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Nick, Al, Gary, Ken, et al.
The RR ratio I'm talking about is not the same RR
ratio that is part of the backtester's results. That RR ratio is a
portfolio level metric that can only be calculated after running a
backtest. See the help file for more info about it.
The RR ratio I mentioned is really a very basic
metric. It assumes that you can determine a possible target price for your
trade. You can calculate the target price based on whatever method you
like, e.g. prior resistance level, retracement level, desired profit level,
etc. It really depends on your system's buy/sell rules. Also, it may
work better for shorter term systems.
As for actual calculation, it is simply
= potential profit for this trade / potential risk for this
trade.
Something like: (targetprice -
buyprice)/(buyprice-stopprice)
It's not perfect but it works for me.
I'm in the process of adding a past performance
metric to this RR ratio to see if I can get even better ranking. Adding a
past performance metric will allow me to:
- scan through all markets on a daily basis
(instead of through a pre-selected basket)
- only look at stocks that have performed well with
my system in the past
- only enter into trades with the best
risk-adjusted reward potential
Hope that clarifies things.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, December 15, 2003 11:09
AM
Subject: Re: [amibroker] Re:
PositionScore Ideas
Hi HB,
Definitely not the same as UPI, but it is certainly risk-adjusted :
)
That's a pretty nifty idea to rank that way assuming that you can
effectively quantify the potential reward which, thinking out-loud, I suppose
could be accomplished with some derivation of MFE.
Thanks for the post,
Gary HB <<A
href="">hmab@xxxxxxxxxxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>
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> >
> >
> >
---> > Outgoing mail is
certified Virus Free.> >
Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).>
> Version: 6.0.543 / Virus Database: 337 - Release
Date:11/21/2003> > > >
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