Ranking using PositionScore

[Anonymous]

Hi everyone,

I am currently working on a momentum strategy that using the rotational function in the Amibroker back-tester.

I have just been working through some signals and noticed that the system is entering the highest and lowest momentum stocks, due to the fact that the positionscore variable takes the highest absolute number

Does anyone know how to ensure the system only takes the highest positive ranked stocks?

Thanks

Oliver

[Nick Radge]

One of your setup conditions could be that the momo measurement be > 0

[TrentRothall]

Hi Oliver

have a look at Module 17/27, Lesson 1/5 it mentions about using the ROC for Positionscore.

Try –

PositionScore = 1000+ROC();

or something similar might help. If you want the ROC on the setup bar you will need to use ref(ROC(),-1) I made that mistake earlier

Trent

[SaidBitar]

TrenRoth wrote:

PositionScore = 1000+ROC();

Hi
The problem with using 1000+ROC is that it will rank all of them as positive numbers and then you will take signals for stocks that have -ve ROC.

I use for Ranking ROC() and then use conditions to filter out all negative and to add other conditions such as price filters, volume, ..

so it will look like this

Code:

BuyTrigger = ROC(C,duration) > 0 AND IndexFilt AND OptFilt AND HDBFilter;
LE = Ref(BuyTrigger,-1);

rank = Ref(ROC(C, duration),-1);
rank = iif(LE , rank , 0);
positionscore = rank;

in this case you are making sure that all your conditions are satisfied

[SaidBitar]

Here is the definition of Position Score

Quote:

USING POSITION SCORE

You can use new PositionScore variable to decide which trades should be entered if there are more entry signals on different securities than maximum allowable number of open positions or available funds. In such case AmiBroker will use the absolute value of PositionScore variable to decide which trades are preferred. See the code below.

since positionScore takes the absolute value then -20 and +20 are treated the same and this is why adding 1000 helps since one will be 1020 and the other 980

and to be sure that you will take the positive number you need to specify that the positionscore should be >= 1000

i am not sure but what i think the moment you pass the position score line in rotational system the trade is already executed and you did not have the chance to specify that the ones that are less than 1000 ignore them or the ones that are in another universe should be ignored.

this is my opinion not sure if i am correct or wrong

[Anonymous]

Thanks guys for the response.

Ill see how I go today.

Regards

Oliver

[Author]

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