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Greetings --Stevo said in one of his postings: "But if the system requires PositionScore to be considered tradeable then I will not trade it. I suppose that I could test how robust the PositionScore value is - something that is worth pursuing."PositionScore is just a part of the trading system. It can be included or excluded, as you wish. If it is excluded, AmiBroker will use a default process that functions as PositionScore just as though you wrote it that way and intended it that way -- see my note later in this post.When I am using PositionScore, I think of the system as operating in two phases.Phase one. Process all the tickers in the list of possible issues. If you are trading all the stocks in the S&P 100 index, that list is 100 long. For each ticker, use whatever rules or indicators are need to generate a Buy signal. If 14 of the issues generated Buy signals, pass the shorter list of 14 on to phase two.Phase two (only needed if there are more Buy signals than there are "slots" available). Rank the issues that have current Buy signals according to PositionScore. Buy the ones listed at the top of the list, starting at the top and continuing down until you have filled all the slots.Setting PositionScore to a random number is fine. What that says is that all of the alternatives are of equal goodness as measured by your objective function, and the choice should be made at random. But, if there is some additional information that can help select those alternatives that are more likely to be profitable, or more profitable, or have lower drawdown, or add diversity, or whatever else is important, PositionScore makes it possible to identify the best of the alternatives.If there are more Buy signals than slots and PositionScore has not been specified, AmiBroker sorts the list into order alphabetically, then starts at the top, just as though you specified PositionScore to be Alphabetical rank. If there are often more signals than slots, you will see positions being taken in tickers starting at the beginning of the alphabet much more often than tickers later in the alphabet. Be sure you mean that.Note: Setting PositionScore to Random sets up a MonteCarlo process. You may want that or you may not. If the initial random number seed is random -- such as the lower digits of the clock -- and it probably should be random rather than specified in the code -- then the sequence is not repeatable and the trades cannot be replicated. In order to evaluate a trading system like that, many runs should be made and the resulting distribution(s) evaluated using statistical methods. One run is not enough.Thanks,Howardwww.quantitativetradingsystems.com
Greetings --
Stevo said in one of his postings: "But if the system requires PositionScore to be considered tradeable then I will not trade it. I suppose that I could test how robust the PositionScore value is - something that is worth pursuing."
PositionScore is just a part of the trading system. It can be included or excluded, as you wish. If it is excluded, AmiBroker will use a default process that functions as PositionScore just as though you wrote it that way and intended it that way -- see my note later in this post.
When I am using PositionScore, I think of the system as operating in two phases.
Phase one. Process all the tickers in the list of possible issues. If you are trading all the stocks in the S&P 100 index, that list is 100 long. For each ticker, use whatever rules or indicators are need to generate a Buy signal. If 14 of the issues generated Buy signals, pass the shorter list of 14 on to phase two.
Phase two (only needed if there are more Buy signals than there are "slots" available). Rank the issues that have current Buy signals according to PositionScore. Buy the ones listed at the top of the list, starting at the top and continuing down until you have filled all the slots.
Setting PositionScore to a random number is fine. What that says is that all of the alternatives are of equal goodness as measured by your objective function, and the choice should be made at random.
But, if there is some additional information that can help select those alternatives that are more likely to be profitable, or more profitable, or have lower drawdown, or add diversity, or whatever else is important, PositionScore makes it possible to identify the best of the alternatives.
If there are more Buy signals than slots and PositionScore has not been specified, AmiBroker sorts the list into order alphabetically, then starts at the top, just as though you specified PositionScore to be Alphabetical rank. If there are often more signals than slots, you will see positions being taken in tickers starting at the beginning of the alphabet much more often than tickers later in the alphabet. Be sure you mean that.
Note: Setting PositionScore to Random sets up a MonteCarlo process. You may want that or you may not. If the initial random number seed is random -- such as the lower digits of the clock -- and it probably should be random rather than specified in the code -- then the sequence is not repeatable and the trades cannot be replicated. In order to evaluate a trading system like that, many runs should be made and the resulting distribution(s) evaluated using statistical methods. One run is not enough.
Thanks,
Howard
www.quantitativetradingsystems.com
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