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Hi Al,
If you are looking at it on a go-forward basis, in other words looking at today's UPI to make a decision about tomorrow, then you are not improperly biasing your results IMHO. As I'd mentioned, CAR/MaxDD will get you in the same ballpark as UPI.
Here's the basic formula which you already know:
UPI = (CAR - RF) / UI
where:
RF = risk-free rate
UI = Ulcer Index
Lemme clean up the code I have as it's convoluted enough to make Rube Goldberg blush. I will make a point of posting it.
Happy Holidays,
Gary
Al Venosa <advenosa@xxxxxxxxxxxx> wrote:
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
----- Original Message -----
From: HB
To: 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 ?
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,
GaryHB <hmab@xxxxxxxxxxxxxx> 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 favoritePositionscore method. Did I miss it?Phsst--- In 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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