|
PureBytes Links
Trading Reference Links
|
<What I do know is how IBD works and the QRS thingie doesn't even come
close.>
Fellas,
Just to keep things in perspective...
I personally don't know that there is a 'right' or 'wrong' way to go
about this.
I appreciate reading each and every method (and opinion) of how to
approach this type of measurement.
What you can 'make book on' is that I take notes of each approach
posted and will ultimately apply all approaches to specific trade
backtest situations in order to see what works under different
circumstances.
Until recently, I thought that QP2 QRS rank was the single most
powerful PositionScore that I had found. But thanks to recent
discussions, I have a whole new array of tools to approach
PositionScore with.
I am thankful for all differing opinions and contributions on what the
'best' measurements are.
Thanks for the discussion along with all the ideas.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Ok, Gary.
>
> I guess that the translation may be correct and that the QP QRS
thing may
> work, but I have trouble understanding the relevance of the
performance of a
> stock between 250 days ago and 189 days ago. But, what do I know?
What I
> do know is how IBD works and the QRS thingie doesn't even come close.
>
> Please don't get me wrong here. I'm not saying that what was
submitted is
> wrong or that it won't work. I just stated that, to me, it seems
illogical
> and to call it IBD-like is a bit inaccurate.
> -----Original Message-----
> From: serkhoshian777 [mailto:serkhoshian777@x...]
> Sent: Monday, January 05, 2004 10:55 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: IBD Interest
>
>
> Chuck,
>
> The formula Joe has posted is a straight translation of QP QRS
> ranking. I certainly appreciate your thoughts and modification to
> the formula as I'll that as well.
>
> Regards,
> Gary
>
> Here's info on QRS from the QP help file:
>
>
> Quotes Plus Relative Strength Indicator
> The Quotes Plus Relative Strength indicator is calculated for each
> issue each day, and becomes part of the data you download to your
> PC. The indicator ranks each issue in the database against every
> other issue in the database, based on its performance for the last
> 12 months.
>
> Every issue is ranked from 0 to 99 so that its rank is equal to the
> percentage of issues that it has outperformed over the previous 12
> month period. A rating of 92, for example, means that the issue has
> outperformed 92% of all of the issues in the database.
>
> The formula is :
> ( Current Close / Close from 62 trading days ago ) * .4
> + ( Close from 63 trading days ago / Close from 125 trading days
> ago ) * .2
> + ( Close from 126 trading days ago / Close from 188 trading days
> ago ) * .2
> + ( Close from 189 trading days ago / Close from 251 trading days
> ago ) * .2
> This value is sorted for all of the issues, and the top 1% of issues
> get a value of 99. The other issues are ranked similarly, down to
> the bottom 1%, which get a value of 0.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Joe,
> >
> > I have serious concerns about the formula that you have given:
> >
> > RSQP = (.04*Close/(Ref(C,-62))+
> > .02*Ref(C,-63)/(Ref(C,-125))+
> > .02*Ref(C,-126)/(Ref(C,-188)) +
> > .02*Ref(C,-189)/(Ref(C,-251)))*100;
> >
> > It seems to me that it should be:
> >
> > RSQP = .04*Close/(Ref(C,-62))+
> > .02*Close/(Ref(C,-125)+
> > .02*Close/(Ref(C,-188) +
> > .02*Close/(Ref(C,-251);
> >
> > The way you have documented it, you are looking at ROC's over
> various
> > historical windows instead of time periods all relative to today's
> price.
> >
> > I use this type of ranking scheme all the time and am unable to
> understand
> > why you have suggested doing the way you describe. I also get
> > significantly better performance out of a system using the second
> approach.
> > Of course, you may very well intend to do it that way and it may
> work for
> > you!!
> >
> >
> >
> >
> > -----Original Message-----
> > From: Joseph Landry [mailto:jelandry@x...]
> > Sent: Saturday, January 03, 2004 8:13 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] IBD Interest
> >
> >
> > Here's some code fragments from my collection. I've used the
> RSQP
> > momentum equation as a ranking number generator, and have used
> it on
> > family(watchlist) averages. It's a weighted rate of change
> equation.
> > The use of the .001 in the denominators make it seem esoteric but
> > that is to avoid dividing by zero and I should have replaced it
> with
> > the NZ function I have a technique where you can use the
> OPTIMIZE
> > (read curve fit since it has 4 coefficients) for any equity but
> > I think you should use coefficients that are based on the
> families
> > performance. Haven't used any of the other IBD like criteria.
> Which
> > one of those European mathematicians said if you give me one
> > coefficient I have a point, 2 a straight line and with 5
> > coefficients I can draw any shape? (;>! Hope I didn't mangle this
> > one too badly.
> >
> > By the way a search in the AB archives for notes from Chuck about
> > the Columbine methods and documents available will make an
> > interesting reading for you in this momentum equation area. You
> > probably get a lot more from Columbine for 100K per year than a
> list
> > of 1500 stocks ranked by momentum but this was good background
> for
> > me.
> > Best regards
> > Joe Landry
> >
> >
> > --IBD RS Screens.afl
> > /// SCANS FROM TC 2000 forumlas
> > // IBD Positive Gainers
> > Filter = (Volume/(MA(V,50)+1)-1)*100>39 AND C-Ref(C,-1)>.5 AND MA
> > (V,50)> 70000 AND C>5;
> > VolFac = (Volume/(MA(V,50)+1)-1)*100;
> >
> > // Quotes Plus Relative Strength (IBD like)
> > RSQP = (.04*Close/(.001+Ref(C,-62))+ .02*Ref(C,-63)/(.001+Ref(C,-
> > 125))+ .02*Ref(C,-126)/(.001+Ref(C,-188)) + .02*Ref(C,-189)/
> (.001+Ref
> > (C,-251)))*100;
> >
> > // Hi Flyers - no frills version
> >
> > HighFlyers = ((Close -Ref(C,-250))/(Ref(C,-250)+.001) + (Close -
> Ref
> > (C,-63))/(Ref(C,-63)+.001)+ (Close - Ref(C,-21))/(Ref(C,-21)
> +.001))
> > *100;
> >
> >
> > AddColumn(C,"Close");
> >
> > AddColumn(VolFac,"% Vol Delta");
> > AddColumn(RSQP,"RelStr");
> > AddColumn(HighFlyers,"High Fly");
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > 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
> >
> > a.. To visit your group on the web, go to:
> > http://groups.yahoo.com/group/amibroker/
> >
> > b.. To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of Service.
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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
>
> a.. To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the 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:
http://docs.yahoo.com/info/terms/
|