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[amibroker] Re: How to use "positionscore" in this formula??



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Terry,

Thanks for the tips.

To clarify, I do get an "occasional" "B", "C", and even a rare "E". 
But it is clear when looking at the list that it keeps going back to
the beginning of the list at the "A's".

When I use POSITIONSCORE, the scoreing is working, ie I see a truly
"mixed" group of stocks.  The net profit just goes downhill like a truck.

Here are my settings:

SetOption("InitialEquity", 10000 );
SetOption("MaxopenPositions", 10);
SetOption("AllowPositionShrinking", True ); //No real impact
SetPositionSize(85,spsPercentOfEquity);
SetTradeDelays(1,1,0,0);//Do not use Short/Cover
ApplyStop(0,1,5,0,False,0);//Stop Loss at 5%
ApplyStop(2,2,3,0,False,0);//Trailing Stop at 3 Points

In AA I have all STOP SETTINGS DISABLED.

The effect of POSITIONSCORE on this is still puzzling.
No, I am not running out of money, it shows about 600K net profit
over the 5 years.  Throw in positionscore = 100 + mfi() and I get
$458.00 net profit over 5 years. (12/06/2000 - 12/06/2005)

Does not make sense unless I am simply missing something simple...just
why I asked the group!!

Thanks for the tips.

Roy


--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
>
> I haven't followed your question closely so my advice may be off base,
> but it seems PositionSize may be your problem. If there are many
> possible trades the backtester will take the trades until you've spent
> all your money. Sounds like this is happening before you get out of the
> A's
> 
> Try tightening your PositionScore rules to create less (hopefully
> better) opportunities and set PositionSize to some smaller fixed value
> like 1000 on a 100,000 portfolio (or -1 for 1% of portfolio) or similar
> ideas to see if you get trades farther down the alphabet. If you do, I
> was right :-)
> 
> If you don't, well I can try harder.
> --
> Terry
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of sebastiandanconia
> Sent: Wednesday, December 07, 2005 11:48
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to use "positionscore" in this formula??
> 
> A little more information, please.:)  Does the system test all 
> the "A"s and then stop right before the "B"s?  Or is there a limit to 
> the number of "A"s it tests, also?  When you use PositionScore, do 
> you know that you're getting a full test on all the stocks, or does 
> the system still stop testing additional stocks at a certain point, 
> just farther into the alphabet?
> 
> Not knowing all the details of what you're doing, here's a trouble-
> shooting idea.  Have you got a position-limit set in Automatic 
> Analysis or in the system code itself?  Without PositionScore, there 
> would be no ranking of the stocks, they'd simply be bought in 
> alphabetical order from your watchlist as the "buy" signals click 
> off.  If there's a position limit set, the system would just buy 
> stocks up to the position limit and stop.  After those stocks got 
> sold and a new "buy" signal comes up, the system will do the same 
> thing over again, starting with the "A"s.  If there are enough stocks 
> meeting the criteria to fill the portfolio from within the "A"s, your 
> system would never get to the "B"s.  Anyway, that's just a place to 
> start looking.
> 
> Also, in my (our) experience, if a free system looks really great 
> there's something wrong in the testing process, LOL!  In "Backtester 
> Settings" under the "Trades" tab, see what the settings are.  My 
> advice is to set them at "Open" with a 1-day trade delay, otherwise 
> your system is taking trades on the day of the signal and not the 
> NEXT day when you'd actually make the trade.  That will make your 
> system returns artificially (and unrealistically) high.
> 
> Sorry if I've gone over stuff that you already know.  Most of my 
> mistakes are simple ones that I just didn't think of.:)
> 
> 
> Luck,
> 
> Sebastian   
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Roy Ewing" <slickums76@xxxx> wrote:
> >
> > I found a very good "system" in the AFL Library that produces very
> > good results for what I am trying to backtest.  Here it is, stripped
> > to the essentials:
> > 
> > ---------------------------------------------------------------
> > //  Formula Name:    STD_STK Multi
> > //  Author/Uploader: Willem Jan 
> > 
> > STK=Optimize ("StK" , 14, 2, 18, 2);
> > STD=Optimize ("StD" ,16, 2, 18, 2); 
> > pds =Optimize("pds", 10,2,18,2); 
> > 
> > Sell= Cross (EMA (StochD (STD),pds),EMA( StochK (STK),pds));
> > Buy= Cross (EMA(StochK (STK),pds),EMA( StochD (STD),pds));
> > 
> > Filter=Buy OR Sell;
> > 
> > Buy=ExRem(Buy,Sell);
> > Sell=ExRem(Sell,Buy);
> > 
> > /* My Added POSITIONSCORE */
> > PositionScore = 100 + MFI(); //Also many others tried!
> > 
> > ----------------------------------------------------------------
> > 
> > The problem is that w/o "POSITIONSCORE", I never get out of 
> the "A's"
> > during backtesting.
> > 
> > I have had good results using "positionscore" with other formulas, 
> but
> > I have tried over 30 combinations of different indicators here and 
> the
> > results are MUCH WORSE.  Not only a little, but a lot worse.
> > 
> > I can't believe the formula is so good that nothing will help it, 
> and
> > the fact that I can't get out of the "A's" in my watchlist mean 
> there
> > should be "better" trades.
> > 
> > My watchlist is a list of "Optionable" stocks from TC2005, 
> backtesting
> > for 5 years (about 600 stocks).
> > 
> > Any ideas?
> > 
> > I have emailed the author, but his email bounced.
> > 
> > Thanks.
> > 
> > Roy
> >
> 
> 
> 
> 
> 
> 
> 
> 
> 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! Groups Links
>






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