quotes Plus Relative Strength Indicator
>
> The Quotes Plus Relative Strength indicator
is calculated for each
issue
> each day, and becomes part of the data you
download to your PC. The
> indicator ranks each issue in the database
against every other
issue in
> the database, based on its performance for
the last 12 months.
>
> Every issue is ranked from 0 to 99 so that
its rank is equal to the
> percentage of issues that it has outperformed
over the previous 12
month
> period. A rating of 92, for example, means
that the issue has
> outperformed 92% of all of the issues in the
database.
>
> The formula is :
>
> ( Current Close / Close from 62 trading days
ago ) * .4
>
> + ( Close from 63 trading days ago / Close
from 125 trading days
ago ) *
> .2
>
> + ( Close from 126 trading days ago / Close
from 188 trading days
ago )
> * .2
>
> + ( Close from 189 trading days ago / Close
from 251 trading days
ago )
> * .2
>
> This value is sorted for all of the issues,
and the top 1% of
issues get
> a value of 99. The other issues are ranked
similarly, down to the
bottom
> 1%, which get a value of 0.
>
>
>
>
>
>
>
> Phsst <phsst@xxxx> wrote:
>
> 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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> >
> >
>
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> >
> >
> > Send BUG REPORTS to
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