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If we're talking about ranking systems, here are 2 that I use in my
trading.
My QFit ranking system does a regression fit to a quadratic equation,
then takes the first derivative of the resulting equation (the slope)
which is normalized to price of 100 (more or less).
Here is the top and bottom of a list of about 25 domestic sector ETFs
that I like. My trading rules are that I hold funds with a rank > 3.0
Ticker QFit
OIH 8.245 Top of list
IGE 7.607
XLE 6.306
XLB 3.385
XLI 0.292
..
..
BBH -4.415
XLU -5.920
XLV -6.510
RWR -9.708 Bottom of list
I have another ranking system that ranks stocks on the SMOOTHNESS of
their advance. Here is a recent run of Shape Filter which selects for
stocks that are under steady accumulation. It uses curve fitting
technology like QFilt - but different.
Ticker SFilt
AL 98.30
EXBD 98.30
WEBM 98.10
AW 98.00
HOC 98.00
CSX 97.70
..
..
Reef-Break
I also have a
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxx> wrote:
>
> Am I missing something ? ... Isn't this standard stuff ? i.e.
>
> ... some condition that makes some security eligible to be bought on
> some bar ...
>
> ROCx = ROC(C, 10);
>
> PositionScore = IIf(ROCx > 0, ROCx, 0);
> PositionSize = -100;
>
> ... followed by some condition that triggers buy / sell
>
> Buy = Cross(EMA(C, 13), EMA(C, 21));
> Sell = Cross(EMA(C, 21), EMA(C, 13));
>
> The above will buy the security with the highet 10 bar ROC on the bar
> where it meets the EMA X/O criteria and will hold it until the Sell
> unloads it. The system will remain flat until the next Buy Signal
> occurs. If one wanted to potentially hold more than one position at
> a time then one would alter PositionSize accordingly.
>
> Whether the first condition is directly calculatable like an ROC is
> or is the result of reading something like Zack's list really
> wouldn't make much difference.
>
> These are the basic components of PositionScoring and Buy/Sell
> signals ... aren't they ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@> wrote:
> >
> > Ok how about an example of what you were talking about?
> >
> > d
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of Fred
> > Sent: Tuesday, April 18, 2006 4:52 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: System Performances
> >
> >
> > Seriously ? ... A rotational system is different in scope then what
> > I thought was being discussed here which appears to be a rotating
> > universe of tradables that have some life and get traded intraday
> > based on them meeting some form of buy & sell rules.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@> wrote:
> > >
> > > How about an example of how to do that using a sharpe ratio of
> > each security
> > > and maybe trade on a rotational basis every month?
> > >
> > > Seriously.
> > >
> > > d
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx]
> > On Behalf
> > > Of Fred
> > > Sent: Tuesday, April 18, 2006 1:37 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: System Performances
> > >
> > >
> > > If the list is a result of some analysis you do then you can
> > assign
> > > a PositionScore to each security for each bar. This would yield
> a
> > > constantly changing and potentially prioritized list of available
> > > securities to be traded.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@>
> > > wrote:
> > > >
> > > > As I mentioned in the first post - I have been trading this
> > system
> > > for
> > > > about 1.5 years. The first quarter of this year had no severe
> > > > declines in the market, so the Max DD looks better than it
> > really
> > > is.
> > > > Typically the system goes to 100% cash after about a 5%
> > drawdown.
> > > >
> > > > There is another major component in my trading system that I
> > didn't
> > > > mention - that of market timing. I use stock index futures
> (ES,
> > > YM,
> > > > ER2, NQ) to hedge based on 6 indicators. This hedging, while
> not
> > > > perfect, reduces the drawdown considerably so the system plus
> > > hedging
> > > > results in about 4% drawdowns.
> > > >
> > > > On the subject of drawdowns, there has not been a >10% market
> > > > correction in over three years. Since I have only traded this
> > > system
> > > > for 1.5 years, I don't know what will happen when we eventually
> > get
> > > > one of these more typical market declines.
> > > >
> > > > The main reason for not posting a longer trading history is
> that
> > > the
> > > > stock list is updated every couple of weeks, which actually
> > > improves
> > > > results. I used the list that was current as of Dec 31, 2005
> > for
> > > this
> > > > test. I don't know how to simulate a constantly changing list
> of
> > > > stocks in the backtester.
> > > >
> > > > Reef-Break
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@> wrote:
> > > > >
> > > > > Fred's point is accurate IMO....
> > > > >
> > > > > If the Trader has spent blood, sweat and tears over a period
> > of
> > > years
> > > > > building up a serious trading equity, then a 28% System
> > Drawdown
> > > would
> > > > > be demoralizing (only after causing a serious case of "Butt
> > > Pucker").
> > > > >
> > > > > A subsequent post from Ed showed a 'Max Sys DD = -3.6%', but
> > only
> > > > > included 48 trades... which because of the small number of
> > trades
> > > > > seemed to me to be statistically irrelevant.
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > > > >
> > > > > > A Comment and a suggestion ...
> > > > > >
> > > > > > - DrawDowns ... I could be wrong but I suspect most people
> > > can't
> > > > > > tolerate 28% DD's ... To bring that number down to the
> point
> > > where
> > > > > > at least some people would be comfortable with it using
> real
> > > money
> > > > > > one would I think have to cut it half. Doing that with an
> > > existing
> > > > > > system by restricting how invested one is will result in
> the
> > > CAR
> > > > > > being reduced to the square root of its original number.
> > > > > >
> > > > > > - Objective Testing ... Take your data, cut in half ...
> > > Optimize
> > > > > > your system over half of the data and then test the
> > parameter
> > > values
> > > > > > on the other half. This rudimentary view of out of sample
> > > testing
> > > > > > will give you some idea of what you are likely to
> experience
> > > in real
> > > > > > trading as opposed to totally in sample results.
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > > <intermilan04@>
> > > > > > wrote:
> > > > > > >
> > > > > > > Since I have optimized my system between 1996-2006, I
> > guess
> > > the
> > > > > > > answer would be the same time period.
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@>
> wrote:
> > > > > > > >
> > > > > > > > That doesn't answer my question ...
> > > > > > > >
> > > > > > > > In the development of the system what range of data (
> > time
> > > > > > period )
> > > > > > > > did you use ? The same time period ? An earlier one ?
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > > <intermilan04@>
> > > > > > > > wrote:
> > > > > > > > >
> > > > > > > > > The numbers are the result of backtesting my system
> > with
> > > > > > > > > NASDAQ and NYSE tickers (around 7000 tickers) between
> > > > > > > > > 1996/1/1~2006/1/1.
> > > > > > > > >
> > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@>
> > > wrote:
> > > > > > > > > >
> > > > > > > > > > Are the numbers you posted in sample or out of
> > sample ?
> > > > > > > > > >
> > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > > > > > <intermilan04@>
> > > > > > > > > > wrote:
> > > > > > > > > > >
> > > > > > > > > > > I know it depends on what you want personally for
> > > > > > risk/reward,
> > > > > > > > but
> > > > > > > > > > I'm
> > > > > > > > > > > curious as to what other people's systems
> > (developed
> > > in
> > > > > > > > Amibroker)
> > > > > > > > > > are
> > > > > > > > > > > performing like. You don't have to share your
> code
> > > or the
> > > > > > idea
> > > > > > > > behind
> > > > > > > > > > > your system (unless you want to), but I'm curious.
> > > > > > > > > > >
> > > > > > > > > > > Over the last 10 years, say, what is your annual
> > > profit %,
> > > > > > max
> > > > > > > > > > > drawdown, % winning trades, etc.?
> > > > > > > > > > >
> > > > > > > > > > > I have a long system that has returned around
> 110%
> > > since
> > > > > > > > 1996. Its
> > > > > > > > > > > winning % is 47%, and the system drawdown is
> 28%.
> > > It is a
> > > > > > > > > > > reversal-based, swing-daytrade system.
> > > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > >
> > >
> > >
> > >
> > > SPONSORED LINKS
> > > Investment
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Investment+management+software&w1=Inves
> > >
> >
> tment+management+software&w2=Real+estate+investment+software&w3=Inves
> > tment+p
> > >
> >
> roperty+software&w4=Software+support&w5=Real+estate+investment+analys
> > is+soft
> > > ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> > > management software Real
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Real+estate+investment+software&w1=Inve
> > >
> >
> stment+management+software&w2=Real+estate+investment+software&w3=Inve
> > stment+
> > >
> >
> property+software&w4=Software+support&w5=Real+estate+investment+analy
> > sis+sof
> > >
> > tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
> > estate
> > > investment software Investment
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Investment+property+software&w1=Investm
> > >
> >
> ent+management+software&w2=Real+estate+investment+software&w3=Investm
> > ent+pro
> > >
> >
> perty+software&w4=Software+support&w5=Real+estate+investment+analysis
> > +softwa
> > > re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
> > property
> > > software
> > > Software
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Software+support&w1=Investment+manageme
> > >
> >
> nt+software&w2=Real+estate+investment+software&w3=Investment+property
> > +softwa
> > >
> >
> re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6
> > =Invest
> > > ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w>
> support Real
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Real+estate+investment+analysis+softwar
> > >
> >
> e&w1=Investment+management+software&w2=Real+estate+investment+softwar
> > e&w3=In
> > >
> >
> vestment+property+software&w4=Software+support&w5=Real+estate+investm
> > ent+ana
> > >
> >
> lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSa
> > X5-Zlw>
> > > estate investment analysis software Investment
> > > <http://groups.yahoo.com/gads?
> > t=ms&k=Investment+software&w1=Investment+manag
> > >
> >
> ement+software&w2=Real+estate+investment+software&w3=Investment+prope
> > rty+sof
> > >
> >
> tware&w4=Software+support&w5=Real+estate+investment+analysis+software
> > &w6=Inv
> > > estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
> >
> > >
> > > _____
> > >
> > > YAHOO! GROUPS LINKS
> > >
> > >
> > >
> > > * Visit your group "amibroker
> > > <http://groups.yahoo.com/group/amibroker> " on the web.
> > >
> > >
> > > * To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
> subject=Unsubscribe>
> > >
> > >
> > > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of
> > Service
> > > <http://docs.yahoo.com/info/terms/> .
> > >
> > >
> > > _____
> > >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> >
> >
> >
> >
> > SPONSORED LINKS
> > Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+management+software&w1=Inves
> >
> tment+management+software&w2=Real+estate+investment+software&w3=Invest
> ment+p
> >
> roperty+software&w4=Software+support&w5=Real+estate+investment+analysi
> s+soft
> > ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> > management software Real
> > <http://groups.yahoo.com/gads?
> t=ms&k=Real+estate+investment+software&w1=Inve
> >
> stment+management+software&w2=Real+estate+investment+software&w3=Inves
> tment+
> >
> property+software&w4=Software+support&w5=Real+estate+investment+analys
> is+sof
> > tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
> estate
> > investment software Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+property+software&w1=Investm
> >
> ent+management+software&w2=Real+estate+investment+software&w3=Investme
> nt+pro
> >
> perty+software&w4=Software+support&w5=Real+estate+investment+analysis+
> softwa
> > re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
> property
> > software
> > Software
> > <http://groups.yahoo.com/gads?
> t=ms&k=Software+support&w1=Investment+manageme
> >
> nt+software&w2=Real+estate+investment+software&w3=Investment+property+
> softwa
> >
> re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6=
> Invest
> > ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support Real
> > <http://groups.yahoo.com/gads?
> t=ms&k=Real+estate+investment+analysis+softwar
> >
> e&w1=Investment+management+software&w2=Real+estate+investment+software
> &w3=In
> >
> vestment+property+software&w4=Software+support&w5=Real+estate+investme
> nt+ana
> >
> lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSaX
> 5-Zlw>
> > estate investment analysis software Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+software&w1=Investment+manag
> >
> ement+software&w2=Real+estate+investment+software&w3=Investment+proper
> ty+sof
> >
> tware&w4=Software+support&w5=Real+estate+investment+analysis+software&
> w6=Inv
> > estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
>
> >
> > _____
> >
> > YAHOO! GROUPS LINKS
> >
> >
> >
> > * Visit your group "amibroker
> > <http://groups.yahoo.com/group/amibroker> " on the web.
> >
> >
> > * To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
> >
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service
> > <http://docs.yahoo.com/info/terms/> .
> >
> >
> > _____
> >
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
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--------------------------------------------------------------------~->
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