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HB,
Good idea.
I used to Filter based upon a Risk/Reward ratio calculation, but have
not yet used it as a PositionScore.
Thanks,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "HB" <hmab@xxxx> wrote:
> 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
>
> ----- Original Message -----
> From: Gary A. Serkhoshian
> To: 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,
> Gary
>
> HB <hmab@xxxx> wrote:
> 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
>
> ----- Original Message -----
> From: Phsst
> To: 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 favorite
> Positionscore method.
>
> Did I miss it?
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "HB" <hmab@xxxx> wrote:
> > 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
> >
> > ----- 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
best
> friend, 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 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@xxxx> wrote:
> > 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.
> >
> >
> > ----- 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 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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