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Jitu,
The 'PositionScore Ideas' Subject is getting a little old. Let's
change it to QRS Equivilent Scoring.
To begin with, I want to reiterate what I stated earlier as it regards
my posting comparative backtest result stats. Here is a para-phrase
(if that is the right term):
"This backtest comparison is for illustrative purposes only. I make no
claims regarding these test results other than the AFL and Setup
criteria are identical for comparative purposes."
I am running my backtest against a 650+- stock watchlist.
This list is comprised of stocks whose avg daily trading volume
exceeds $25,000,000.
This 650+- ticker watchlist represents about 85-90% of the daily
dollar trading volume on all U.S. exchanges.
I exclude about 8000 other less active issues that DO have QRS ranking
figures, for the purpose of liquidity.
I refresh this list monthly.
This is a matter of personal preference... and whether you agree or
disagree with this approach, it maintains a level playing field for
the purpose of comparing different scoring methodologies. (It also
provides a very fast way to run successive backtests with different
parameters).
QRS values are available on 8,500+- stocks in my QP2 database.
When I run these backtests against the entire 8,500+- tickers, the
results are not as good as represented in my 650+- ticker watchlist.
I do NOT have slippage factored into the results that I am posting
here. The reason is that 'slippage' is a slippery subject indeed <g>,
and I don't have a method of measuring slippage that I am comfortable
with.
I have been trading this system for a few weeks, but not in the purely
mechanical fashion as reflected in the backtest. I am making a little
profit with it, but as much as I hate to admit it, a discretionary
side of me has been awakened and I'm overiding some aspects of the
pure mechanical system (which is not hurting me so far)... (but which
I expect could hurt me in the long run).
Once again, what I am posting is purely for the purpose of providing a
solid base for comparing QRS equivilent measurements.
Hope this answers your question.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Phsst,
>
> Are you running your backtest against all the stocks that
> you think are considered when they calculate QRS? That could
> be a deciding factor, I'd think. Any other filter for
> turnover, price, etc. that you might have, and your results
> are likely to be at least a bit different...
>
> Jitu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > Gary,
> >
> > I do code as much of the GUI stuff as I can into the afl. It never
> > occured to me that coding SetOption("AllowPositionShrinking",True)
> > would skew some of the Report Stats in such a manner.
> >
> > The new backtest results based upon PositionScore are as follows:
> >
> > QRS Risk Adjusted Return 156.31% Sharpe Ratio 1.53
> > QRSRAW Risk Adjusted Return 134.72% Sharpe Ratio 1.38
> > RSW Risk Adjusted Return 105.27% Sharpe Ratio 1.15
> >
> > You decide about the Gov't work stuff. (Truth is that I'd really
> like
> > to see a formula that is equal to or BETTER than QRS since I don't
> > like 'black box' values)
> >
> > I COPY/PASTED YOUR CODE FOR QRSRAW Calc:
> >
> > QRSRAW = ( (C / Ref(C,-62)) * 0.4 ) + ( (Ref(C,-63) / Ref(C,-125)) *
> > 0.2 ) + ( (Ref(C,-126) / Ref(C,-188)) * 0.2 ) + ( (Ref(C,-189) /
> > Ref(C,-251)) * 0.2 );
> >
> > Regards,
> >
> > Phsst
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
> > <serkhoshian777@xxxx> wrote:
> > > 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@xxxx> wrote:
> > > FWIW...
> > >
> > > I just had a short exchange with TJ and either of two actions will
> > > prevent 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
> dollar
> > > profit while showing negative avg PERCENT profit.
> > > >
> > > > Reason is that you are using fixed $30 commissions per trade and
> > > this 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 as
> > > AVERAGE of PERCENT profit/loss
> > > > per trade, so this average becomes negative.
> > > >
> > > > See the few top trades from your trade list. Take a look at two
> > > trades IBM and PDG.
> > > > They are all very small (20 and 6 shares respectively) so fixed
> $30
> > > commission each way generates loss
> > > > of -14.17% and -39.20% respectively.
> > > >
> > > > Now calculating AVERAGE PERCENT p/l is summing % p/l of
> individual
> > > trades 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 SMALL
> > > trades (trades that have very small dollar value).
> > > > Thus big percent looses in such small trades do not really
> affect
> > > profit of entire portfolio.
> > > >
> > > >
> > > > Ticker Trade Entry Exit Change Profit Profit % Shares
> Pos
> > > value Cum Profit # bars Profit/bar MAE/MFE
> > > > SMTC Long 1995-06-01 2,03125 1995-06-02 2,07813 2,31%
> 401,53
> > > 2,01% 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%
> 329,32
> > > 1,65% 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%
> 95,26
> > > 0,48% 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% 480,7
> > > 2,39% 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%
> 788,89
> > > 3,93% 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% 514,7
> > > 2,56% 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% 56,59
> > > 0,28% 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% 45,28
> > > 0,22% 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 a
> > > pull-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@x...]
> > > > > > 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
> difference
> > > was 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 to
> > > this)
> > > > > >
> > > > > > 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
> Price
> > > gain 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
> mkt
> > > for 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
> 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.
> > > > > > > > > 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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