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Anyone know the code for RR ratio?
Thanks
nick
----- Original Message -----
From: "Phsst" <phsst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 15, 2003 4:55 PM
Subject: [amibroker] Re: PositionScore Ideas
> 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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