|
PureBytes Links
Trading Reference Links
|
<SPAN
class=419444819-27022003>Herman,
<SPAN
class=419444819-27022003>
I have
just been running the raw numbers each day. Do you see an advantage in
averaging?
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxxxxxx]Sent: Thursday, February 27, 2003 5:28
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: RSC
Hi
Jayson,
<FONT color=#0000ff face=Arial
size=2>
thanks
for your recent posts. Wrt the composite building should we count the stocks for
each bar and calculate the average price array for each bar? Or did i miss some
posts?
<FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
size=2>Herman
<FONT color=#0000ff face=Arial
size=2>
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");
<FONT face=Tahoma
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]Sent: Tuesday, February 25, 2003
8:50 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: RSC
<SPAN
class=707363304-26022003>Alan,
<SPAN
class=707363304-26022003>
I
scan individual stocks to create the index composites. You could use a custom
universe or one of the more traditional (nas 100, S&P etc). Group 253 is
where AB stores your newly created composites. The groups can be found on your
work space tree (View/workspace) if these are the only composites you have
then there should be 13, the traditional 12 (Capital Goods, Consumer Cyclical
etc) and Universe which is the base index we use to compare the others to. You
are correct that I rearranged the order in my code, it should
be....
<SPAN
class=707363304-26022003>
<FONT
color=#000000>
Filter=C>0<FONT
color=#0000ff face=Arial size=2>;<FONT
size=2>
x=Foreign("~Universe","C"<FONT
color=#282828><FONT color=#0000ff face=Arial
size=2>);
RSC=ROC(MA(C/x,13),1<FONT
color=#282828>);
AddColumn(RSC,<FONT
color=#ff00ff>"Today RSC");<FONT
color=#0000ff>
AddColumn(<FONT
color=#0000ff>Ref(RSC,-<FONT
color=#ff00ff>1),<FONT
color=#ff00ff>"Yesterday RSC");<FONT
color=#0000ff>
AddColumn(<FONT
color=#0000ff>Ref(RSC,-<FONT
color=#ff00ff>2),"2 day
ago RSC");
sorry for the
confusion, and good catch!
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Alan Nouray
<alann@xxxxxxxxxxxx> [mailto:alann@xxxxxxxxxxxx]Sent:
Tuesday, February 25, 2003 8:07 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
RSCHi 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 yourformual is MA(ROC(C/x,13),1); Is it the
same? the first one is ROC ofmoving 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 thethreads
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 mayfind it> of interest. It is geared towards
Metastock users and the last partof 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 toeasily> create custom
sector indexes. For those interested in SectorRotation read> on, if
not hit delete..........> > > > The first step is
to create a group of Sector indexes. This customgroup 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
theuniverse 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 andone for> the complete
universe. These newly created indexes will be saved ingroup> 253.
Move them to an empty watchlist.> > Now we have the data to
calculate our Sector Relative StrengthComparison> (RSC).>
> You can read the article for a full description or simply add
thiscode 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 whichsectors are> out performing the universe as a
whole and more importantly you maysee if> the sector is gaining or
losing momentum. The above code reflect RSCover> the last 3 days
but by adjusting the ref statements you can exploreany 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.....> >
JaysonSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|