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<FONT face=Arial color=#0000ff
size=2>Paul,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>When you include "different" factors in a PositionScore formula they may
not be naturally weighted equally, so using simple Sums or Products formulas may
not always give you the best results.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Take a Sum example: <SPAN
class=750522602-19012004><FONT face=Arial color=#0000ff
size=2>PositionScore = FundamentalFactor + PriceFactor;
<FONT face=Arial color=#0000ff
size=2>this assumes both terms carry equal weight in terms of PricePrediction.
Why would this be so?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Most likely you can optimize the formula by adding a Weight
adjustment factor:
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><FONT face=Arial color=#0000ff
size=2>PositionScore = Optimize("WAF",1,0,2,0.1)*FundamentalFactor +
PriceFactor;
<FONT face=Arial color=#0000ff
size=2>This will
gradually shift the weight from the left to the right term, try different opt
ranges.
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004>
<FONT face=Arial color=#0000ff
size=2>When your
equation is a Product equation then scaling one or the other will not effect
your score as the ratio between the two remains constant by multiplication, you
would just be scaling the overall result.
<FONT face=Arial color=#0000ff
size=2>In this
case you can Optimize the weighting of the terms using
powers:
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004><FONT face=Arial
color=#0000ff size=2>PositionScore =
FundamentalFactor^Optimize("WAF",1,0,2,0.1) * PriceFactor;
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004>
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004>If your scoring formula
is complex you may have to try a combination of these weight adjustment
techniques.
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004>
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004>Good
luck,
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004><SPAN
class=750522602-19012004>herman.
<FONT face=Arial color=#0000ff
size=2><SPAN
class=750522602-19012004>
<FONT face=Tahoma
size=2>-----Original Message-----From: Paul Ho
[mailto:paultsho@xxxxxxxxxxxx]Sent: January 19, 2004 10:19
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Question on Position Score ranking<FONT color=#0000ff
size=2>
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.
<FONT
face=Arial>
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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