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I have a group of 5 mutual funds and I want to rotate into the
strongest fund base on relative strength. When I use the "relstrength
("^spx")" in exploration I get results that seem to be a direct
correlation to the ticker close price. I expected a positive number
in MRS if I was outperforming the index and a negitave one for under
performance. The largest MRS should be the fund that is out
performing the S&P by the largest margin. Can someone explain how AB
calculates RS? I think I need to add some more code to get where I
want but I need to understand the relstrength calculation first.
Thanks
John Pyle
Here is the code:
//**********Calculations
Periods = 28;
RS=relstrength("^spc");
MRS=EMA(RS,14);
RSChange=MRS-ref(MRS,-Periods);
Filter = Close >0;
NumColumns = 3;
Column0 = Close; Column0Name = "Close"; Column0Format=1.2;
Column1 = MRS; Column1Name = "MRS"; Column1Format=1.2;
Column2 = RSChange; Column2Name = "RSChange"; Column2Format=1.2;
Scan/Exploration Results:
Ticker, Date, Close, MRS, RSChange
FSPHX, 9/10/01, 126.02, 1629.87, 113.15,
FSVLX, 9/10/01, 47.83, 643.15, 8.23,
FSELX, 9/10/01, 43.19, 598.78, -12.14,
FDCPX, 9/10/01, 33.61, 462.52, -24.58,
FSESX, 9/10/01, 25.58, 332.23, -19.03,
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