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Mike
and Al,
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There
has been discussions on the QP list regarding QRS vs.. IBD RS. Gary
proposed changing the QRS calculation to better mimic the IBD rankings but it
was voted down.
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<FONT face=Arial color=#0000ff
size=2>Peter
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PS
Here is a snippet of that thread (<A
href="">http://groups.yahoo.com/group/quotes-plus/message/7895):
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From: GaryLyben
<<A
href="">gary@xxxx>
Date:
Mon Nov 20, 2000 9:09 pm<FONT
size=+0>Subject: RE: [quotes-plus] QRS
accuracy
All -Attached is a
csv file that contains a totally different calculation ofthe
qrs.Look it over and see if it looks better than the current
calculation.This one has ACTP at 18, which is pretty close to
IBD.This is essentially the calculation12 month
performance + 9 month performance + 6 month performance + 2 * 3month
performanceversus the current calculation of performance 4
quarters ago + performance 3 quarters ago + performance 2quartersago
+ 2 * current quarter performance.It looks like the attached
calculation is better at capturing thedowntrends, look at NXWX, EVTC,
and MITK. The 99 ranks look like they should be 99'sThis
is a significant change in the formula, so I'll send out
thespreadsheets for a while to get your feedback.The ranks in
this spreadsheet are for
11/20/00RegardsGary
<FONT face=Tahoma
size=2>-----Original Message-----From: Mike Lucero
[mailto:m.lucero@xxxx]Sent: Friday, July 05, 2002 2:41
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Relative Strength
You're right about making the number of days/quarter more accurate. I
just checked Daily Graphs Online and they say
Relative Price Strength (RS) Rating or Relative
Strength Exclusive rating in Investor's Business Daily.
This IBD SmartSelect® Corporate Rating measures each stock's price
performance over the latest twelve months compared to all other
stocks.
so I don't know if they ignore stocks under $5 or not. Anyway, for going
long, try using a buy-condition and optimizing the quarterly growth number
> opt for opt = Optimize("opt", 1, 1, 2, .1). Also, try a buy-condition
with quarterly growth in a range, like 1.0-1.1, 1.1-1.2. I believe I use a
filter of quarterly growth > 1.15 or so, and am wary when it gets too big,
like >1.5.
Quotes Plus has RS-rank that we can use, but it only goes back to 1995. I
didn't think that was enough when I started backtesting a couple of yearsago.
Now, it includes a bull and bear market, so maybe it's enough.
Mike
----- Original Message -----
From: <A
title=avcinci@xxxx href="">Avcinci
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 05, 2002 5:46 AM
Subject: Re: [amibroker] Relative Strength
Mike,
A nitpicking question. Wouldn't it be more accurate to assume 22 rather
than 20 trading days per month in your formulas (or better, 64 trading days
per quarter)? Also, doesn't IBD ignore all stocks whose prices are less than
$5/share? Thanks.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Mike
Lucero
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, July 04, 2002 11:44
PM
Subject: Re: [amibroker] Relative
Strength
There are two kinds of relative strength. The relative
strength graph thatis shown on IBD graphs is built into Amibroker as
RelStrength(). The RSranking number is made by calculating an average of
quarterly growth ofprice, then sorting by that number. The top 10% would
be RS rank 90+.Mikeqtrgrowth = (2*C/Ref(C,-60) +
Ref(C,-60)/Ref(C,-120) +Ref(C,-120)/Ref(C,-180) +
Ref(C,-180)/Ref(C,-240))/5;Plot(qtrgrowth,"qtrgrowth",1,1);-----
Original Message -----From: "Damien" <damienb4l@xxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Thursday, July 04, 2002 2:47
PMSubject: [amibroker] Relative StrengthIs there any way to
calculate or approximate a stock's RelativeStrength as defined by
Investor's Business Daily (i.e., the relativeprice performance of a
stock in comparison to all other stocks)?I tried using RelStrength
specifying the Wilshire 5000 Index (thebroadest market measure I am
aware of), but when I sorted theresults by the RelStrength, it was
apparent that the order wasdirectly proportional to the Close price.
Then I thought I couldnormalize it by dividing by the Close price, but
the results of doingthis were 0.09, 0.10, or 0.11 for all 8,876 stocks
-- not a usefulmeasure.Am I missing something
here?Thanks,DamienYour use of Yahoo!
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