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<FONT face=Arial color=#0000ff
size=2>Greg,
<FONT face=Arial color=#0000ff
size=2>
One
more thing that I should mention regarding my suggestion to negatively apply the
most recent returns...
<FONT face=Arial color=#0000ff
size=2>
You
may also try heavily weighting those recent returns. In fact, I
would make the weightings a parameter and try optimising all of
them. They don't have to add up to 1.0, by the
way.
<FONT face=Arial color=#0000ff
size=2>
Have
fun!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Greg
[mailto:gregbean@xxxxxxxxxxx]Sent: Sunday, December 14, 2003 3:32
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: PositionScore Ideas
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>
<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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href="">http://www.grisoft.com).>
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Date:11/21/2003> > > >
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