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HB,
It is a lot easier to implement in AB then in MS! I like the concept
which is similar to O'neals and to the HGSI style of investing.
Implementing it in AB offers us a lot of flexability. Glad you found
it useful.
jayson
--- In amibroker@xxxxxxxxxxxxxxx, "HB" <hmab@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Jayson
> To: 1ami
> Sent: Monday, February 24, 2003 10:52 PM
> Subject: [amibroker] RSC
>
>
> All,
>
> 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.
>
> 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..........
>
>
>
> 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......
>
>
> Buy=1;
> sym="~"+SectorID(1);
> isym="~i"+SectorID(1);
>
> AddToComposite(C,"~Universe" ,"c");
>
> AddToComposite(C,isym,"C");
> AddToComposite(O,isym,"O");
> AddToComposite(H,isym,"H");
> AddToComposite(L,isym,"L");
> AddToComposite(V/1000,isym,"V");
>
> 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.
>
> Now we have the data to calculate our Sector Relative Strength
Comparison (RSC).
>
> You can read the article for a full description or simply add
this code to AA and explore your new watchlist........
>
>
> Filter=C>0;
> x=Foreign("~Universe","C");
> RSC=MA(ROC(C/x,13),1);
>
> AddColumn(RSC,"Today RSC");
> AddColumn(Ref(RSC,-1),"Yesterday RSC");
> AddColumn(Ref(RSC,-2),"2 day ago RSC");
>
>
> 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.
>
> 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.
>
> have fun with it.....
>
> Jayson
>
>
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