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Hello Howard,
Are you asking how I calculate potential risk &
potential reward ? If so, I did post it in detail earlier in this thread
but it might have not made it to the group. There were other messages that
I sent that did not make it.
Or are you asking what I do on a nightly basis when
I scan and put in orders ?
Yes, I have an idea of my historic WL ratio and I
do keep track of it moving forward. It tends to be relatively
stable. However, I do not do use it to filter potential trades. I
only use RR ratio.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Howard
Bandy
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, December 16, 2003 8:10
AM
Subject: RE: [amibroker] Re:
PositionScore Ideas
<SPAN
>Hi HB
–
<SPAN
>
<SPAN
>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?
<SPAN
>
<SPAN
>Thanks,
<SPAN
>Howard
<SPAN
>
<DIV
>
<SPAN
>-----Original
Message-----From: HB
[mailto:hmab@xxxxxxxxxxxxxx] <SPAN
>Sent: Sunday, December 14, 2003 10:37
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Re:
PositionScore Ideas
<SPAN
>
<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> <A
title=phsst@xxxxxxxxx href="">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 was<FONT
face="Courier New">currently using, except for Fred's BB
example.>
> It increased all the
"good stats" by 50% but it also increased my<FONT
face="Courier New">MDD 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.)>
> Kind
Regards,>
Gary>
> 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 get<FONT
face="Courier New">updated. 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 update<FONT
face="Courier New">daily at EOD. <FONT
face="Courier New">> <FONT
face="Courier New">> <FONT
face="Courier New">> -----
Original Message ----- <FONT
face="Courier New">> From: Phsst
<FONT
face="Courier New">> To:
amibroker@xxxxxxxxxxxxxxx <FONT
face="Courier New">> Sent:
Saturday, December 13, 2003 12:26 PM<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">> >
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face="Courier New">> >
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