|
PureBytes Links
Trading Reference Links
|
<SPAN
class=880242921-27022003>Herman,
<SPAN
class=880242921-27022003>
I
follow your reasoning that a higher priced stock may dominate a sector and
perhaps that needs to be addressed. However on your 2nd point since the custom
universe is driving the custom sectors the code will in fact reflect a
consistent number going back in time will it not?
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxxxxxx]Sent: Thursday, February 27, 2003 7:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: RSC
If you
have an inconsistant number of stocks in the bars you will get inaccurate
results, some stocks (higher priced) may dominate. Especially so if you
create composites for many years, many stocks you find in today's sectors were
not there some years ago. So If you had 50 stocks today you may only have 5-10
five years ago.
<FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
size=2>Herman.
<FONT color=#0000ff face=Arial
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]Sent: Thursday, February 27, 2003
12:22 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: RSC
<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>
<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.
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.
|