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<FONT face=Arial color=#0000ff
size=2>Greg,
<FONT face=Arial color=#0000ff
size=2>
FWIW,
I don't think you want to do this (below). I don't see how you
can compare absolute dollar returns for different stocks. I'm sure
that you will want to divide rather than
subtract.
<FONT face=Arial color=#0000ff
size=2>
Also,
see postings by Phsst regarding the results below. They are very
suspect for lots of reasons. You can't have a positive CAR with a
negative average return per trade.
<FONT face=Arial color=#0000ff
size=2>
I'll
also let you in on a big secret! I can't provide the exact
code (sorry), but I think you will find that negatively applying the return for
the last few days (weeks?) to this formula will dramatically help a short-term
system. In other words, add up the returns like you are already
doing and then subtract the returns for the most recent period. This
helps to buy stocks that have been rising but are experiencing a
pull-back.
<FONT face=Arial color=#0000ff
size=2>
I am
trading one fund using this technique and it has been working very
well. I'm aware of two other hedge funds that have been trading this
way for more than 15 years and the performance of each has been
stellar!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Greg
[mailto:gregbean@xxxxxxxxxxx]Sent: Sunday, December 14, 2003 3:06
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: PositionScore Ideas
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> > > >
> > > > >
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anti-virus system (<A
href="">http://www.grisoft.com).>
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Date:11/21/2003> > > >
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