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[amibroker] Re: PositionScore Ideas- Greg



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Greg, 
Interactive Brokers operates in Canada.

http://www.interactivebrokers.ca/

You might save a bundle!
Jim




--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> Chuck,
> 
> I tried what you suggested in the example below (from help manual). 
Here are the results from the formula below the chart. I ran the afl 
two times. Once with positionscore using RSW and once using RSI. I 
think your suggestion did improve results . I'll have to experiment 
with subtracting for shorter time periods.
> 
> Greg
> 
> 
> 
> Commision = $27  (the Canadian rip-off price)
> 
> Delays = 1
> 
> Buyprice = Open
> 
> From 29/01/2003 to 05/12/2003
> 
> Watchlist of stocks from CedarCreektrading website.
> 
> 
> 
> 
> 
> 
>      RSW
>      
>      RSI
>      
> 
>      All trades
>      
>      All trades
>      
>       Initial capital
>      20000
>      
>      20000
>      
>       Ending capital
>      29066.55
>      
>      26835.21
>      
>       Net Profit
>      9066.55
>      
>      6835.21
>      
>       Net Profit %
>      45.33%
>      
>      34.18%
>      
>       Exposure %
>      80.95%
>      
>      82.75%
>      
>       Net Risk Adjusted Return %
>      56.00%
>      
>      41.30%
>      
>       Annual Return %
>      55.30%
>      
>      41.36%
>      
>       Risk Adjusted Return %
>      68.31%
>      
>      49.98%
>      
>       All trades
>      53
>      
>      51
>      
>       Avg. Profit/Loss
>      171.07
>      
>      134.02
>      
>       Avg. Profit/Loss %
>      2.96%
>      
>      2.44%
>      
>       Avg. Bars Held
>      14.47
>      
>      15.33
>      
>       Winners
>      37 (69.81 %)
>      
>      34 (66.67 %)
>      
>       Total Profit
>      12630.38
>      
>      11464.17
>      
>       Avg. Profit
>      341.36
>      
>      337.18
>      
>       Avg. Profit %
>      5.70%
>      
>      5.73%
>      
>       Avg. Bars Held
>      13
>      
>      13.35
>      
>       Max. Consecutive
>      14
>      
>      13
>      
>       Largest win
>      1042.56
>      
>      1051.2
>      
>       # bars in largest win
>      21
>      
>      21
>      
>       Losers
>      16 (30.19 %)
>      
>      17 (33.33 %)
>      
>       Total Loss
>      -3563.83
>      
>      -4628.96
>      
>       Avg. Loss
>      -222.74
>      
>      -272.29
>      
>       Avg. Loss %
>      -3.38%
>      
>      -4.14%
>      
>       Avg. Bars Held
>      17.88
>      
>      19.29
>      
>       Max. Consecutive
>      3
>      
>      4
>      
>       Largest loss
>      -617.78
>      
>      -830.58
>      
>       # bars in largest loss
>      24
>      
>      43
>      
>       Max. trade drawdown
>      -1439.43
>      
>      -1517.04
>      
>       Max. trade % drawdown
>      -22.14%
>      
>      -22.13%
>      
>       Max. system drawdown
>      -2034.22
>      
>      -2096.86
>      
>       Max. system % drawdown
>      -7.72%
>      
>      -7.89%
>      
>       Recovery Factor
>      4.46
>      
>      3.26
>      
>       CAR/MaxDD
>      7.16
>      
>      5.24
>      
>       RAR/MaxDD
>      8.84
>      
>      6.34
>      
>       Profit Factor
>      3.54
>      
>      2.48
>      
>       Payoff Ratio
>      1.53
>      
>      1.24
>      
>       Standard Error
>      926.26
>      
>      1169.56
>      
>       Risk-Reward Ratio
>      15.03
>      
>      9.59
>      
>       Ulcer Index
>      3.18
>      
>      3.58
>      
>       Ulcer Performance Index
>      15.67
>      
>      10.05
>      
>       Sharpe Ratio of trades
>      1.87
>      
>      1.36
>      
>       K-Ratio
>      3.69
>      
>      2.35
>      
> 
> 
> 
> 
> /*****
> 
> ** REGULAR PORTFOLIO mode 
> 
> ** This sample optimization
> 
> ** finds what is optimum number of positions open simultaneously
> 
> ** 
> 
> ****/
> 
> SetOption("InitialEquity", 20000 );
> 
> SetTradeDelays(1,1,1,1);
> 
> RoundLotSize = 1; 
> 
> posqty = Optimize("PosQty", 4, 1, 20, 1 );
> 
> SetOption("MaxOpenPositions", posqty);
> 
> // desired position size is 100% portfolio equity
> 
> // divided by PosQty positions
> 
> PositionSize = -100/posqty; 
> 
> // The system is very simple...
> 
> // MA parameters could be optimized too...
> 
> p1 = 10;
> 
> p2 = 22;
> 
> // simple MA crossover
> 
> Short=Cross( MA(C,p1) , MA(C,p2) );
> 
> Buy=Cross( MA(C,p2) , MA(C,p1) );
> 
> // always in the market 
> 
> Sell=Short; 
> 
> Cover=Buy;
> 
> // now additional score 
> 
> // that is used to rank equities 
> 
> // when there are more ENTRY signals that available
> 
> // positions/cash
> 
> //PositionScore = 100-RSI(); // prefer stocks that have low RSI;
> 
> ////////////////////////////////////////////////////////////////////
//
> 
> // RSW = .4*(Total Return 13-Week)+.3*(Total Return 26-Week)+.3*
(Total
> 
> //return 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)-tr13;
> 
> PositionScore = 100-RSW;
> 
> 
> 
>   ----- Original Message ----- 
>   From: Chuck Rademacher 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Sunday, December 14, 2003 4:17 PM
>   Subject: RE: [amibroker] Re: PositionScore Ideas
> 
> 
>   Greg,
> 
>   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.  
> 
>   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.
> 
>   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.    
> 
>   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!
> 
>   --------------------- CUT --------------------------


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