[amibroker] RSC

["Jayson" <jcasavant@xxxxxxxxxxxx>]

<SPAN 
class=754192106-25022003>All,
<SPAN 
class=754192106-25022003> 
I just picked up an 
interesting article that lends itself to the threads of last week regarding 
using one set of data to influence another set. I posted the PDF to the 
file section. Those interested in Sector rotation may find it of interest. It is 
geared towards Metastock users and the last part of the article is an ad but for 
some it may be an interesting read. 
<SPAN 
class=754192106-25022003> 
The concept lends 
itself to Amibroker since we have the ability to easily create custom sector 
indexes. For those interested in Sector Rotation read on, if not hit 
delete..........
<SPAN 
class=754192106-25022003> 
<SPAN 
class=754192106-25022003> 
<SPAN 
class=754192106-25022003> 
The first step is to 
create a group of Sector indexes. This custom group can be your whole 
universe (database) or a filtered sub set (Nas 100, S&P etc). Place the code 
into AA to create the indexes by scanning the universe  of your 
choice......
<SPAN 
class=754192106-25022003> 
 <FONT 
face=Arial>
Buy=1<FONT 
color=#282828>;<FONT 
face=Arial>
sym="~"+SectorID(1<FONT 
color=#000000 face=Arial size=2>);<FONT 
face=Arial>
isym="~i"+SectorID(1<FONT 
color=#000000 face=Arial size=2>);
 <FONT 
color=#000000>
AddToComposite(C,"~Universe" 
,"c"); <FONT 
color=#0000ff>
 <FONT 
color=#000000>
AddToComposite(C,isym,"C"<FONT 
color=#282828>);<FONT 
color=#0000ff><FONT 
color=#000000>
AddToComposite(O,isym,"O"<FONT 
color=#282828>);<FONT 
color=#0000ff>
AddToComposite(H<FONT 
size=2>,isym,"H"<FONT 
color=#000000>);<FONT 
size=2>
AddToComposite(L,isym,"L"<FONT 
color=#282828>);<FONT 
color=#0000ff><FONT 
color=#000000>
AddToComposite(V<FONT 
face=Arial>/1000,isym,"V"<FONT 
color=#000000>);
 
<SPAN 
class=754192106-25022003>The result will be a group of 13 index's, one for each 
sector and one for the complete universe. These newly created indexes will be 
saved in group 253. Move them to an empty watchlist. 
<SPAN 
class=754192106-25022003> 
<SPAN 
class=754192106-25022003>Now we have the data to calculate our Sector Relative 
Strength Comparison (RSC).
<SPAN 
class=754192106-25022003> 
<SPAN 
class=754192106-25022003>You can read the article for a full description or 
simply add this code to AA and explore your new 
watchlist........
<SPAN 
class=754192106-25022003> 
<SPAN 
class=754192106-25022003> 
Filter=<FONT color=#000000 
size=2>C><FONT color=#ff00ff 
size=2>0;
x=Foreign(<FONT 
size=2>"~Universe",<FONT 
size=2>"C"<FONT 
color=#000000>);
RSC=MA(<FONT 
size=2>ROC(C<FONT 
size=2>/x,13),<FONT 
size=2>1);
 
AddColumn(RSC,"Today 
RSC"<FONT 
color=#000000>);<FONT 
color=#000000>
AddColumn(Ref<FONT 
size=2>(RSC,-1),<FONT 
size=2>"Yesterday RSC"<FONT 
color=#000000>);<FONT 
color=#000000>
AddColumn(Ref<FONT 
size=2>(RSC,-2),"2 
day ago RSC"<FONT 
color=#000000>);
 
 
Sort the "Today" 
Column. At a glance you can easily see which sectors are out performing the 
universe as a whole and more importantly you may see if the sector is gaining or 
losing momentum. The above code reflect RSC over the last 3 days but by 
adjusting the ref statements you can explore any time frame you wish. 

<SPAN 
class=754192106-25022003> 
The next step would 
be to explore stocks in a given sector against their indexes. Thanks to the code 
(script) posted by William Peters last week creating the 12 Sector watch lists 
is now a snap.
<SPAN 
class=754192106-25022003> 
have fun with 
it.....   
 Jayson 
 






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