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Hi Jason,
I have few questions regarding this system:
First, do you scan individual stocks or indexes?
Where is group 253?
In Metastock code the formula was ROC(Mov((C/P),13,S),1,%) but your
formual is MA(ROC(C/x,13),1); Is it the same? the first one is ROC of
moving average and the second formula is moving average of ROC.
Alan
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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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