PureBytes Links
Trading Reference Links
|
Does it really matter whether you percentile the measures? If all you are concerned about is relative ordering, then there is no need for percentile and you can do it all in one pass using AB.
firstMeasure = ...;
secondMeasure = ...;
PositionScore = x * firstMeasure + y * secondMeasure;
The backtester will favor the highest ranks first, regardless of the distribution of the rank values.
If for whatever reason you find that you must use percentile (e.g. if creating an oscillator), then it can still be done in AB, but would take more than one pass.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Nick de Peyster <nickdepeyster@xxx> wrote:
>
> I have this model that I would like to recreate, if possible, in AB. It would be a variant on positionscore.
>
> Imagine several different measures (e.g., ROC, RSI, whatever) for a groups of stocks. Each day I calculate the different measures for each stock.
>
> I then want to combine the factors. I do it this way:
>
> 1. For each date, I isolate the stocks for which I have measures for that date alone.
> 2. Iterating through each factor, I rank-order them and then percentile so that each measure is scaled comparably to the others
> 3. I then combine (sum,average,weighted average, whatever) the different measures into a composite score
> 4. I percentile the composite scores so that each stock for that date has a score from 1 to 100. If there are fewer than 100 stocks, they will be spaced appropriately such that the highest has a score of 100 and the lowest 1.
>
>
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|