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Jayson,
Regarding your AddToComposite formula for sector index's:
I believe the Buy=1; should read Buy=0; when creating / scanning for the
AddToComposite() function...Otherwise, when you click the scan button
The AA window will give you buy results.....
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");
Anthony
-------Original Message-------
From: amibroker@xxxxxxxxxxxxxxx
Date: Tuesday, February 25, 2003 01:53:05
To: 1ami
Subject: [amibroker] RSC
All,
I just picked up an interesting article that lends itself to the threads 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 may find it
of interest. It is geared towards Metastock users and the last part of 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 to easily
create custom sector indexes. For those interested in Sector Rotation read
on, if not hit delete..........
The first step is to create a group of Sector indexes. This custom group 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 the universe 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 and one for
the complete universe. These newly created indexes will be saved in group
253. Move them to an empty watchlist.
Now we have the data to calculate our Sector Relative Strength Comparison
(RSC).
You can read the article for a full description or simply add this code 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 which sectors are
out performing the universe as a whole and more importantly you may see if
the sector is gaining or losing momentum. The above code reflect RSC over
the last 3 days but by adjusting the ref statements you can explore any 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.....
Jayson
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