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



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Al,
 
Thanks for your reply. I've got to do more work on this. 
 
I think your understanding of position score is right  and 
"highpositivescore best long candidates, lownegativescore best short 
candidates." is correct in that a highpositive score(eg. rankings 
>90) means price is closer to the lower BB which could be good for a 
long position. lownegativescore(eg. rankings less than 
10)  means price is near the high BB .
 
The way I used ranking was only good for long positions. I need to work out 
how to make it work for shorts also. 
 
To get a display of position score rankings I think you could do something 
with addcolumn command.
 
Bye for now,
Greg
 
 
 
----- Original Message ----- 
<BLOCKQUOTE 
>
  <DIV 
  >From: 
  Al 
  Venosa 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, December 18, 2003 10:02 
  AM
  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 );
    SetTradeDelays(<FONT color=#ff00ff 
    size=1>1,1<FONT 
    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 
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