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Gary,
The reward-risk ratio is on a per signal
basis. Each potential buy signal is ranked by its RR ratio.
RR = potential reward for this trade / potential
risk for this trade
I don't think that's the same as UPI, right
?
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, December 14, 2003 11:40
PM
Subject: Re: [amibroker] Re:
PositionScore Ideas
HB,
Sounds like UPI or similar, yes? They all seem to do about the
same.
Regards,
GaryHB <<A
href="">hmab@xxxxxxxxxxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>
Phsst, no you did not miss it because I
never posted it.
My original one is based on a really simple
reward/risk ratio. The higher the ratio, the better.
I'm also going to check out the suggestion of
using system's past performance on the stock. That's how I regularly
select my basket, but I never thought of using it to rank. This would
be akin to what Chuck & other have been saying all along. I.e.
don't select a basket, let the ranking sort through all stocks and pick the
good ones.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, December 14, 2003 11:04
PM
Subject: [amibroker] Re:
PositionScore Ideas
HB,I looked and could not find where you posted
your favoritePositionscore method. Did I miss
it?Phsst--- In <A
href="">amibroker@xxxxxxxxxxxxxxx,
"HB" <hmab@x...> wrote:> FYI, I
tried all the position score methods that have been posted inthe past
few days. They all performed worse than the one I wascurrently
using, except for Fred's BB example.> > It increased all the
"good stats" by 50% but it also increased myMDD by 50%. So, MDD
is now at an unacceptable point, but definitelyworth a look into this
scoring mechanism.> > HB> > -----
Original Message ----- > From: Gary A. Serkhoshian
> To: 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 bestfriend, and you'd mentioned that you've
already tried that. > > So, how about
Fred's BollingerBand example:> > BBandWid =
2;> > UBBand = BBandTop(Close, 21,
BBandWid);> > LBBand = BBandBot(Close, 21,
BBandWid);> > PositionScore = 100 - 100 * (Close
- LBBand) / (UBBand -LBBand);//0 when C == Upper Band, 100 when C ==
Lower Band> > OR a variation of good 'ol
RT> > RT = Close / MA(Close,13); //64 bar
is the original version> > > BTW, if you
don't mind sharing what are you basing your signals onto 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@xxxx> wrote:> Thanks,
Phsst. I'm a QP2 user also. But all those QP2GetExtraData variables
are not updated daily, so I don't think theywould be useful for a
short-term trading system like I was talkingabout. Using PositionScore
over a modest time period, you'd get thesame 4 stocks all the time,
wouldn't you, or at least until they getupdated. Perhaps QRS gets
updated weekly, so maybe that wouldn't be asbad, but I think I'd like
something that is more reflective of thetrade system duration, in
other words, something that I can updatedaily at EOD. >
> > ----- Original
Message ----- > From: Phsst
> To: 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
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'sQRS 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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