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HB, thanks for the reply, but the only
thing I am confused about is how you fill the arrays in order to calculate RR,
when the BuyPrice, etc has not been established.
Also, since you are ranking a whole bunch
of stocks in order to sort and select by PositionScore, do you keep a table of targetprices
by symbol to feed into the calculation? And do you change this each day (ie,
you do not take the trade on the current day, but does the target price change
for the next day or the next week?).
Totally confusing to me so I am obviously missing
some basic consideration that you know but is non-obvious to me.
I would hope you could clarify further.
Ken
-----Original Message-----
From: HB
[mailto:hmab@xxxxxxxxxxxxxx]
Sent: Monday, December 15, 2003
12:05 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
PositionScore Ideas
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
----- Original Message -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="serkhoshian777@xxxxxxxxx">Gary A.
Serkhoshian
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Monday, December
15, 2003 11:09 AM
Subject:<font size=2
face=Arial> 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:
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 -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="serkhoshian777@xxxxxxxxx">Gary A.
Serkhoshian
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Sunday, December
14, 2003 11:40 PM
Subject:<font size=2
face=Arial> Re: [amibroker]
Re: PositionScore Ideas
HB,
Sounds like UPI or similar, yes? They all seem to do about the
same.
Regards,
Gary
HB <<a
href="">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 -----
<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> Sunday, December
14, 2003 11:04 PM
Subject:<font size=2
face=Arial> [amibroker] Re:
PositionScore Ideas
HB,<span
>
I looked and could not find where you posted your
favorite
Positionscore 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 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,
> <font
size=2 face="Courier New">Gary<font
size=2 face="Courier New">
>
> 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<span
> <span
>12:26 PM<font size=2
face="Courier New">
> 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
> >
> >
> > ---
> >
Outgoing mail is certified Virus Free.
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> >
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