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Roy,
The formula below is interesting. I use a similar weighted average of
segments of a parabola of varying lengths as a ranking indicator for
ETFs. I adopted this approach because it uses all of the price data
over the time segment resulting in a much less noisy indicator.
Of course, coding a least squares fit to a parabola of varying length
and varying offsets was messy.
You realize of course that the function below would need to be
normalized for price so that rankings for different priced stocks
could be compared. For my indicator I normalized prices to 100% -
guess that is why it is called QRSRaw.
QUESTION:
I would like to compare my indicator to this one. The paper on page 4
says that the more recent segments were given lower weightings, but
don't give the actual values. Do you know the weightings of each
segment Q1 - Q4? Maybe a bibliographic reference?
Ed Hoopes
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
>
> Werner - here's a momentum scoring routine based (probably) on the
> Columbine white paper stored in the files area. Also it's a factor
> that's similar to one used by QP3 and IBD.
>
>
//////////////////////////////////////////////////////////////////////////////////////////////////
>
>
> function QRS(Q1Weight, Q2Weight, Q3Weight, Q4Weight, ExploreFlag)
>
> {
>
> //Define Constants
>
> ShowExplore = 1;
>
> QRSRAW = ( (C / Ref(C,-62)) * Q1Weight) +
>
> ( (Ref(C,-63) / Ref(C,-125)) * Q2Weight ) +
>
> ( (Ref(C,-126) / Ref(C,-188)) * Q3Weight) +
>
> ( (Ref(C,-189) / Ref(C,-251)) * Q4Weight );
>
> Result = QRSRaw;
>
> //========================= Explore Code ============================
>
> if (ExploreFlag == ShowExplore)
>
> {
>
> Filter = 1;
>
> AddColumn(C, "C",5.2);
>
> AddColumn(Result,"Position Score: QRS",5.2);
>
> }
>
> //------------------------------------ End of Explore Code
------------------------------------
>
> return Result;
>
> }
>
>
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////
>
> Also TJ has an example in the help area for scoring based on RSI as
an indicator
>
> of being a beaten down stock. Search for PositionScore and you'll
see the example
>
> below.
>
> EnableRotationalTrading();
> SetOption("WorstRankHeld",5);
>
> PositionSize = -25; // invest 25% of equity in single security
> PositionScore = 50 - RSI(); // PositionScore has the same meaning as
rScore in PT
>
>
>
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
>
> Hope this helps
>
> JOE
>
> ----- Original Message -----
> From: Werner
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, January 04, 2006 9:15 AM
> Subject: [amibroker] Positionscore
>
>
>
> Hi there,
>
> I have a question concerning POSITIONSCORE.
>
> I am selecting 10 stocks according to some BUY rules from a watchlist
> and prefer higher priced stocks:
>
> SetOption ("MaxOpenPositions", 10);
> Positionscore = C;
>
> I noticed that the HIGHEST stock in the list is not giving good
> results on average.
>
> I would like to trade 10 stocks, BUT skip the highest priced stock.
> POSITIONSCORE will always select the 10 highest priced stocks,
> INCLUDING the highest. How can I tell AB to EXCLUDE the highest priced
> stock ??
>
> It means, always trading 10 stocks (POSITIONSCORE will select those),
> but excluding the highest priced stock.
>
> Thanks,
>
> Werner
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
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>
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>
>
>
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