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I'll give it a shot!
Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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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