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<SPAN
class=694290700-28022003>Herman,
<SPAN
class=694290700-28022003>
<SPAN
class=694290700-28022003>Understood. If an index component was not around 10
years ago then the chart viewed 10 years ago would in fact be skewed. For
this application I guess I just do not see how that is an issue. Of more
importance may be a method to normalize a $70 stock against a $10 dollar issue.
Any thoughts there? Perhaps a ROC calculation or count of new highs-new
lows?
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxxxxxx]Sent: Thursday, February 27, 2003 7:51
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: RSC
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 color=#0000ff face=Arial
size=2>
take
care,
<FONT color=#0000ff face=Arial
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 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>
<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
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<FONT
face=Arial>/x,13),1<FONT color=#0000ff
face=Arial>);
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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