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Re: [amibroker] Relative Strength



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Peter,
 
Do you know why QP2 users voted it down? It's curious why people would 
want a calculation that does not mimic IBD's and does not account properly for 
declining periods of performance.
 
Al V.
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=investor@xxxx 
href="">bluesinvestor 
To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Friday, July 05, 2002 2:59 PM
Subject: RE: [amibroker] Relative 
Strength

Mike 
and Al,
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>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.  
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>Peter
<FONT face=Arial color=#0000ff 
size=2> 
PS 
Here is a snippet of that thread (<A 
href="">http://groups.yahoo.com/group/quotes-plus/message/7895):
<FONT face=Arial color=#0000ff 
size=2> 




From:  Gary Lyben 
<gary@xxxx> <FONT 
size=+0>Date:  Mon Nov 20, 2000  9:09 
pmSubject:  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 2quarters 
ago + 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 warywhen 
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 years 
ago. 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 lessthan 
$5/share? Thanks.
 
Al V.
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Mike 
Lucero 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
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 Amibrokeras 
RelStrength(). The RSranking number is made by calculating an average 
of quarterly growth ofprice, then sorting by that number. The top10% 
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 definedby 
Investor's Business Daily (i.e., the relativeprice performance ofa 
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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