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Re: [amibroker] Re: PositionScore Ideas



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Chuck,
 
Thanks for the reply. I'll give your sugestion a try over the christmas 
break.
 
Greg
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Sunday, December 14, 2003 4:17 
  PM
  Subject: RE: [amibroker] Re: 
  PositionScore Ideas
  
  <FONT face=Arial color=#0000ff 
  size=2>Greg,
  <FONT face=Arial color=#0000ff 
  size=2> 
  <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> 
  <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>   >   > 
      >   >   > >   
      >   > --->   >   > 
      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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