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Ken,
Unless I'm not understanding something about your
system and the way you trade it, you should be able to establish all the prices
necessary for this calculation.
Target = Calculated using whatever method you like,
e.g. prior resistance level, retracement level, desired profit level, etc.
If you can't calculate or approximate a target due to the nature of your system
then using this ratio might be impossible. However, one idea might be to
instead use a target number based on past performance.
Buyprice = This is whatever price you will be
entering when you enter your buy order. If you're buying on open the next day or
at some other unknown price (e.g. close of next day), then this might be a bit
difficult to determine. However, you could always approximate the next
day's open by using e.g. today's close or something else. Once again, not
perfect, but better than nothing.
Stopprice = This assumes you use stops when
entering a trade. This would be the stop price that you will be entering
when you enter your stop order.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, December 15, 2003 12:17
PM
Subject: RE: [amibroker] Re:
PositionScore Ideas
<SPAN
>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.
<SPAN
>
<SPAN
>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?).
<SPAN
>
<SPAN
>Totally confusing to
me so I am obviously missing some basic consideration that you know but is
non-obvious to me.
<SPAN
>
<SPAN
>I would hope you
could clarify further.
<SPAN
>
<SPAN
>Ken
<SPAN
>
<SPAN
>-----Original
Message-----From: HB
[mailto:hmab@xxxxxxxxxxxxxx] <SPAN
>Sent: Monday, December 15, 2003 12:05
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Re:
PositionScore Ideas
<SPAN
>
<SPAN
>Nick, Al, Gary, Ken, et
al.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>As for actual calculation,
it is simply = potential profit for this trade / potential risk for
this trade.
<SPAN
>
<SPAN
>Something like: (targetprice -
buyprice)/(buyprice-stopprice)
<SPAN
>
<SPAN
>It's not perfect but it works for
me.
<SPAN
>
<SPAN
>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:
<SPAN
>- scan through all markets on a
daily basis (instead of through a pre-selected basket)
<SPAN
>- only look at stocks that have
performed well with my system in the past
<SPAN
>- only enter into trades with the
best risk-adjusted reward potential
<SPAN
>
<SPAN
>Hope that clarifies
things.
<SPAN
>
<SPAN
>HB
<SPAN
>
<BLOCKQUOTE
>
<SPAN
>----- Original Message -----
<FONT face=Arial
size=2><SPAN
>From:<FONT
face=Arial size=2> <A
title=serkhoshian777@xxxxxxxxx href="">Gary
A. Serkhoshian
<SPAN
>To:<FONT
face=Arial size=2> <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<SPAN
>Sent:<FONT
face=Arial size=2> Monday,
December 15, 2003 11:09 AM
<SPAN
>Subject:<FONT
face=Arial size=2> Re:
[amibroker] Re: PositionScore Ideas
<SPAN
>
<SPAN
>Hi HB,
<SPAN
>
<SPAN
>Definitely not the same as UPI, but it is certainly
risk-adjusted : )
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>Thanks for the post,
<SPAN
>Gary <SPAN
>HB <<A
href="">hmab@xxxxxxxxxxxxxx>
wrote:
<BLOCKQUOTE
>
<SPAN
>Gary,
<SPAN
>
<SPAN
>The reward-risk ratio is on a
per signal basis. Each potential buy signal is ranked by its RR
ratio.
<SPAN
>
<SPAN
>RR = potential reward for this
trade / potential risk for this trade
<SPAN
>
<SPAN
>I don't think that's the same
as UPI, right ?
<SPAN
>
<SPAN
>HB
<SPAN
>
<BLOCKQUOTE
>
<SPAN
>----- Original Message -----
<FONT face=Arial
size=2><SPAN
>From:<FONT
face=Arial size=2> <A
title=serkhoshian777@xxxxxxxxx
href="">Gary A. Serkhoshian
<SPAN
>To:<FONT
face=Arial size=2> <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<SPAN
>Sent:<FONT
face=Arial size=2>
Sunday, December 14, 2003 11:40 PM
<SPAN
>Subject:<FONT
face=Arial size=2> Re:
[amibroker] Re: PositionScore Ideas
<SPAN
>
<SPAN
>HB,
<SPAN
>
<SPAN
>Sounds like UPI or similar, yes? They all
seem to do about the same.
<SPAN
>
<SPAN
>Regards,
<SPAN
>Gary<SPAN
>HB <<A
href="">hmab@xxxxxxxxxxxxxx>
wrote:
<BLOCKQUOTE
>
<SPAN
>Phsst, no you did not
miss it because I never posted it.
<SPAN
>
<SPAN
>My original one is based
on a really simple reward/risk ratio. The higher the ratio, the
better.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>HB
<SPAN
>
<BLOCKQUOTE
>
<SPAN
>----- Original Message
-----
<FONT face=Arial
size=2><SPAN
>From:<FONT
face=Arial size=2>
Phsst
<SPAN
>To:<FONT
face=Arial size=2>
<A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<SPAN
>Sent:<FONT
face=Arial size=2>
Sunday, December 14, 2003 11:04 PM
<SPAN
>Subject:<FONT
face=Arial size=2>
[amibroker] Re: PositionScore Ideas
<SPAN
>
<SPAN
>HB,<FONT
face="Courier New" size=2><SPAN
><FONT
face="Courier New">I looked and could not find where you posted your
favoritePositionscore
method. Did I miss
it?<FONT
face="Courier New">Phsst<FONT
face="Courier New">--- 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.<FONT
face="Courier New">> <FONT
face="Courier New">> 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.<FONT
face="Courier New">> <FONT
face="Courier New">> HB<FONT
face="Courier New">> <FONT
face="Courier New">> ----- Original Message -----
> From:
Gary A. Serkhoshian <FONT
face="Courier New">> To: amibroker@xxxxxxxxxxxxxxx
> Sent:
Saturday, December 13, 2003 1:00 PM<FONT
face="Courier New">> 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:<FONT
face="Courier New">> <FONT
face="Courier New">> BBandWid =
2;>
> UBBand
= BBandTop(Close, 21, BBandWid);<FONT
face="Courier New">> <FONT
face="Courier New">> LBBand = BBandBot(Close, 21,
BBandWid);>
>
PositionScore = 100 - 100 * (Close - LBBand) / (UBBand
-LBBand);//0 when C ==
Upper Band, 100 when C == Lower Band<FONT
face="Courier New">> <FONT
face="Courier New">> 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.)<FONT
face="Courier New">> <FONT
face="Courier New">> Kind
Regards,<FONT
face="Courier New">>
<SPAN
>Gary<FONT
face="Courier New" size=2><SPAN
><FONT
face="Courier New">> <FONT
face="Courier New">> Al Venosa <advenosa@xxxx>
wrote:<FONT
face="Courier New">> Thanks, Phsst. I'm a
QP2 user also. But all those QP2<FONT
face="Courier New">GetExtraData 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.
>
>
<FONT
face="Courier New">> -----
Original Message ----- <FONT
face="Courier New">> From:
Phsst <FONT
face="Courier New">> To:
amibroker@xxxxxxxxxxxxxxx <FONT
face="Courier New">> Sent:
<SPAN
>Saturday, December 13,
2003<SPAN
> <FONT
face="Courier New" size=2>12:26
PM<SPAN
><FONT
face="Courier New">> Subject:
[amibroker] Re: PositionScore Ideas<FONT
face="Courier New">> <FONT
face="Courier New">> <FONT
face="Courier New">>
Al,>
<FONT
face="Courier New">> My
favorite is the QP2 QRS value (GetExtraData("QRS"). The QP2
QRS<FONT
face="Courier New">> value is
supposed to be a 'knockoff' of the IBD RS ranking
score.>
<FONT
face="Courier New">> I almost
always get a significant boost using this
rankingfigure
as<FONT
face="Courier New">> as the
positionscore.>
<FONT
face="Courier New">> If you
do not have QP2, but have any ideas about how to
doyour own
RS<FONT
face="Courier New">> Rank
calculation, I'd be happy to run some comparisons for you
(or<FONT
face="Courier New">> anyone
else) to measure your calculated RS Rank against
QP2'sQRS
rank.>
<FONT
face="Courier New">>
Cheers,>
<FONT
face="Courier New">>
Phsst<FONT
face="Courier New">> --- In
amibroker@xxxxxxxxxxxxxxx, "Al Venosa"
<advenosa@xxxx><FONT
face="Courier New">wrote:<FONT
face="Courier New">> > Hi,
all:<FONT
face="Courier New">> >
<FONT
face="Courier New">> >
I've been experimenting with variuos short term trading
systems<FONT
face="Courier New">> lately
(average trade durations of about 2.5 days), and I
was<FONT
face="Courier New">looking<FONT
face="Courier New">> for
ideas on how best to rank a watchlist to get the
best<FONT
face="Courier New">candidates<FONT
face="Courier New">> for
portfolio trading a basket of 4 stocks. I was wondering
if<FONT
face="Courier New">anyone<FONT
face="Courier New">> would
care to share any ideas on how you use the
PositionScore<FONT
face="Courier New">> function
to rank your candidate list (using regular mode,
not<FONT
face="Courier New">>
rotational mode). I've tried combinations of turnover
and<FONT
face="Courier New">volatility,<FONT
face="Courier New">> but I'd
like to try other ideas. I'm not asking anyone to
give<FONT
face="Courier New">away<FONT
face="Courier New">> any
secrets, and, yes, I am aware of TJ's example in the help
file<FONT
face="Courier New">>
(PositionScore = 100 -RSI());), but I was just looking
formore
ideas.<FONT
face="Courier New">> I'm not
even sure if this question is too vague or not. If
itis,
I'm<FONT
face="Courier New">> sure
you'll tell me. TIA.<FONT
face="Courier New">> >
<FONT
face="Courier New">> > Al
Venosa<FONT
face="Courier New">> >
advenosa@xxxx<FONT
face="Courier New">> >
<FONT
face="Courier New">> >
<FONT
face="Courier New">> >
---<FONT
face="Courier New">> >
Outgoing mail is certified Virus Free.<FONT
face="Courier New">> >
Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).<FONT
face="Courier New">> >
Version: 6.0.543 / Virus Database: 337 - Release
Date:<FONT face="Courier New"
size=2><SPAN
>11/21/2003<FONT
face="Courier New" size=2><SPAN
><FONT
face="Courier New">> <FONT
face="Courier New">> <FONT
face="Courier New">> <FONT
face="Courier New">>
<SPAN
><FONT
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