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The QP formula is: <FONT
color=#0000ff>close(0) / open(-251) + close(0) /
open(-188) + close(0) / open(-125) +
( close(0) / open(-62) ) * 2
I think the reason was that it would break scansthat
people were already using.
If you have 25% growth in each quarter, the first
formula gives 1.25 for the quarterly growth number. This formula gives 8.45, so
I think you need scaling so the raw number has meaning.
Mike
----- Original Message -----
From: <A
href="" title=avcinci@xxxx>Avcinci
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 05, 2002 2:21 PM
Subject: Re: [amibroker] Relative Strength
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 href=""
title=investor@xxxx>bluesinvestor
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 05, 2002 2:59 PM
Subject: RE: [amibroker] Relative
Strength
Mike
and Al,
<FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
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 color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
size=2>Peter
<FONT color=#0000ff face=Arial
size=2>
PS
Here is a snippet of that thread (<A
href="">http://groups.yahoo.com/group/quotes-plus/message/7895):
<FONT color=#0000ff face=Arial
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
href="" title=avcinci@xxxx>Avcinci
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>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
href=""
title=amibroker@xxxxxxxxxxxxxxx>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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