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Greg, thanks for the code. I am embarrassed to even ask this question, but
at the risk of being called a dummy, I'm going to ask it anyway (maybe TJ won't
see it!). I still don't fully understand the PositionScore function despite
reading and re-reading the help file. It ranks stocks on the basis of
highest ABSOLUTE score. Yet, in your remarked statement after the Rank line
in your code, you state "highpositivescore best long candidates,
lownegativescore best short candidates." So, if it converts all Ranks into
absolute scores, how does it distinguish long candidates from short
candidates, since absolute scores are all positive? How do you get a printout of
the PositionScore stock ticker rankings? TIA.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Greg
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">AmiBroker@xxxxxxxxxxx
Sent: Thursday, December 18, 2003 8:13
AM
Subject: [amibroker] StoRSI + 144MA + BB
rank
Hi,
I was trying to workout a system in Amibroker that would use StoRSI
and 144 Ma for trading rules.
I wasn't having great results until I added a ranking method
presented by Gary Serkoshian in his slideshow presentation. It used
BollingerBands to score and rank the trades.
The following Amibroker Code is what I came up with.
Try it and tell me what you think about the system if you care to comment
and get the time. This is intended for trading a portfolio of two or
more stocks and won't improve the score of only one stock.
// Stochastic - RSI , recommended by Steve
Karnish //
// With portfolio mode //
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions open simultaneously
**
****/
SetOption(<FONT color=#ff00ff
size=1>"InitialEquity", <FONT color=#ff00ff
size=1>10000 );
SetTradeDelays(<FONT color=#ff00ff
size=1>1,1<FONT
size=1>,1,<FONT
color=#ff00ff size=1>1);
RoundLotSize = 1;
posqty = Optimize<FONT
size=1>("PosQty",
1, <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>20, 1<FONT
size=1> );
SetOption(<FONT color=#ff00ff
size=1>"MaxOpenPositions", posqty);<FONT
color=#008000 size=1>
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize = -100<FONT
size=1>/posqty;
// The StoRSI system ......
//
StoRSI = EMA<FONT
size=1>((scRSI<FONT
size=1>(C,8) -
LLV<FONT
size=1>(scRSI<FONT
size=1>(C,8<FONT
size=1>),8))/
(HHV<FONT
size=1>(scRSI<FONT
size=1>(C,8<FONT
size=1>),8) -
LLV<FONT
size=1>(scRSI<FONT
size=1>(C,8<FONT
size=1>),8<FONT
size=1>)),3<FONT
size=1>)*100;
BL=11;
SL=89<FONT
size=1>;
//Trend qualifier .....
x=MA<FONT
size=1>(C,144<FONT
size=1>);
MAlong=x>Ref<FONT
size=1>(x,-1);
MAshort=x<Ref<FONT
size=1>(x,-1<FONT
size=1>);
//
Buy = Cross<FONT
size=1>(11,StoRSI)
AND MAlong;
Sell= Cross<FONT
size=1>(StoRSI,89<FONT
size=1>);
Short = Cross<FONT
size=1>(89,StoRSI)
AND MAshort;// AND
MAshort=True;
Cover = Cross<FONT
size=1>(11<FONT
size=1>,StoRSI);
//Plot(Equity(),"Equity",1,1);<FONT
color=#008000 size=1>
// now additional score
// that is used to rank equities
// when there are more ENTRY signals than available
// positions/cash
//<FONT
face="Times New Roman">PositionScore = 100-RSI(); // prefer stocks that have
low RSI;
//
SetOption(<FONT color=#ff00ff
size=1>"WorstRankHeld",<FONT color=#ff00ff
size=1>10);
numerator=(C-<FONT color=#0000ff
size=1>BBandBot(C,<FONT color=#ff00ff
size=1>21,2<FONT
size=1>)) ;
denominator= BBandTop<FONT
size=1>(C,21<FONT
size=1>,2<FONT
size=1>)-BBandBot<FONT
size=1>(C,21<FONT
size=1>,2) ;
Rank= 100<FONT
size=1>-(100*((numerator
/ denominator))) ;//HighpositiveScore best
Long Candidates,<FONT face="Courier New" color=#008000
size=1>//Lownegativescore , best Shorts
//
PositionScore=rank;
<FONT
color=#000000>*****
I'd be interested to know how this ranking method
compares with the Relative Strength ones we talked about
recently.
SetOption(<FONT color=#ff00ff
size=1>"WorstRankHeld",<FONT color=#ff00ff
size=1>10);
numerator=(C-<FONT color=#0000ff
size=1>BBandBot(C,<FONT color=#ff00ff
size=1>21,2<FONT
size=1>)) ;
denominator= BBandTop<FONT
size=1>(C,21<FONT
size=1>,2<FONT
size=1>)-BBandBot<FONT
size=1>(C,21<FONT
size=1>,2) ;
Rank= 100<FONT
size=1>-(100*((numerator
/ denominator))) ;//HighpositiveScore best
Long Candidates,<FONT face="Courier New" color=#008000
size=1>//Lownegativescore , best Shorts
//
PositionScore=rank ;
<FONT
color=#0000ff> <FONT
color=#000000>*****
Bye for now,
GregSend BUG REPORTS
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