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Followup on the dumbest message for December....
My assertion was that BOP (proprietary indicator from TC2000) was
somehow the same as the Weighted MAM calculation enabled by the code
provided by B Robinson below.
The reality: they are quite different indeed.
The anomaly: they do indeed produce trade lists that are nearly
identical, and which in turn produce very similar ranking and backtested
portfolio results.
The unanswered question: what is about WtdMAM and BOP, which produce
very different NUMBERS, yet when scored and sorted, produce very similar
trade lists???
Answer provided another day, another year.
Ken
-----Original Message-----
From: Ken Close [mailto:closeks@xxxxxxxx]
Sent: Wednesday, December 17, 2003 4:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Momentum Ranking - A better way for QRS and
other scoring
All: we have had a recent thread on PositionScore options.
In one case, TC2000's BOP was mentioned as a possible ranking number,
and then there was a lot of discussion about it being a proprietary
indicator, well hidden from reverse engineering.
I just took Bruce's function for MAM and made a "weighted MAM" out of
it.
I used this:
WtdMAM = 0.4*MAM(C,62) + 0.2*MAM(C,125) + 0.2*MAM(C,188) +
0.2*MAM(C,251);
PositionScore=WtdMAM;//
(** I know you know this, but you can not just plug this line in without
also defining the function that Bruce lists below **)
I ran this against a system with WtdMAM and then with BOP; two tests,
one with each variable as the ranking score.
Results were, unbelieveably, virtually identical over 1/2/1998 to
12/31/2003 (current) over 8032 stocks (screened of course by another set
of criteria).
The point is I was amazed at how these two variables delivered almost
identical results.
Thanks Bruce!
FYI.
Ken
-----Original Message-----
From: bruce1r@xxxxxxxxx [mailto:bruce1r@xxxxxxxxx]
Sent: Wednesday, December 17, 2003 10:14 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Momentum Ranking - A better way for QRS and other
scoring
I was catching up on some posts and saw some threads on QRS and other
momentum scoring applications. I could either go Christmas shopping,
or delay and write this up - easy choice.
For most momentum ranking applications, there is a straightforward
replacement called Most Anchored Momentum that is superior. The idea
of Most Anchored Momentum (MAM) was originated by Rudy Stefenel in
1998. It uses relatively simple math to "anchor" the denominator of
a momentum calculation. This results in a smoother value that is not
shifted in relation to raw momentum. Visually, you also can see
artifacts that the standard momentum calculation creates that are
corrected by MAM. It makes use of the fact that a MA() is really a
filter that shifts the result in time and delays it by period/2
ticks. An unshifted MA of a price in the past can be be derived by
the MA using a 2*period tick parameter. Rudy performed some
extensive tests on trading systems with different metrics (UPI, curve
fit index, etc.) and MAM scoring almost always outperformed standard
ranking.
Here's some simplified IB code for MAM.
-- Bruce R.
function MOM(price, momper)
{
// Standard momentum
return (100 * ((price / Ref(price, -momper)) - 1));
}
function MAM(price, momper)
{
// Most Anchored Momentum -
// An outgrowth of a MA filter is that the MA is delayed by
the period/2.
// To get the coincident average of a price N ticks ago, use
a period or
// N*2 for the MA. This is used to "anchor" the demonimator
of the
// momentum calculation.
smaper = 2 * momper + 1;
return (100 * ((price / MA(price, smaper)) - 1));
}
mperiod = 16;
Plot(MOM(Close, mperiod), "MOM", colorYellow, styleLine);
Plot(MAM(Close, mperiod), "MAM", colorGreen, styleLine);
Plot(0, "", colorWhite, styleLine);
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