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Chuck,
FWIW, I exported the trade list from the backtest I posted, and then
processed the trades with my own reporting program that I used prior
to introduction of Portfolio trading in AB.
The reported Net Profit I posted matched. As did the calculated Risk
Adj RAR. So the other figures that you found issues with are in
question (I did not calc those figures in my own program).
I've heard from TJ... apprised him of the figures you pointed out, and
at his request sent everything related to the backtest to him for
analysis.
We will see.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> Greg, Chuck & Gary,
>
> No 'bother' Greg.
>
> And thanks to Chuck for his hints regarding applying recent negative
> pullbacks.
>
> I haven't heard back from TJ yet concerning the reporting issues of my
> backtest.
>
> Tonight I'll export the trades to XL and at least verify that Net
> Profit calcs were or were not correct. Also, I have my own program
> that than take that data and verify Risk Adj RAR.
>
> And finally, I'll take a look at the QRSRaw calc that Gary posted to
> see if it approximates the QRS rank.
>
> Phsst
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > 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!
> > -----Original Message-----
> > From: Greg [mailto:gregbean@x...]
> > Sent: Sunday, December 14, 2003 3:06 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: 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*(Total
> > Return 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
> >
> >
> >
> >
> > ----- Original Message -----
> > From: Phsst
> > To: 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 no
> > claims regarding these test results other than the AFL and Setup
> > criteria was identical for both tests. The only difference was the
> > assignment of PositionScore = QRS versus PositionScore = RSW.
> >
> > NOTE:
> >
> > // 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;
> > 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 trades
> > Initial capital 100000 100000
> > Ending capital 22984180 190338380
> > Net Profit 22884180 190238380
> > Net 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 25409.16
> > Avg. Profit/Loss % -4.16% -2.88%
> > Avg. Bars Held 2.65 2.63
> >
> > Winners 3829 (51.53 %) 4066 (54.31 %)
> > Total Profit 64437022.92 436648089.7
> > Avg. Profit 16828.68 107390.09
> > Avg. Profit % 3.10% 3.13%
> > Avg. Bars Held 2.33 2.33
> > Max. Consecutive 17 17
> > Largest win 978262.15 7798920.06
> > # bars in largest win 2 2
> >
> > Losers 3602 (48.47 %) 3421 (45.69 %)
> > Total Loss -41552842.92 -246409709.4
> > Avg. Loss -11536.05 -72028.56
> > Avg. Loss % -11.88% -10.03%
> > Avg. Bars Held 2.98 2.99
> > Max. Consecutive 13 12
> > Largest loss -542767 -4301835.5
> > # bars in largest loss 6 6
> >
> > Max. trade drawdown -610851.92 -4864832.72
> > Max. trade % drawdown -98.69% -99.67%
> > Max. system drawdown -2119041.36 -15587244.83
> > Max. system % drawdown -34.68% -27.63%
> > Recovery Factor 10.8 12.2
> > CAR/MaxDD 2.57 5.15
> > RAR/MaxDD 2.72 5.46
> > Profit Factor 1.55 1.77
> > Payoff Ratio 1.46 1.49
> > Standard Error 2982472.3 25676798.01
> > Risk-Reward Ratio 0.44 0.38
> > Ulcer Index 12.1 7.64
> > Ulcer Performance Index 6.92 17.9
> > Sharpe Ratio of trades -0.72 -0.86
> > K-Ratio 1.09 0.93
> >
> > FWIW, I have some other systems / variations that I'll run a
RSW vs.
> > QRS comparison on. If there are any notable improvements to
the RSW
> > results, 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.
> > > http://www.valueline.com/
> > >
> > > IBD definition of Relative Strength:
> > >
> > > Relative Price Strength (RS) Rating or Relative
StrengthThis IBD
> > SmartSelect® Corporate Rating measures each stock's price
> performance
> > over the latest twelve months compared to all other stocks. The
> rating
> > scale ranges from 1 (lowest) to 99 (highest). Stocks rating
below 70
> > indicate weaker or more laggard relative price performance.
> > > 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 the
> > past 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
formula
> > to 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 ranking
> > figure as
> > > > as the positionscore.
> > > >
> > > > If you do not have QP2, but have any ideas about how to do
> > your 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 was
> > looking
> > > > for ideas on how best to rank a watchlist to get the best
> > candidates
> > > > for portfolio trading a basket of 4 stocks. I was
> wondering if
> > anyone
> > > > 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 and
> > volatility,
> > > > but I'd like to try other ideas. I'm not asking anyone
> to give
> > away
> > > > any 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'm
> > > > sure you'll tell me. TIA.
> > > > >
> > > > > Al Venosa
> > > > > advenosa@xxxx
> > > > >
> > > > >
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