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Hi Phsst,
Thanks for bringing closure to this. FWIW, I always code everything I can off the GUI into the afl I'm using for this reason. Here's what I've been using. BTW, what did you find related to QRSRAW vs QRS in QP2? Close enough for government work?
Regards,
Gary
//Set Initial Equity, Roundlot Size, Trade Settings
STARTEQ = Optimize("Starting Equity",100000,25000,1000000,25000);
SetOption("InitialEquity", STARTEQ);
SetOption("MinShares",1); //1 for Funds, 100 for Stocks
RoundLotSize = 0; //0 for Funds, 100 for Stocks
SetTradeDelays(1,1,1,1); //Buy, Sell, Short, Cover delays
BuyPrice = C; SellPrice = C;
ShortPrice = C; CoverPrice = C;Phsst <phsst@xxxxxxxxx> wrote:
FWIW...I just had a short exchange with TJ and either of two actions willprevent this situation on backtests. Either: SetOption("AllowPositionShrinking",False);or You can also increase "MinShares" setting ...Thanks for clearing this up Tomasz.Phsst--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>wrote:> Hello,> > I have found the reason why your report shows positive avg dollarprofit while showing negative avg PERCENT profit.> > Reason is that you are using fixed $30 commissions per trade andthis causes> that certain trades of that have small position value loose a lot(in percent).> > This influences average PERCENT gain/loss since it is calculated asAVERAGE
of PERCENT profit/loss> per trade, so this average becomes negative. > > See the few top trades from your trade list. Take a look at twotrades IBM and PDG.> They are all very small (20 and 6 shares respectively) so fixed $30commission each way generates loss> of -14.17% and -39.20% respectively.> > Now calculating AVERAGE PERCENT p/l is summing % p/l of individualtrades and dividing them by the number of> trades leads to NEGATIVE percent p/l EVEN though system EARNED money.> > This is so because big percent looses happen only on VERY SMALLtrades (trades that have very small dollar value).> Thus big percent looses in such small trades do not really affectprofit of entire portfolio.> > > Ticker Trade Entry Exit Change Profit Profit % Shares Posvalue Cum Profit # bars Profit/bar MAE/MFE
> SMTC Long 1995-06-01 2,03125 1995-06-02 2,07813 2,31% 401,532,01% 9846 19999,69 401,53 2 200,77 0,00% 6,15% > VRTS Long 1995-06-01 1,28395 1995-06-02 1,25103 -2,56% -572,5-2,86% 15567 19987,26 -170,96 2 -286,25 -2,56% 0,00% > COMS Long 1995-06-01 6,67969 1995-06-02 6,8099 1,95% 329,321,65% 2990 19972,26 158,36 2 164,66 -0,39% 3,70% > INTC Long 1995-06-01 7,03125 1995-06-02 7,08594 0,78% 95,260,48% 2839 19961,72 253,62 2 47,63 -0,11% 2,89% > CDWC Long 1995-06-01 6,5 1995-06-02 6,625 1,92% 323,25 1,62%3066 19929,00 576,87 2 161,63 -2,56% 1,92% > EMC Long 1995-06-02 2,90625 1995-06-05 2,98438 2,69% 480,72,39% 6921 20114,16 1057,57 2 240,35 -2,15% 2,69% > ORCL Long
1995-06-02 2,62963 1995-06-05 2,74074 4,23% 788,893,93% 7640 20090,37 1846,46 2 394,44 -2,82% 4,23% > AIG Long 1995-06-02 17,9358 1995-06-05 18,4494 2,86% 514,72,56% 1119 20070,16 2361,16 2 257,35 -0,11% 3,30% > VLO Long 1995-06-02 14,406 1995-06-05 14,4898 0,58% 56,590,28% 1392 20053,15 2417,75 2 28,29 -0,58% 0,58% > MBG Long 1995-06-05 34 1995-06-06 33,75 -0,74% -210,25 -1,03%601 20434,00 2207,5 2 -105,13 -0,74% 0,37% > STJ Long 1995-06-05 14,75 1995-06-06 14,75 0,00% -60 -0,29%1385 20428,75 2147,5 2 -30 -0,85% 0,56% > FHCC Long 1995-06-05 7,875 1995-06-06 7,96875 1,19% 183 0,90%2592 20412,00 2330,5 2 91,5 0,00% 3,17% > BDX Long 1995-06-05 14,5313 1995-06-07 14,2813 -1,72% -411-2,01% 1404 20401,88
1919,5 3 -137 -1,72% 0,00% > IBM Long 1995-06-05 22,9375 1995-06-07 22,6875 -1,09% -65-14,17% 20 458,75 1854,5 3 -21,67 -1,91% 1,91% > EMC Long 1995-06-06 2,9375 1995-06-07 2,90625 -1,06% -276,47-1,36% 6927 20348,06 1578,03 2 -138,23 -1,06% 1,60% > IACI Long 1995-06-06 3,4375 1995-06-07 3,5 1,82% 309,75 1,52%5916 20336,25 1887,78 2 154,88 0,00% 5,45% > SDS Long 1995-06-06 6,03125 1995-06-07 6,0625 0,52% 45,280,22% 3369 20319,28 1933,06 2 22,64 0,00% 2,07% > PDG Long 1995-06-06 24,875 1995-06-08 25,125 1,01% -58,5-39,20% 6 149,25 1874,56 3 -19,5 -1,51% 2,01% > GG Long 1995-06-07 2,90625 1995-06-08 2,90625 0,00% -60 -0,30%6997 20335,03 1814,56 2 -30 -1,08% 0,00% >
GDW Long 1995-06-07 16,0417 1995-06-08 16,125 0,52% 45,5 0,22%1266 20308,75 1860,06 2 22,75 -0,52% 1,30% > Avg profit: Avg % profit: > +93,0025 -2,17% > > Hope this helps.> > Best regards,> Tomasz Janeczko> amibroker.com> ----- Original Message ----- > From: "Phsst" <phsst@xxxx>> To: <amibroker@xxxxxxxxxxxxxxx>> Sent: Monday, December 15, 2003 4:58 AM> Subject: [amibroker] Re: PositionScore Ideas> > > Chuck,> > FWIW, I exported the trade list from the backtest I posted, and then> processed the trades with my own reporting program that I used prior> to introduction of Portfolio trading in AB.> > The reported
Net Profit I posted matched. As did the calculated Risk> Adj RAR. So the other figures that you found issues with are in> question (I did not calc those figures in my own program).> > I've heard from TJ... apprised him of the figures you pointed out, and> at his request sent everything related to the backtest to him for> analysis.> > We will see.> > Phsst > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:> > Greg, Chuck & Gary,> > > > No 'bother' Greg. > > > > And thanks to Chuck for his hints regarding applying recent negative> > pullbacks. > > > > I haven't heard back from TJ yet concerning the reporting issues of my> > backtest.> > > > Tonight I'll export the trades to XL and at least verify that Net> > Profit calcs were or were not
correct. Also, I have my own program> > that than take that data and verify Risk Adj RAR.> > > > And finally, I'll take a look at the QRSRaw calc that Gary posted to> > see if it approximates the QRS rank.> > > > Phsst> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"> > <chuck_rademacher@x> wrote:> > > Greg,> > > > > > FWIW, I don't think you want to do this (below). I don't see how> > you can> > > compare absolute dollar returns for different stocks. I'm sure> > that you> > > will want to divide rather than subtract.> > > > > > Also, see postings by Phsst regarding the results below. They> are very> > > suspect for lots of reasons. You can't have a positive CAR with
a> > negative> > > average return per trade.> > > > > > I'll also let you in on a big secret! I can't provide the exact> code> > > (sorry), but I think you will find that negatively applying the> > return for> > > the last few days (weeks?) to this formula will dramatically help a> > > short-term system. In other words, add up the returns like you are> > already> > > doing and then subtract the returns for the most recent period. > > This helps> > > to buy stocks that have been rising but are experiencing apull-back.> > > > > > I am trading one fund using this technique and it has been working> very> > > well. I'm aware of two other hedge funds that have been trading> > this way> > > for more than 15 years and the
performance of each has been stellar!> > > -----Original Message-----> > > From: Greg [mailto:gregbean@xxxx]> > > Sent: Sunday, December 14, 2003 3:06 PM> > > To: amibroker@xxxxxxxxxxxxxxx> > > Subject: Re: [amibroker] Re: PositionScore Ideas> > > > > > > > > Phsst,> > > > > > The return doesn't look so good for RSW. Could you please try> > comparison> > > using the following formula instead . I'm not sure that the original> > formula> > > I provided should have been as a percent. Maybe it makes a> difference ??> > > > > > // RSWraw = .4*(Total Return 13-Week)+.3*(Total Return> > 26-Week)+.3*(Total> > > Return 1-Year)> > >
tr13 = 0.4 * (C - Ref(C, -65));> > > tr26 = 0.3 * (C - Ref(C, -130));> > > tr52 = 0.3 * (C - Ref(C, -260));> > > RSWraw = tr13 + tr26 + tr52;> > > PositionScore = RSWraw;> > > > > > Sorry to bother you again.> > > > > > Greg> > > > > > > > > > > > > > > ----- Original Message -----> > > From: Phsst> > > To: amibroker@xxxxxxxxxxxxxxx> > > Sent: Saturday, December 13, 2003 6:30 PM> > > Subject: [amibroker] Re: PositionScore Ideas> > > > > > > > > Greg,> > > > > > This
backtest comparison is for illustrative purposes only. I> > make no> > > claims regarding these test results other than the AFL and Setup> > > criteria was identical for both tests. The only differencewas the> > > assignment of PositionScore = QRS versus PositionScore = RSW.> > > > > > NOTE:> > > > > > // RSW = .4*(Total Return 13-Week)+.3*(Total Return> > 26-Week)+.3*(Total> > > Return 1-Year)> > > tr13 = 0.4 * (C - Ref(C, -65)) / Ref(C, -65) * 100;> > > tr26 = 0.3 * (C - Ref(C, -130)) / Ref(C, -130) * 100;> > > tr52 = 0.3 * (C - Ref(C, -260)) / Ref(C, -260) * 100;> > >
RSW = tr13 + tr26 + tr52;> > > PositionScore = RSW;> > > > > > Date Range 6/1/1995 to Present (No QRS scores exist prior tothis)> > > > > > Direct comparison:> > > > > > RSW SCORE QRS SCORE> > > Long trades Long trades> > > Initial capital 100000 100000> > > Ending capital 22984180 190338380> > >
Net Profit 22884180 190238380> > > Net Profit % 22884.18% 190238.38%> > > Exposure % 94.25% 94.16%> > > Net RAR % 24280.98% 202035.63%> > > Annual Return % 89.07% 142.19%> > > Risk Adj Retn % 94.50% 151.01%> > > > > > All trades 7431 (100.00
%) 7487 (100.00 %)> > > Avg. Profit/Loss 3079.56 25409.16> > > Avg. Profit/Loss % -4.16% -2.88%> > > Avg. Bars Held 2.65 2.63> > > > > > Winners 3829 (51.53 %) 4066 (54.31 %)> > > Total Profit 64437022.92 436648089.7> > > Avg. Profit 16828.68 107390.09> > >
Avg. Profit % 3.10% 3.13%> > > Avg. Bars Held 2.33 2.33> > > Max. Consecutive 17 17> > > Largest win 978262.15 7798920.06> > > # bars in largest win 2 2> > > > > > Losers 3602 (48.47 %) 3421 (45.69 %)> > > Total Loss -41552842.92
-246409709.4> > > Avg. Loss -11536.05 -72028.56> > > Avg. Loss % -11.88% -10.03%> > > Avg. Bars Held 2.98 2.99> > > Max. Consecutive 13 12> > > Largest loss -542767 -4301835.5> > > # bars in largest loss 6 6> > > > > > Max. trade
drawdown -610851.92 -4864832.72> > > Max. trade % drawdown -98.69% -99.67%> > > Max. system drawdown -2119041.36 -15587244.83> > > Max. system % drawdown -34.68% -27.63%> > > Recovery Factor 10.8 12.2> > > CAR/MaxDD 2.57 5.15> > > RAR/MaxDD
2.72 5.46> > > Profit Factor 1.55 1.77> > > Payoff Ratio 1.46 1.49> > > Standard Error 2982472.3 25676798.01> > > Risk-Reward Ratio 0.44 0.38> > > Ulcer Index 12.1 7.64> > > Ulcer Performance Index 6.92 17.9> >
> Sharpe Ratio of trades -0.72 -0.86> > > K-Ratio 1.09 0.93> > > > > > FWIW, I have some other systems / variations that I'll run a> RSW vs.> > > QRS comparison on. If there are any notable improvements to> the RSW> > > results, I'll post them.> > > > > > Regards,> > > > > > Phsst> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:> > > >
Phsst,> > > >> > > > Yes I think it is (Total Return 13-Week) means (Pct Price> gain in> > > > 13-Weeks). The terms are from ValueLine, I think.> > > > http://www.valueline.com/> > > >> > > > IBD definition of Relative Strength:> > > >> > > > Relative Price Strength (RS) Rating or Relative> StrengthThis IBD> > > SmartSelect® Corporate Rating measures each stock's price> > performance> > > over the latest twelve months compared to all other stocks. The> > rating> > > scale ranges
from 1 (lowest) to 99 (highest). Stocks rating> below 70> > > indicate weaker or more laggard relative price performance.> > > > http://www.investors.com/> > > >> > > >> > > > Greg> > > >> > > > ----- Original Message -----> > > > From: Phsst> > > > To: amibroker@xxxxxxxxxxxxxxx> > > > Sent: Saturday, December 13, 2003 4:52 PM> > > > Subject: [amibroker] Re: PositionScore Ideas> > > >> >
> >> > > > Greg,> > > >> > > > I'll be happy to do a comparison on just about anything that> > might> > > be> > > > comparable to IDB's RS Rank.> > > >> > > > I assume that (Total Return 13-Week) means (Pct Pricegain in> > > > 13-Weeks), and so on?> > > >> > > > Worth noting here, that IDB's RS Rank is a score between 1> > and 100> > > > that ranks each particular stock against the whole mktfor the> >
> past year.> > > >> > > > But for positionscore pusposes, we are not limited to a> > score of 1 -> > > > 100, so I can do the raw comparison of results from your> formula> > > to QRS.> > > >> > > > I'll post back later under this same Subject.> > > >> > > > Regards> > > >> > > > Phsst> > > >> > > >> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Greg"
<gregbean@xxxx>> wrote:> > > > > Hi Phsst.> > > > >> > > > > Here is a formula that I have been told closely follows> > that of> > > IBD.> > > > Could you please do the comparison you offered ?> > > > >> > > > > RSW = .4*(Total Return 13-Week)+.3*(Total Return> > > 26-Week)+.3*(Total> > > > Return 1-Year)> > > > >> > > > > Thanks,> > > > > Greg> > >
> > ----- Original Message -----> > > > > From: Phsst> > > > > To: amibroker@xxxxxxxxxxxxxxx> > > > > Sent: Saturday, December 13, 2003 1:26 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 RSranking> > > score.> > > > >> > > > > I almost always get a significant boost using thisranking> > > figure as> > > > > as the positionscore.> > > > >> > > > > If you do not have QP2, but have any ideas about howto 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 termtrading> > > 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 thebest> > > 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 ofturnover 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 justlooking 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.> > > > > > Checked by AVG anti-virus system> (http://www.grisoft.com).> > > > > > Version: 6.0.543 / Virus Database: 337 - Release Date:> > > 11/21/2003> >
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