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For easier reference, here is a variation for IB.
// Outperforming OR Underperforming Stocks
Plot( Close, "" , 1,
64);Value=Foreign("~SUMRSI","C")/Foreign("~Count","V");WildPer =
14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer
);ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );x = (WildPer - 1) * (
ADC * Value / (100-Value) - AUC);RevEngRSI = IIf( x >= 0, C + x, C + x *
(100-Value)/Value );Plot(
RevEngRSI,"",4,4);ratio=IIf(revengrsi<C,100*(-1+C/revengrsi),100*(-1+revengrsi/C));Title=Name()+"
Close "+WriteIf(RevEngRSI>C," underperforms the market by "+
WriteVal(ratio,1.2)+" %"," outperforms the market by
"+WriteVal(ratio,1.2)+" %");
You may see from the last Close that MSFT is below its neutral
market value by 8.11% and INTC is 2.63% above its
virtual Close.
The index ^NDX itself is outperforming the N100 market by
1.15%
Since the N100 market is directional enough, every stock tends
to neutralise its % relative to the market.
A 10% gap between the real and the virtual Close tends to
close soon.
Of course, there are two ways : Either the stock will go
higher faster than the market or the market will slow down.
It depends if the stock is between the "leaders" or the
followers.
For long time frames there must be a theoretical equilibrium
between out- and under- performance.
Is it true ?
The answer is very interesting : Very few stocks [14] are
49%-51% to 51%-49%
[the equilibrium model is MERQ, equally distributed around the
market for the test period, Feb2000 till now]
The index ^NDX itself is an underperformer [another proof that
it is not carefully selected and weighted...]
and it was the 68% of the test period "below" its neutral
value.
Explore for the n=1 last quotation with
// Outperforming OR Underperforming Stocks
ExplorationValue=Foreign("~SUMRSI","C")/Foreign("~Count","V");WildPer =
14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer
);ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );x = (WildPer - 1) * (
ADC * Value / (100-Value) - AUC);RevEngRSI = IIf( x >= 0, C + x, C + x *
(100-Value)/Value
);Filter=1;AddColumn(100*Cum(C<=RevEngRSI)/Cum(IsTrue(RevEngRSI)),"underperformance
%");AddColumn(100*Cum(C>RevEngRSI)/Cum(IsTrue(RevEngRSI)),"outperformance
%");
For a quick IB view, paste also in a free window
the
// Outperforming/Underperforming
PeriodsValue=Foreign("~SUMRSI","C")/Foreign("~Count","V");WildPer =
14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer
);ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );x = (WildPer - 1) * (
ADC * Value / (100-Value) - AUC);RevEngRSI = IIf( x >= 0, C + x, C + x *
(100-Value)/Value
);Plot(1,"",(C<=RevEngRSI)*4+(C>RevEngRSI)*5,2);Plot(0,"",1,1);Title=Name()+"
outperforms the market the "+
<FONT
size=2>WriteVal(100*Cum(C>RevEngRSI)/Cum(IsTrue(RevEngRSI)),1.2)+
" % of the last
"+WriteVal(Cum(Month()!=Ref(Month(),-1)),1.0)+" months";
to see the green [outperform]/red [underperform] ratio for the
last 40 months.
I hope this analysis will help make your own upgrade/downgrade
objective estimation
and avoid some "strange" [and suspect]
presentations.
Dimitris Tsokakis
Ref: <A
href="">http://groups.yahoo.com/group/amibroker/message/41412
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