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FYI, I tried all the position score methods that
have been posted in the past few days. They all performed worse than the
one I was currently using, except for Fred's BB example.
It increased all the "good stats" by 50% but it
also increased my MDD by 50%. So, MDD is now at an unacceptable point, but
definitely worth a look into this scoring mechanism.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, December 13, 2003 1:00
PM
Subject: Re: [amibroker] Re:
PositionScore Ideas
Hi Al !
For shorter-term signals, it seems like volatility is your best friend,
and you'd mentioned that you've already tried that.
So, how about Fred's BollingerBand example:
BBandWid = 2;
UBBand = BBandTop(Close, <FONT
color=#ff00ff>21, BBandWid);
LBBand = BBandBot(Close, <FONT
color=#ff00ff>21, BBandWid);
PositionScore = 100 - <FONT
color=#ff00ff>100 * (Close - LBBand) / (UBBand - LBBand);<FONT
color=#008000>//0 when C == Upper Band, 100 when C == Lower Band
OR a variation of good 'ol RT
RT = Close / MA(Close,<FONT
color=#ff00ff>13); //64 bar is the original version
BTW, if you don't mind sharing what are you basing your signals on to
give such short terms swings? You can keep in general if you like (ie.
ma-based, oscillator-based, etc.)
Kind Regards,
Gary
Al Venosa <advenosa@xxxxxxxxxxxx> wrote:
<BLOCKQUOTE class=replbq
>
Thanks, Phsst. I'm a QP2 user also. But all those QP2 GetExtraData
variables are not updated daily, so I don't think they would be useful for a
short-term trading system like I was talking about. Using PositionScore over
a modest time period, you'd get the same 4 stocks all the time, wouldn't
you, or at least until they get updated. Perhaps QRS gets updated weekly, so
maybe that wouldn't be as bad, but I think I'd like something that is more
reflective of the trade system duration, in other words, something that I
can update daily at EOD.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, December 13, 2003
12:26 PM
Subject: [amibroker] Re:
PositionScore Ideas
Al,My favorite is the QP2 QRS value
(GetExtraData("QRS"). The QP2 QRSvalue is supposed to be a 'knockoff'
of the IBD RS ranking score.I almost always get a significant
boost using this ranking figure asas the positionscore.If you
do not have QP2, but have any ideas about how to do your own RSRank
calculation, I'd be happy to run some comparisons for you (oranyone
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 systemslately
(average trade durations of about 2.5 days), and I was lookingfor
ideas on how best to rank a watchlist to get the best candidatesfor
portfolio trading a basket of 4 stocks. I was wondering if anyonewould
care to share any ideas on how you use the PositionScorefunction to
rank your candidate list (using regular mode, notrotational mode).
I've tried combinations of turnover and volatility,but I'd like to try
other ideas. I'm not asking anyone to give awayany secrets, and, yes,
I am aware of TJ's example in the help file(PositionScore = 100
-RSI());), but I was just looking for more ideas.I'm not even sure if
this question is too vague or not. If it is, I'msure you'll tell me.
TIA.> > Al Venosa> advenosa@xxxx> >
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