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Eric,
Position Score is useful for backtesting.
It will sort your ROCIndex and automatically pick the higher value.
The pormat is: Position Score = ROCIndex; (No logical operators - >, < ,==
etc)
If you want a manual operaton, the use filter as you described and sort in
results.
----- Original Message -----
From: "ericleake" <eleake@xxxxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, March 09, 2004 9:49 AM
Subject: [amibroker] Re: Percentile
> I am trying to first create an ROC index for each security in a
> watch list. The very simple formula is this:
>
> RS1 = ROC(Close, 260);
> RS2 = ROC(Close, 130);
> RS3 = ROC(Close, 65);
> RS4 = ROC(Close, 20);
>
> ROCIndex = RS1 + RS2 + RS3 + RS4;
>
> Then, I want to use the ROCIndex as the criteria for the percentile.
> Something like ( I know this is completely wrong):
>
> Filter = ROCIndex > Percentile(ROCIndex)1,5);
>
> or would it be possible to use the PositionScore to rank the ROCs by
> percentile?
>
> Something like:
>
> PositionScore = ROCIndex > Percentile(ROCIndex, 1,5);
>
> I'm not sure what the buy and sell arguments would look like...
> ????
> -Eric.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > Erick,
> > Not sure exactly what you mean. Do you wish to find the top 5% of
> the
> > indexes or are you looking for the top 5% of the stocks that
> comprise the
> > indexes? In either case first place your indexes (or stocks which
> comprise a
> > given index) in a watchlist then use percentile as your filter in
> the
> > exploration . AB will return those stocks/or indexes which pass the
> > percentile test
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: ericleake [mailto:eleake@x...]
> > Sent: Tuesday, March 09, 2004 11:50 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Percentile
> >
> >
> > Soooooo...I take it either no one is interested in giving me any
> > help, or this cannot be done?
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ericleake" <eleake@xxxx> wrote:
> > > Is it possible to use the Percentile function to act as the
> > > PositionScore? I am calculating a list of sector indicies first
> by
> > > four periods of ROC:
> > >
> > > RS1 = ROC(Close, 260);
> > > RS2 = ROC(Close, 130);
> > > RS3 = ROC(Close, 65);
> > > RS4 = ROC(Close, 20);
> > >
> > > ROCIndex = RS1 + RS2 + RS3 + RS4;
> > >
> > > After computing the ROCIndex for my list, I would like to use the
> > > Percentile function to buy only the symbols listed in the top 5
> > > percent. (Rotational mode won't work, as I have additional
> > > conditions that may not allow any purchases at all.)
> > >
> > > I understand from the examples of using Percentile how it can
> work
> > > on an individual security, but what about for a list? I assume I
> > > would need to first referrence an array that contained the
> > ROCIndex
> > > numbers? Not sure how to do that.
> > >
> > > Anyone have any experience with Percentile ranking? Any help
> would
> > > be appreciated.
> > >
> > > -Eric.
> >
> >
> >
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