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Hi HB –
Can you share with us your ideas for evaluating
potential reward and potential risk before the trade is entered? When
using RR ratio, it is also valuable to have an idea of what the ratio of
winning trades to losing trades (WL ratio) will be. Do you track RR and
WL on the fly and use these to filter potential trades?
Thanks,
Howard
-----Original Message-----
From: HB
[mailto:hmab@xxxxxxxxxxxxxx]
Sent: Sunday, December 14, 2003
10:37 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
PositionScore Ideas
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,
> Gary
>
> 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 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 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
> >
> >
> > ---
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