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I believe the SetOption("WorstRankHeld",xx) function only operates in
ROTATIONAL mode.
dale B
--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> Hi,
> Forget it . I had not tested over enough time periods. Doesn't look
so good to me now. Back to the drawing board.
>
> Greg
> ----- Original Message -----
> From: Greg
> To: AmiBroker@xxxxxxxxxxx
> Sent: Thursday, December 18, 2003 9:13 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("InitialEquity", 10000 );
>
> SetTradeDelays(1,1,1,1);
>
> RoundLotSize = 1;
>
> posqty = Optimize("PosQty", 1, 1, 20, 1 );
>
> SetOption("MaxOpenPositions", posqty);
>
> // desired position size is 100% portfolio equity
>
> // divided by PosQty positions
>
> PositionSize = -100/posqty;
>
> // The StoRSI system ......
>
> //
>
> StoRSI = EMA((scRSI(C,8) - LLV(scRSI(C,8),8))/
>
> (HHV(scRSI(C,8),8) - LLV(scRSI(C,8),8)),3)*100;
>
> BL=11;
>
> SL=89;
>
> //Trend qualifier .....
>
> x=MA(C,144);
>
> MAlong=x>Ref(x,-1);
>
> MAshort=x<Ref(x,-1);
>
> //
>
> Buy = Cross(11,StoRSI) AND MAlong;
>
> Sell= Cross(StoRSI,89);
>
> Short = Cross(89,StoRSI) AND MAshort;// AND MAshort=True;
>
> Cover = Cross(11,StoRSI);
>
> //Plot(Equity(),"Equity",1,1);
>
> // now additional score
>
> // that is used to rank equities
>
> // when there are more ENTRY signals than available
>
> // positions/cash
>
> //PositionScore = 100-RSI(); // prefer stocks that have low RSI;
>
> //
>
> SetOption("WorstRankHeld",10);
>
> numerator=(C-BBandBot(C,21,2)) ;
>
> denominator= BBandTop(C,21,2)-BBandBot(C,21,2) ;
>
> Rank= 100-(100*((numerator / denominator))) ;//HighpositiveScore
best Long Candidates,//Lownegativescore , best Shorts
>
> //
>
> PositionScore=rank;
>
> *****
>
> I'd be interested to know how this ranking method compares with
the Relative Strength ones we talked about recently.
>
> SetOption("WorstRankHeld",10);
> numerator=(C-BBandBot(C,21,2)) ;
>
> denominator= BBandTop(C,21,2)-BBandBot(C,21,2) ;
>
> Rank= 100-(100*((numerator / denominator))) ;//HighpositiveScore
best Long Candidates,//Lownegativescore , best Shorts
>
> //
>
> PositionScore=rank ;
>
> *****
>
>
>
> Bye for now,
>
> Greg
>
>
>
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