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RE: [amibroker] Re: RSC



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<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 
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