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@yahoogroups.com, "Fred" <[EMAIL PROTECTED]> 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@yahoogroups.com, "dingo" <dingo@> wrote: > > > > Ok how about an example of what you were talking about? > > > > d > > > > > > _____ > > > > From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] > On Behalf > > Of Fred > > Sent: Tuesday, April 18, 2006 4:52 PM > > To: amibroker@yahoogroups.com > > 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@yahoogroups.com, "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@yahoogroups.com > [mailto:[EMAIL PROTECTED] > > On Behalf > > > Of Fred > > > Sent: Tuesday, April 18, 2006 1:37 PM > > > To: amibroker@yahoogroups.com > > > 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@yahoogroups.com, "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@yahoogroups.com, "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@yahoogroups.com, "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@yahoogroups.com, "intermilan04" > > > <intermilan04@> > > > > > > wrote: > > > > > > > > > > > > > > Since I have optimized my system between 1996-2006, I > > guess > > > the > > > > > > > answer would be the same time period. > > > > > > > > > > > > > > --- In amibroker@yahoogroups.com, "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@yahoogroups.com, "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@yahoogroups.com, "Fred" <ftonetti@> > > > wrote: > > > > > > > > > > > > > > > > > > > > Are the numbers you posted in sample or out of > > sample ? > > > > > > > > > > > > > > > > > > > > --- In amibroker@yahoogroups.com, "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: > > > [EMAIL PROTECTED] > > > <mailto:[EMAIL PROTECTED] > 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: > > [EMAIL PROTECTED] > > <mailto:[EMAIL PROTECTED]> > > > > > > * Your use of Yahoo! Groups is subject to the Yahoo! Terms of > Service > > <http://docs.yahoo.com/info/terms/> . > > > > > > _____ > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo. http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> 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 Yahoo! 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