[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] StoRSI + 144MA + BB rank



PureBytes Links

Trading Reference Links




Thanks, Ed. That helps a lot. How do you get this from reading the help 
file? And how do you get a printout (exploration) of the ranking AB ascribes to 
each ticker? Suppose you are using, say, the N100 as a watchlist. I'd like to be 
able to see all 100 rankings based on whatever formula I use for ranking and 
whatever AB came up with on the rankings. 
 
Thanks again.
 
AV
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  ed2000nl 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, December 18, 2003 9:14 
  AM
  Subject: Re: [amibroker] StoRSI + 144MA + 
  BB rank
  
  Al,
   
  the PositionsScore uses the absolute values to 
  rank but after it has been ranked it "remembers" if the value was positive or 
  negative originally.
   
  For example: -5, 7, -9
   
  Ranked would be: 9, 7, 5 giving a short, long and 
  a short trade in order of highest rank.
   
  Ed
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Al 
    Venosa 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Thursday, December 18, 2003 3:02 
    PM
    Subject: Re: [amibroker] StoRSI + 144MA 
    + BB rank
    
    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 );<FONT color=#0000ff 
      size=1>
      SetTradeDelays(<FONT color=#ff00ff 
      size=1>1,<FONT color=#ff00ff 
      size=1>1,<FONT color=#ff00ff 
      size=1>1,<FONT color=#ff00ff 
      size=1>1);
      RoundLotSize = 1<FONT 
      size=1>; 
      posqty = Optimize<FONT 
      size=1>("PosQty", 
      1, <FONT 
      color=#ff00ff size=1>1, <FONT color=#ff00ff 
      size=1>20, <FONT color=#ff00ff 
      size=1>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="Courier New" color=#008000 
      size=1>
      //<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,<FONT color=#ff00ff 
      size=1>2)) ;
      denominator= <FONT color=#0000ff 
      size=1>BBandTop(C,<FONT 
      color=#ff00ff size=1>21,<FONT color=#ff00ff 
      size=1>2)-<FONT color=#0000ff 
      size=1>BBandBot(C,<FONT 
      color=#ff00ff size=1>21,<FONT color=#ff00ff 
      size=1>2) ;
      Rank= 100<FONT 
      size=1>-(100<FONT 
      size=1>*((numerator / denominator))) ;<FONT color=#008000 
      size=1>//HighpositiveScore best Long Candidates,<FONT 
      face="Courier New" color=#008000 size=1>//<FONT color=#008000 
      size=1>Lownegativescore , best Shorts
      //
      PositionScore=rank;
      <FONT 
      size=5> <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,<FONT color=#ff00ff 
      size=1>2)) ;
      denominator= <FONT color=#0000ff 
      size=1>BBandTop(C,<FONT 
      color=#ff00ff size=1>21,<FONT color=#ff00ff 
      size=1>2)-<FONT color=#0000ff 
      size=1>BBandBot(C,<FONT 
      color=#ff00ff size=1>21,<FONT color=#ff00ff 
      size=1>2) ;
      Rank= 100<FONT 
      size=1>-(100<FONT 
      size=1>*((numerator / denominator))) ;<FONT color=#008000 
      size=1>//HighpositiveScore best Long Candidates,<FONT 
      face="Courier New" color=#008000 size=1>//<FONT color=#008000 
      size=1>Lownegativescore , best Shorts
      //
      PositionScore=rank ;
      <FONT 
      color=#0000ff> <FONT 
      color=#000000>*****
       
      Bye for now,
      GregSend BUG 
      REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
      suggest@xxxxxxxxxxxxx-----------------------------------------Post 
      AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
      <A 
      href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
      group FAQ at: <A 
      href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
      
      
      Yahoo! Groups Links
      
        To visit your group on the web, go to:<A 
        href="">http://groups.yahoo.com/group/amibroker/  

        To unsubscribe from this group, send an email to:<A 
        href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx  

        Your use of Yahoo! Groups is subject to the <A 
        href="">Yahoo! Terms of Service. 
        
      
    <BLOCKQUOTE 
    ><FONT 
      face="Courier New">---Outgoing mail is certified Virus 
      Free.Checked by AVG anti-virus system (<A 
      href="">http://www.grisoft.com).Version: 
      6.0.552 / Virus Database: 344 - Release Date: 
    12/15/2003Send BUG REPORTS to 
    bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
    suggest@xxxxxxxxxxxxx-----------------------------------------Post 
    AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
    <A 
    href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
    group FAQ at: <A 
    href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
    
    
    Yahoo! Groups Links
    
      To visit your group on the web, go to:<A 
      href="">http://groups.yahoo.com/group/amibroker/  

      To unsubscribe from this group, send an email to:<A 
      href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx  

      Your use of Yahoo! Groups is subject to the <A 
      href="">Yahoo! Terms of Service. 
    Send BUG REPORTS to 
  bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
  suggest@xxxxxxxxxxxxx-----------------------------------------Post 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  
  
  Yahoo! Groups Links
  
    To visit your group on the web, go to:<A 
    href="">http://groups.yahoo.com/group/amibroker/  

    To unsubscribe from this group, send an email to:<A 
    href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx  

    Your use of Yahoo! Groups is subject to the <A 
    href="">Yahoo! Terms of Service. 
  


Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html





Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/ 
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx 
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.