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The problem with Position Score alone, is that I only want to
purchase the securities within the top X percentile. The strategy is
this:
1.Rank securities by the ROCIndex. (shown below)
2 Out of the top 5 percentile, buy 5 positions.
3 Hold them until they drop out of the top 10, or cross below an
exit (LLow, or moving average, havn't determined yet).
4.Replace the sold positions with new candidates from the current
top 5%-unless exits preclude.
Without the exits, this strategy would work in rotational
mode...sort of. Rotational Mode assumes you want to short any signal
with a negative score. This rule then skews the ability to calculate
a true "percentile", as the securities with negative scores are
exluded from the population count.---So we are unable to use
Rotational Mode.
THE REAL QUESTION IS:
How do I use the Percentile function to sort a watchlist on my
ROCIndex>
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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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