RE: [amibroker] Momentum Ranking - A better way for QRS and other scoring

["Dave Merrill" <dmerrill@xxxxxxx>]

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  >Have you done 
  a correlation study between the two?
  
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  > Now I have and there is 
  none.
  
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  >Any idea, for 
  the system you're testing, how frequently there are more qualifying 
  positions than equity slices, causing scoring to come into play at 
  all?
  
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  > Other than manual inspection of the 
  detailed trade log, do you have any suggestions on how to generate this 
  statistic via code?
  
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  >Dave<SPAN 
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class=928565114-18122003>No I don't. The max number of open positions and 
the number of signals not taken because insufficient equity was available are 
two stats I've wished for in the backtester. Hopefully some 
day...
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class=928565114-18122003>In the mean time, the detailed log format doesn't 
encourage analysis in Excel etc. You could search for the phrase indicating max 
positions was reached, but from there, I think you'd have to look manually to 
see if more signals occurred during those times.
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class=928565114-18122003>One pragmatic method is to reverse your PositionScore 
(PositionScore = 1 / PositionScore, to preserve sign), and if that makes a big 
difference, you've proved that there are a significant number trades where it 
matters. I think you've already reported very different results with different 
PositionScores, so that's probably the bottom line. You could try comparing the 
trade lists to get more specific about whether it's just a few trades that make 
the difference, or most of them.
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class=928565114-18122003>Dave


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