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Traders, I found the following very informative relative strength
plot in the User's Guide and wrote the exploration below it. It is
important to note that both are dimensionally coherent, as they allow
you to directly compare one security's performance with another,
unaffected by unit of measure and thus price levels and splits.
William Eckhardt wrote about dimensional coherency in Stocks and
Commodities. Here's an excerpt:
"In most cases, the only way to evaluate trading indicators or systems
is through diligent and rigorous testing. However, there are cases in
which indicators, systems or even entire approaches can be rejected
on principle. A good way to root out the unworkable indicators,
systems or approaches is to apply a c-test, which is a methodological
test for dimensional coherency. A system can be said to be
dimensionally coherent if its results do not change even though the
units of measure do. The test is applied directly to the formulas or
rules that define a system or indicator. If the system or indicator
fails the c-test, then it will give incoherent results that cannot be
trusted; however, a formula determined to be incoherent can often be
modified to pass the c-test."
Mark
//Indicator
startpoint = Status("barvisible");
startpoint = startpoint - Ref( startpoint, -1 );
price = Close;
Plot( 100 * ( price/ValueWhen( startpoint, price ) - 1 ), Name(),
colorRed, styleThick );
ticker = ParamStr("Ticker 1", "^NDX" );
price = Foreign( ticker, "C");
Plot( 100 * ( price/ValueWhen( startpoint, price ) - 1 ), ticker,
colorBlue );
ticker = ParamStr("Ticker 2", "MSFT" );
price = Foreign( ticker, "C");
Plot( 100 * ( price/ValueWhen( startpoint, price ) - 1 ), ticker,
colorGreen );
ticker = ParamStr("Ticker 3", "IBM" );
price = Foreign( ticker, "C");
Plot( 100 * ( price/ValueWhen( startpoint, price ) - 1 ), ticker,
colorBrown );
GraphXSpace = 3;
//Exploration
Filter=1;
rs5=100*((C/Ref(C,-5))-1);
rs10=100*((C/Ref(C,-10))-1);
rs20=100*((C/Ref(C,-20))-1);
rs50=100*((C/Ref(C,-50))-1);
AddColumn(rs5,"RS5",1.2);
AddColumn(rs10,"RS10",1.2);
AddColumn(rs20,"RS20",1.2);
AddColumn(rs50,"RS50",1.2);
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