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Re: [amibroker] Re: PositionScore Ideas



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Phsst,
 
The return doesn't look so good for RSW. Could you please try comparison 
using the following formula instead . I'm not sure that the original formula I 
provided should have been as a percent. Maybe it makes a difference ??
 
// RSWraw = .4*(Total Return 13-Week)+.3*(Total 
Return 26-Week)+.3*(TotalReturn 1-Year)tr13 = 0.4 * (C - Ref(C, 
-65));tr26 = 0.3 * (C - Ref(C, -130));tr52 = 0.3 * (C - Ref(C, 
-260));RSWraw = tr13 + tr26 + tr52;PositionScore = RSWraw;
 
Sorry to bother you again.
 
Greg

 
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Phsst 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, December 13, 2003 6:30 
  PM
  Subject: [amibroker] Re: PositionScore 
  Ideas
  Greg,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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