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Try these-
PositionScore=100-(ROC5);//will choose the steepest pullbacks
PositionScore=Hybrid;//Hybrid=abs(ROC/RSI2) (I really like this one)
I like these two the most as they will allow you to catch a nice pullback before the up move resumes. Be aware though that often a high ROC is found with small cap, cheap stocks. Backtesting using ROC for positionscore may mean that you overweight small caps in your backtests unless you filter them out.
Good luck to you!
--- In amibroker@xxxxxxxxxxxxxxx, "polomorabe" <polomora@xxx> wrote:
>
>
> Thanks for the reply.
>
> My system detects pullbacks after a breakout.
> I have also been experimenting with vario0us PositionScore criteria, such as:
> - maximum volatility
> - minimum volatility
> - maximum risk % per share
> - minimum risk % per share
> - maximum RSI
> - minimum RSI
> I think your ideas of sorting using the selected PositionScore criteria is the best one.
>
> Thanks,
> Paul
>
> --- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot" <woodshedder_blogspot@> wrote:
> >
> > Paul, perhaps if you could tell me a little bit about your system I could suggest some PositionScore methods that may improve your systems performance. Also, once you have decided on a good way to calc the PositionScore, you should be including that calculation in the exploration by using the addcolumn feature. Then you just sort by that column, and Voila...you have your top N stocks for the day.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "polomorabe" <polomora@> wrote:
> > >
> > > Hello,
> > >
> > > I've been experimenting with writing trading systems, and was wondering if anyone else has the same problem as me. I find that when tweaking the system to get the maximum backtested return, the higher the CAR during backtesting, the larger the candidate number of stocks when I use the same system as an exploration.
> > >
> > > For example, with the current system I'm backtesting, I get a CAR of 55% for the period 2000-present with a maximum of 10 stock positions; running the same system as an exploration generates about 80 stock candidates per day. When confronted with more candidates than available maximum number of stock positions, the backtester makes its selection based on the PositionScore variable. In reality, when faced with a choice of 80 stocks ( which I can normally whittle down to 20-30 based on eye-balling), it is a difficult call when entering the trades in IB before the market opens. Do I enter all 30 trades, knowing that even if half of them are hit might result in some trades bouncing?
> > >
> > > I suppose I'm just rambling on here. I was really just interesting in other's opinions and experiences.
> > >
> > > Thanks,
> > > Paul
> > >
> >
>
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