PureBytes Links
Trading Reference Links
|
JOE,
I'm 99% certain the way I propose to calculate the IBD RS *is* the
way that it is done in terms of comparing relative strength on a
purely statistical basis. If you look in Excel at the PERCENTRANK
function you'll see that it does essentially the same thing as what
I designed in AFL for this code.
Other formulations may try to approximate the IBD number - I've
designed a few of those myself - but they aren't really doing what
the essence of the 1-99 comparison is. The code I showed does
exactly what a RS Rank compared to all stocks in the database and is
not really an approxiamtion, except for the 11 point curve fit of
the CPD curve.
The only difference between the one I show and IBD's is that they do
some weighting of either more than one ROC going into the CPD
comparison. I don't know what IBD's weightings are, but I'm pretty
sure it doesn't matter all that much as long as the idea finds high
RS stocks to trade. In other words I really don't think it matters
if IBD says a stock is an 88 and this calculation says its a 84.
Have fun.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "Joseph Landry" <jelandry@xxxx>
wrote:
> Ace - I subscribe to the forum digest so I don't get any
> attachments, and I'm wondering if you could forward the AFL code
to
> me directly?
>
> The folks over in the TC2000 area have a way of calculating what
> they say is IBD relative strength number and as soon as I find it
> and the underlying rationale I'll post it here.
>
> Thanks
> JOE
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gary_tiger2001"
> <gary_tiger2001@xxxx> wrote:
> > Thanks Ace, Harvey & Jason,
> >
> > I will study the code...
> >
> > Cheers,
> > Gary
> > --- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx>
wrote:
> > > Gary,
> > >
> > > There's a couple of different ways of doing it. Some more time
> > > consuming, some less. One way is to compare the returns using
> ROC
> > to
> > > a reference index (like SP500 or Value Line for US stocks). If
a
> > > stock's performance significantly beats out the index, then
its
> a
> > > safe bet that it has high relative strength. I've used this
> > concept
> > > for back testing.
> > >
> > > Another way is to use what's called the 'Cumulative
Probability'
> > of
> > > the market returns. See post # 55179. If you have a large
enough
> > > database you should be able to get these AFL scripts to work
> very
> > > well in terms of comparison with IBD's RS ranks. Currently I
> only
> > > have a script that uses "today's" data however, so it won't be
> so
> > > hot for backtesting. This method of ranking works very well.
> > >
> > > You could take the idea shown in post 55179 and adapt it to
> > collect
> > > the data over time and create several historical ROC indices
for
> > the
> > > 10 point curve fit. Something like
> > ~xroc1,~xroc10...~xroc90,~xroc99.
> > > It will probably take AB a very long time to crunch the
numbers,
> > > however.
> > >
> > > Hope that gives you some ideas.
> > >
> > > -ace
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "gary_tiger2001"
> > > <gary_tiger2001@xxxx> wrote:
> > > > Happy new year to all of you.
> > > >
> > > > I wish to test the idea from IBD, like the relative
strenghth
> > > > ranking, etc. I cannot figure out how to do it in AB.
> Basically,
> > I
> > > > have a universe of stocks. Is it possible to rank the
strength
> > of
> > > > stocks compared to my stock universe, from 1 - 99?
> > > >
> > > > Cheers,
> > > > Gary
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|