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<FONT face=Arial color=#0000ff
size=2>Anthony,
<FONT face=Arial color=#0000ff
size=2>
Posted
below is an explanation I recently sent another member of the board.
Depending on your time frame the sector information will change. I posted
results of an exploration of a 7 day linreg of Relative strength of each sector
as compared to the universe as a whole. The concept is similar to what you
suggest. Instead of measuring against an index such as the S&P I measure
against an index of my own construct.
<FONT face=Arial color=#0000ff
size=2>
You
could easily adapt the code posted below to look at industry groups as well. The
top down approach is easily accomplished using QP data and is in fact the back
bone of the HGS software they tout at the site. The challenge I found using the
HGS methodology was that the industry groups often contained too few stocks to
really matter. A "group" of 3-5 stocks does not really make a representation.
After perusing that line for over a year I came to conclusion (right or wrong)
that Sectors offered a better picture. I am a visual trader and find that once I
decide a sector is worth further examination that flipping through the charts of
stocks in that sector can often yield good candidates. I tend to have a very few
favorite stocks in each sector and avoid some sectors all together for a variety
of reasons.
<FONT face=Arial color=#0000ff
size=2>
If you
notice the number in the cross column next to Information you will see that it
has only recently slipped below the index of all stocks. This indicates it is
showing signs of weakness but may not be weak yet in longer time frames. A look
at today's charts for CSCO, ORCL and CVC bear out this hypothesis. A day does
not a trend make but today money was obviously taken off the table in this
sector.....
Regards,
Jayson
from a recent
post.......
The first step is to define your universe of stocks. It could be
all the stocks in a given index or a list you arrive at by what ever data mining
method you choose. Set your universe up as a watchlist then run this scan on
that list with n last days=1 . Included is code to create sector indexes, new
highs/new lows and advance/decline data for each sector and the universe at
large.
Once the scan completes you need to move the sector indexes to
their own watchlist (they all start with ~i). You should have 13 indexes, one
for each of the sectors and one called Index which is the composite comprised of
all the stocks in your universe.
Next load the Sector RS code. Define the filter to your index
watchlist and explore for n last days=1. Click on the headers to sort. Those
sectors above the index (blue) are out performing the universe those below,
under performing. Adjust the look back by changing the parameter in the
RSC=linregslope line.
Regards,
Jayson
//Sector Analysis composite creation
by Jayson Casavant
Buy=0;
newhigh=H>Ref(HHV(H,10),-1);
//stocks making new high
newlow=L<Ref(LLV(L,10),-1);
//Stocks making new low
up=C>Ref(C,-1);
dn=C<Ref(C,-1);
upvol=IIf(up,V/C,0);
dnvol=IIf(dn,V/C,0);
x=SectorID(0);
sym="~"+SectorID(1);
isym="~i"+SectorID(1);
Ad="~AD"+SectorID(1);
AddToComposite(C,sym ,"C"); //adds
Close data to sector
AddToComposite(V/1000,sym,"V"); //
adj vol overflow
AddToComposite(1,sym,"O"); //counts
stocks
<FONT face=Arial color=#0000ff
size=2>AddToComposite(IIf(newhigh,1,0),sym,"H");//counts new highs
<FONT face=Arial color=#0000ff
size=2>AddToComposite(IIf(newlow,1,0),sym,"L");//Counts new Lows
//creates a master index of stocks
under study
AddToComposite(C,"~Universe"
,"c");
<FONT face=Arial
color=#0000ff>AddToComposite(V/1000,"~Universe" ,"v");
AddToComposite(1,"~Universe"
,"O");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(newhigh,"~Universe","H");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(Newlow,"~Universe","L");
//creates master index of OHLC
data
<FONT face=Arial color=#0000ff
size=2>AddToComposite(C,"~Index","C");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(O,"~Index","O");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(H,"~Index","H");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(L,"~Index","l");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(1,"~index","V");//counts stocks in index
//creates index by
sector
<FONT face=Arial color=#0000ff
size=2>AddToComposite(C,isym,"C");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(O,isym,"O");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(H,isym,"H");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(L,isym,"L");
<FONT face=Arial
color=#0000ff>AddToComposite(1,isym,"V");
//creates advance /decline by sector
composite
<FONT face=Arial color=#0000ff
size=2>AddToComposite(up,Ad,"C");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(dn,Ad,"O");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(upvol,Ad,"H");
<FONT face=Arial color=#0000ff
size=2>AddToComposite(dnvol,Ad,"L");
//Sector Relative Strength
Comparative by Jayson Casavant
Filter=C>0;
x=RelStrength("~index");
RSC=LinRegSlope(x,7);
<FONT face=Arial color=#0000ff
size=2>AddColumn(IIf(rsc>0,BarsSince(rsc<=0),BarsSince(rsc>=0)),"Cross",1.0);
AddColumn(RSC,"Today
RSC",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(rsc>Ref(rsc,-1),colorGreen,colorRed)));
AddColumn(Ref(RSC,-1),"Yesterday
RSC",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-1)>=Ref(rsc,-2),colorGreen,colorRed)));
AddColumn(Ref(RSC,-2),"2
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-2)>=Ref(rsc,-3),colorGreen,colorRed)));
AddColumn(Ref(rsc,-3),"3
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-3)>=Ref(rsc,-4),colorGreen,colorRed)));
AddColumn(Ref(rsc,-4),"4
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-4)>=Ref(rsc,-5),colorGreen,colorRed)));
AddColumn(Ref(rsc,-5),"5
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-5)>=Ref(rsc,-6),colorGreen,colorRed)));
AddColumn(Ref(rsc,-6),"6
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-6)>=Ref(rsc,-7),colorGreen,colorRed)));
AddColumn(Ref(rsc,-7),"7
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-7)>=Ref(rsc,-8),colorGreen,colorRed)));
AddColumn(Ref(rsc,-8),"8
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-8)>=Ref(rsc,-9),colorGreen,colorRed)));
AddColumn(Ref(rsc,-9),"9
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-9)>=Ref(rsc,-10),colorGreen,colorRed)));
AddColumn(Ref(rsc,-10),"10
days",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf(Ref(rsc,-10)>=Ref(rsc,-11),colorGreen,colorRed)));
<FONT face=Tahoma
size=2>-----Original Message-----From: Anthony Faragasso
[mailto:ajf1111@xxxxxxxx]Sent: Wednesday, September 24, 2003 3:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Sector and industry analysis
Jayson,
Thank you for your input....I am trying to confirm
my own explorations in AB to see if they match others using AB or match other
findings on different web sites. Doing my exploration, I get the Information
Sector as the leading Sector......whereas you have it listed 2nd from the
bottom....
What is the purpose of the Universe / index Sector
? Couldn't you just rank them as to which one is outperforming the others ?
Outperforming the S&P 500 ?
Would you be willing to share your formula
?
After you find the leading Sector , How do you find
the leading Industry in that Sector and then , How do you find the leading
Stocks in the Industry......I am trying to put this all together in AB....but
have been running into Roadblocks....probably my own doing...:(
TIA
Anthony
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 24, 2003 12:59
AM
Subject: RE: [amibroker] Sector and
industry analysis
<FONT face=Arial color=#0000ff
size=2>Anthony,
A
lot of my work revolves around sector rotation. My methods may not be exactly
what is found on the larger sites who compare all stocks in a given sector.
Instead I filter my Universe of stocks to around 700 based on min price,
volume and institutional ownership. I then create sector indexes with
addtocomposite. From there I compare the relative strength of each sector
against the universe and measure it using linregslope to watch for strength or
weakness on a daily basis. FWIW here are my findings (short term, 7
days) as of the close of business today. The graphic shows the current
position of each sector as well as its history for the last 9 days. The trend
of each sector can be very telling. Notice that while Internet has been out
performing the Universe for 17 days that it is showing signs of weakness the
last 3. This type of behavior is a red flag for me that would encourage me to
tighten stops in long positions and perhaps look for bearish patterns for
Shorting opportunities.
<FONT face=Arial color=#0000ff
size=2>Regards,
Jayson
<IMG alt="" hspace=0 src="gif00537.gif" align=baseline
border=0>
<FONT face=Tahoma
size=2>-----Original Message-----From: Anthony Faragasso
[mailto:ajf1111@xxxxxxxx]Sent: Tuesday, September 23, 2003 9:33
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Sector and industry analysis
Could someone let me know what Sector is outperforming the others and
Whatindustry is outperforming the others.....I am trying to confirm my
findingsfor both in Amibroker.Also, what is your
source....AB, or some other site /
platform....TIAAnthony---Outgoing mail is
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