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Stock Ranking

Discussion in 'Trading Strategies/Systems' started by willoneau, Feb 7, 2020.

  1. willoneau

    willoneau

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    I have a question about stock ranking as I don't use it.
    If you rank the stock to pick from high to low, do you choose as many as you can with funds available?
    or set number?
    Also how do you back test those variables?
     
  2. qldfrog

    qldfrog

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    I have 20 stocks in my system, if there is room for more , then i get the ones offered this week ordered by the ranking.
    New entries are relatively rares overall so it is not an issue
    I assumed ranking was taken into account by AB in backtests
     
  3. Zaxon

    Zaxon The voice of reason

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    If you pick stocks directly, you have to rank stocks. You want to buy into your best ideas first. What other way is there of doing it?

    If you invest in ETFs, you essentially rank those as well.
     
  4. willoneau

    willoneau

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    Hi Zaxon, I see from your post you mentioned buy from best idea's. Are you then ranking your signals from different systems or methodologies ? eg taking top few from each?
     
  5. willoneau

    willoneau

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    I have older version of AB so thought all signals were taken until no Capital available.
     
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  6. Joe90

    Joe90

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    Almost on topic - a few ranking methods I have collected over time. All worth back testing.
    • IBD200 relative Strength. IBD200 is a subscription service and covers the US markets but there is a TC2000 formula that can be used to run a similar RS scan on the ASX at the Stockbee site. https://stockbee.blogspot.com/2007/05/ibd-200.html It is basically a weighted average of price growth for one quarter, half year, 3 quarters and a year. So more suited to longer term trades or a weekly system.
    • SCTR (Stock Charts Technical Rank)
    • Bang for buck (Nick Radge)
    • %Risk Filter (Nick Radge)
    The last two are both available here -
    https://www.thechartist.com.au/the-benefits-of-leverage-for-position-sizing/
    • Historical volatility. Try starting with the lookback window set to your average trade holding period.
    Cheers
     
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  7. qldfrog

    qldfrog

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    Based on previous backtest work, AB seems to stick to my 20 positions limits and so worked as expected.but i am not an AB guru so that post with caution
     
  8. MovingAverage

    MovingAverage Smoke me a kipper

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    If you're using AB one way you can do it is via PositionScore. Let's just say for simplicity you rank your buy signals based in RSI. In AB you just set PositionScore to equal RSI and it will enter positions based on RSI--those positions with the highest ranking (RSI) will be taken initially. There are a few things to be careful of when using PositionScore in AB but that's a simple way of taking into account ranking in AB.
     
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  9. Warr87

    Warr87

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    You can assign any value to a position score. One that has worked best for me is price (lowest first):

    Code:
    PositionScorer = 100 - Close;
    PositionScore = Ref( PositionScorer, -1 );
    
    That will list the lowest first. I also have a price and volume filter as I don't want illiquid penny stocks.

    Not all systems will be best with that kind of ranking. Some systems would have the highest prices better, or RSI, perhaps the highest ROC or maybe the highest ADX. A combination of these could also be good.

    I've tried to google some useful ranking methods for AB that others have used, but I personally haven't found much.
     
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  10. captain black

    captain black

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    Hmm. Nice code. It works well.
     
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  11. Value Collector

    Value Collector Have courage, and be kind.

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    I don’t think you need any systems or methodologies, when you have been doing it long enough it just becomes like ranking which woman you think is hottest, I mean it becomes like second nature, at least that’s the way it works for me.
     
  12. MovingAverage

    MovingAverage Smoke me a kipper

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    So many responses to this but me thinks best not to for not wanting to get flamed
     
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  13. Value Collector

    Value Collector Have courage, and be kind.

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    Hey come on now? Where is the fun in that.
     
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  14. qldfrog

    qldfrog

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    Here too, on a system i am working on
    A warning:
    Obviously linked to a condition like C>0.xx for buy
    I then noticed that, and it makes sense, it doesn't always backtest very well in the far past
    If you take Close higher than 20c in 2005, i guess inflation plays and it it more like a Close higher than 40c 15y later...
    Basically, the definition of a penny stock changes in time.
    I usually run far backtest on specific past periods for market falls period, stagnant market etc
     
  15. Warr87

    Warr87

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    As a disclaimer, I didn't come up with the code but found it. However it is one that I use often when I test positionscore. Glad it's been useful for everyone

    Code:
    PriceF = Close > 0.05 AND Close < 10;
    
    This is my price filter. I vary it depending on the system. A volume filter for me would usually go a little different.

    Code:
    VolumeFilter = Volume > 300000;
    
    Code:
    VolumeMA = MA(Volume, 20);
    VolumeFilter = Volume > VolumeMA;
    

    @qldfrog yea I get your point. Though I think the minimum price filter works even back in the past as the premise is: a 5c stock will gain more momentum than a $20 share. Both can gain 40% but the smaller one is more likely to gain that momentum quicker. And you are right about the definition of penny stocks. Hard to backtest for but adding a volume filter is likely to help in excluding the penny stocks.
     
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  16. qldfrog

    qldfrog

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    Definitely, just stressing that people interested in backtest might want to change threshold value based on period tested
    Currently i use 40c as the limit on some of my systems
    And i use a filter on volume
     
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  17. Zaxon

    Zaxon The voice of reason

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    I do run in parallel different systems and do AB or ABC testing between them. Whilst it sounds good in theory, and probably should be done, even good systems can have long periods of underperformance. Just ask Warren Buffett how he's done in the last decade :)

    Currently, I have more of my funds than usual in index funds, along with direct investing. So it's still a form of AB testing, since the results will inform my allocation percentages going forward.

    So in this case, yes, I take the top few "best ideas" for my direct investing, and my best ETF idea for my ETF portion.
     
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