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There is no reason you should not stick with it.
It worked for me with some past trading systems (before
PositionScore's) were available.
I'll be giving it a try in the PositionScore realm soon.
Take care.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "HB" <hmab@xxxx> wrote:
> 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
>
> ----- Original Message -----
> From: Phsst
> To: 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 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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