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HB and Gary:
I'm wondering how one uses a term such as RR ratio or UPI in a
positionscore statement since RRR and UPI are calculated AFTER the fact, i.e.,
after the backtest, not before it, are they not? Wouldn't this be like stating
PositionScore = Equity(1), were you would pick the stock with the highest
equity? Could you please supply example code for some of us code-challenged
dummies and explain how this is done? TIA.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
HB
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, December 15, 2003 12:37
AM
Subject: Re: [amibroker] Re:
PositionScore Ideas
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
?
<FONT face=Arial
size=2>
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=serkhoshian777@xxxxxxxxx
href="">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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