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Eric,
Screen the one you don't want with your buy signal: Buy = ROCIndex >
Percentile(ROCIndex, 1,5);
Then, let PositionScore do the sorting from within the selection you have
aallowed to pass.
Again, this is for backtester only
----- Original Message -----
From: "ericleake" <eleake@xxxxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, March 09, 2004 10:40 AM
Subject: [amibroker] Re: Percentile
> 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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