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Al,
no I am just guessing. It is the way I
would do it.
About a printout. Myself I only used PositionScore
in the rotational mode. Then you can see the highest ranked stocks in the
automatic analysis window. Depending on the MaxOpenPositions I can see e.g. the
highest 20 ranked stocks.
So I can't really anwser the second part of your
question,
rgds, Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Al
Venosa
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, December 18, 2003 3:21
PM
Subject: Re: [amibroker] StoRSI + 144MA +
BB rank
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:
<A title=gregbean@xxxxxxxxxxx
href="">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 = <FONT color=#0000ff
size=1>Optimize(<FONT color=#ff00ff
size=1>"PosQty", <FONT color=#ff00ff
size=1>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<FONT
size=1>) - 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 = <FONT color=#0000ff
size=1>Cross(<FONT color=#ff00ff
size=1>89,StoRSI) AND MAshort;<FONT
color=#008000 size=1>// AND MAshort=True;
Cover = <FONT color=#0000ff
size=1>Cross(<FONT color=#ff00ff
size=1>11,StoRSI);<FONT color=#008000
size=1>
//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
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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(Web page: http://groups.yahoo.com/group/amiquote/messages/)
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