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Many thanks for making this available, Ace.
Not only is it a useful function (message #55197), but so well documented that
it serves as a lesson for those of us whose coding skills are somewhat
elementary. Just curious: does the recently introduced Percentile function
duplicate some of your work, or is that different?
FWIW, on another forum at another time it was
stated that the IBD weighting assigns a weight of one to each of the first three
quarters of the year and a weight of two to the most recent quarter, but I
cannot confirm that.
HHP
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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
acesheet
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: 04 January, 2004 8:36 PM
Subject: [amibroker] Re: How to test
IBD's idea?
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,> > > >
GarySend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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