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RE: [amibroker] Re: RSC



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I 
don't know... depends on your stocks i guess, easy to check though. Just display 
all quotes and step through the stocks in a sector, if they all have the same 
length of historical data you have no problem.
<FONT face=Arial color=#0000ff 
size=2> 
take 
care,
<FONT face=Arial color=#0000ff 
size=2>Herman.

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Jayson 
  [mailto:jcasavant@xxxxxxxxxxxx]Sent: Thursday, February 27, 2003 
  1:39 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
  [amibroker] Re: RSC
  <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 face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Herman.
  <FONT face=Arial color=#0000ff 
  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 face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    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 face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>Herman
    <FONT face=Arial color=#0000ff 
    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> 
      <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> <FONT 
      color=#0000ff>
      Filter=C>0<FONT 
      face=Arial color=#0000ff size=2>;<FONT 
      size=2>
      x=Foreign("~Universe","C"<FONT 
      color=#282828><FONT face=Arial color=#0000ff 
      size=2>);
      RSC=ROC(MA(C<FONT 
      face=Arial>/x,13),1<FONT face=Arial 
      color=#0000ff>);
       
      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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