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HB:
I still have a number of unread messages,
but if you haven’t – and you can – will you describe how to
calculate RR ratio?
Thanks,
Ken
-----Original Message-----
From: HB
[mailto:hmab@xxxxxxxxxxxxxx]
Sent: Monday, December 15, 2003
12:51 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
PositionScore Ideas
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 -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="phsst@xxxxxxxxx">Phsst
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Monday, December
15, 2003 12:43 AM
Subject:<font size=2
face=Arial> [amibroker] Re:
PositionScore Ideas
HB,<span
>
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@x...> 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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> >
> >
> >
> >
>
> Send BUG REPORTS to bugs@xxxx
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