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Phsst,
I wasn't questioning your methodology or the list of stocks
that you use. I was replying to this comment of yours -
> 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
What I thought when I wrote that reply was that if QP2's
QRS rankings were ranked using much larger set of stocks, but
if your backtest was run over much smaller subset, then
the results of two backtests, one with QP2's QRS and the other
with your own raw QRS, might be quite a bit different even
if the method to calculate the raw QRS was identical to QP2's.
However, now that I think of it more, the results shouldn't
be *that* different, except in cases where two stocks'
QRS values could be same (say 95), while your own calculated
raw QRS value could be different, affecting what gets picked
for the trade... But that shouldn't happen too often, so the
results should be at least in the ballpark if the method to
calculate raw value is close or identical.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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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