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Al, I have tried it
but I dont have any definitive conclusion so will be interesting to see your
results, you can trying multiplying as well as additions. Would you mind let me
know once you have completed your exercise. I have tried it on a breakout
system. I figured that I want both random() and NV2 have the
right degree of influence.
NV2=(V-BBandBot(V,<FONT
color=#ff00ff>50,2))/(<FONT
color=#ff00ff>0.000000001+<FONT
color=#0000ff>BBandTop(V,50,<FONT
color=#ff00ff>2)-BBandBot(V,<FONT
color=#ff00ff>50,2));
PositionScore=Random()+NV2;
// or this one
PositionScore=Random()<SPAN
class=231551202-19012004>*NV2;
<FONT face=Arial
size=2>/Paul.
<FONT
face=Tahoma size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] Sent: Monday, 19 January 2004 12:52
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Question on Position Score ranking
Thank you, Paul. Believe it or not, I just came to that very conclusion
as I was testing. You are indeed correct. It's probably best simply to use
PositionScore = Random(), which simply picks any 5 stocks randomly from the
watchlist. That way, one can compare randomly picked stocks with stocks
having high volume to evaluate the volume variable in its purest form. A very
neat little trick.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul
Ho
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, January 18, 2004 8:46
PM
Subject: RE: [amibroker] Re: Question
on Position Score ranking
<FONT face=Arial color=#0000ff
size=2>Al,
<FONT face=Arial color=#0000ff
size=2>random() generates number between 0 and 1 and in order to be
effective, you'll have to normalise your volume or even better still express
it in terms of standard deviation such as applying bollinger bands to it. so
the volume number is within the same kind of range. otherwise, a nominally
higher volume stock will have too much bias.
<FONT face=Arial color=#0000ff
size=2>Paul.
<FONT
face=Tahoma size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] Sent: Monday, 19 January 2004
11:48 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Question on Position Score
rankingHmm. What an interesting idea. So, in my
case, my positionscore line wouldbe:PositionScore =
Random()*V;Thanks for the tip. At least I can evaluate how good
the ranking system isworking. But in order to actually select the
second 5 top stocks, I guess Istill have to use the Osaka plugin as
Fred pointed out.Thanks a lot, Thelunit.Al
V.----- Original Message ----- From: "thelunit"
<thelunit@xxxxxxxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Sunday, January 18, 2004 7:08
PMSubject: [amibroker] Re: Question on Position Score
ranking> >>or maybe I just want to see how well my
ranking formula picks winners)> <<>>>
Here's one idea..>> I was interested in considering the
effectiveness of my 'PositionScore'specification a little while
back.>> What I did was run repeated dummy optimizations with
random ranking to> generate a distribution of system stats against
which I ccould compare thestats produced by my non-random
PositionScore (in your case for eg, V).>> These lines give
the 'null' reference distribution:>> PositionScore =
Random();> dummyopt = Optimize("dummyopt", 1, 1, reps, 1); // reps
= your preference>> Best>>>> ---
In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:> > Hi, all:> >> > I have a question
on positionscore in regular mode. Suppose I'm tradingfrom a watchlist
of, say, 100 stocks (like the N100, for examplem, but itcan be
anything) and my portfolio size is 5 stocks (positionsize=
-100/posqty, where posqty = 5). And suppose I want to select the
highestvolume stocks to trade, like:> >> >
PositionScore = V;> >> > Now, my question is, what if
I wanted to trade, not the TOP 5 stocks onthe rank list (stocks with
rankings of 1st, 2nd, 3rd, 4th, and 5th in termsof volume), but rather
the next 5 stocks (ranks of 6th, 7th, 8th, 9th, and10th). My reasons
for wanting to do this are not important (maybe I don'twant to compete
for the same 5 stocks as another guy who uses the sameranking formula,
or maybe I just want to see how well my ranking formulapicks winners).
How would you code that? Any ideas?> >> >
Thanks.> >> > Al Venosa> >
advenosa@xxxx>>>> Send BUG REPORTS to
bugs@xxxxxxxxxxxxx> Send SUGGESTIONS to
suggest@xxxxxxxxxxxxx>
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