|
PureBytes Links
Trading Reference Links
|
Harvey,
Good thoughts about RS and subjectivity. Yours is one of the many
posts with good ideas that go into my tickler file.
Isn't it nice to have a pkg like Amibroker that allows us to play with
all of our ideas so easily and quickly.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, harveyhp <harveyhp@xxxx> wrote:
> Phsst,
>
> A few disjointed thoughts.
>
> 1. Isn't the choice of RS method subjective? One person has a
short-term holding period, another a longer term. One person places a
high value on the most recent activity, another considers all of the
activity over the whole year.
> 2. Taking four successive quarters ROC and doubling up on the last
quarter should be the same (after averaging) as taking a one-year
period plus 20% of the last quarter, should it not?
> 3. Overlapping 3-, 6-, 9-, and 12-month periods back from the
current bar weights the most recent quarter so heavily that the
earliest quarter will have little effect.
> 4. ROC considers only the values of the first and last bar of the
period and ignores what happens in between. Wouldn't linear
regression be more appropriate, since it considers all data points
within the period?
>
> From Mark Boucher's 1999 book "The Hedge Fund Edge", p.149: "Short
term traders could improve results going to as low as an eight-week RS
. . . while longer term investors could widen the RS to as far as one
year, still with substantial improvements in returns and risk. We
settled on one of the lower risk paramters which turned out to be a
weighted average RS (similar to O'Neil's but slightly shorter in
average duration). The exact formula is (2 x ( 1-wk RS + 5-wk RS +
8-wk RS + 13-wk RS) + (26-wk RS + 40-wk RS + 52-wk RS)) / 11, which
gives an average of about 16 weeks, but is heavily front-end weighted."
>
> HHP
> ================
> ----- Original Message -----
> From: Phsst
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: 05 January, 2004 8:59 PM
> Subject: [amibroker] Re: IBD Interest
>
>
> <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@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 Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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/
|