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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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