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Phsst,
Actually, I've been doing some more extensive
testing and it seems that the RR ratio is holding up better than the other
ranking mechanisms that were posted.
So, I might just stick with what I've been using
all along !
I guess the ranking mechanism is really dependent
on the "personality" of your trading system. The RR ratio fits really well
with the system I'm using.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, December 15, 2003 12:43
AM
Subject: [amibroker] Re: PositionScore
Ideas
HB,Good idea.I used to Filter based upon a
Risk/Reward ratio calculation, but havenot yet used it as a
PositionScore.Thanks,Phsst--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "HB"
<hmab@x...> wrote:> Gary,>
> The reward-risk ratio is on a per signal basis. Each potential
buysignal 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'spast performance on the stock.
That's how I regularly select mybasket, but I never thought of using it to
rank. This would be akinto what Chuck & other have been saying
all along. I.e. don't select abasket, 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 beenposted
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 alsoincreased
my> MDD by 50%. So, MDD is
now at an unacceptable point,
butdefinitely> 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
yourbest> 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 yoursignals
on> to give such short terms
swings? You can keep in general ifyou
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
thinkthey> would be useful for
a short-term trading system like I was
talking> about. Using PositionScore
over a modest time period, you'dget
the> same 4 stocks all the time,
wouldn't you, or at least untilthey
get> updated. Perhaps QRS gets
updated weekly, so maybe thatwouldn'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 RSranking 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 comparisonsfor you (or>
> anyone else) to measure your
calculated RS Rankagainst
QP2's> QRS
rank.> >
>
>
Cheers,> >
>
>
Phsst>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al
Venosa"<advenosa@xxxx>>
wrote:>
> > Hi,
all:>
> >
>
> > I've been experimenting with
variuos short termtrading
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 waswondering if>
anyone>
> would care to share any ideas on how
you use thePositionScore>
> function to rank your candidate list
(using regularmode, not>
> rotational mode). I've tried
combinations of turnover and>
volatility,>
> but I'd like to try other ideas. I'm
not asking anyoneto give>
away>
> any secrets, and, yes, I am aware of
TJ's example inthe help file>
> (PositionScore = 100 -RSI());), but I
was just looking for> more
ideas.>
> I'm not even sure if this question is
too vague ornot. If it> is,
I'm>
> sure you'll tell me.
TIA.>
> >
>
> > Al
Venosa>
> >
advenosa@xxxx>
> >
>
> >
>
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