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Amazing timing Jayson ! I had just finished
reading the article when I saw that you posted it to the files section. I
was about to start doing some coding when I again saw that you had already
posted it.
Thanks !
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">1ami
Sent: Monday, February 24, 2003 10:52
PM
Subject: [amibroker] RSC
<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
face=Arial color=#000000 size=2>);<FONT
face=Arial>
isym="~i"+SectorID(1<FONT
face=Arial color=#000000 size=2>);
<FONT
face=Arial>
AddToComposite(C,"~Universe"
,"c"); <FONT
color=#0000ff>
<FONT
face=Arial>
AddToComposite(C<FONT
face=Arial>,isym,"C"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(O<FONT
face=Arial>,isym,"O"<FONT
color=#000000>);<FONT
face=Arial>
AddToComposite(H<FONT
size=2>,isym,"H"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(L<FONT
face=Arial>,isym,"L"<FONT
color=#000000>);<FONT
size=2>
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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