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In November 2000, Gary Lyben of Quotes-Plus offered the following
calculation for RS ranking that he said (at the time) was similar to IBD
RS ranking.
The new calculation however was rejected by the users due to lack of
consistency (prior years would have been the old calculation).
Regards,
Peter
From: Gary Lyben <gary@xxxx>
Date: Mon Nov 20, 2000 9:09 pm
Subject: RE: [quotes-plus] QRS accuracy
All -
Attached is a csv file that contains a totally different calculation of
the qrs.
Look it over and see if it looks better than the current calculation.
This one has ACTP at 18, which is pretty close to IBD.
This is essentially the calculation
12 month performance + 9 month performance + 6 month performance + 2 * 3
month performance
versus the current calculation of
performance 4 quarters ago + performance 3 quarters ago + performance 2
quarters ago + 2 * current quarter performance.
It looks like the attached calculation is better at capturing the
downtrends, look at NXWX, EVTC, and MITK.
The 99 ranks look like they should be 99's
This is a significant change in the formula, so I'll send out the
spreadsheets for a while to get your feedback.
The ranks in this spreadsheet are for 11/20/00
Regards
Gary
-----Original Message-----
From: Fred [mailto:fctonetti@xxxxxxxxx]
Sent: Thursday, September 04, 2003 7:32 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to calculate RS Rank?
By using Portfolio Trader, a generic scoring, ranking, trading (GUI &
AFL)
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Hello,
>
> Has anyone performed calculations of RS Rank using AB, such as the
> one that IBD provides? Although IBD's formula is secret, lets say
> that if I define the gain to be simply "ROC(C, 200)", how do I go
> about ranking the security against all other securities in the DB?
>
> I'm new to AB, so my thought process here could be a bit off.
> Wondering if anyone can think of a better way to do this than
> following -
>
> 1. Grab a list of all stocks in the DB, either thru automation
> interface or by reading a file.
> 2. Since there's no array in AFL to iterate these over, write them
to
> a file (if read using automation interface).
> 3. For each ticker in the file, calculate current gain (as above or
> thru a better formula), and write it to same or another file.
> 4. Sort tickers in the new file by the gain value.
> 5. Use a percentile style calculation to generate the rank, either
by
> creating percent buckets using value or by using number of
securities.
>
> Is there a better way to do this than above?
>
> Thanks in advance.
>
> Jitu
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