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<FONT face=Arial color=#0000ff
size=2>Joe,
<FONT face=Arial color=#0000ff
size=2>
I have
serious concerns about the formula that you have given:
<FONT face=Arial
color=#0000ff>
RSQP =
(.04*Close/(Ref(C,-62))+
<FONT face=Arial color=#0000ff
size=2>
.02*Ref(C,-63)/(Ref(C,-125))+
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size=2>
.02*Ref(C,-126)/(Ref(C,-188)) +
<FONT face=Arial color=#0000ff
size=2>
.02*Ref(C,-189)/(Ref(C,-251)))*100;
<SPAN
class=415375507-05012004><FONT face=Arial
color=#0000ff>
<SPAN
class=415375507-05012004>It seems to me
that it should be:
<SPAN
class=415375507-05012004>
<SPAN
class=415375507-05012004>
RSQP =
.04*Close/(Ref(C,-62))+
<FONT face=Arial color=#0000ff
size=2>
.02*Close/(Ref(C,-125)+
<FONT face=Arial color=#0000ff
size=2>
.02*Close/(Ref(C,-188) +
<FONT face=Arial color=#0000ff
size=2>
.02*Close/(Ref(C,-251);
The way you have documented it, you are
looking at ROC's over various historical windows instead of time periods all
relative to today's price.
I use this type of ranking scheme all the
time and am unable to understand why you have suggested doing the way you
describe. I also get significantly better performance out of a
system using the second approach. Of course, you may very well
intend to do it that way and it may work for you!!
<SPAN
class=415375507-05012004>
<SPAN
class=415375507-05012004> <FONT
face="Times New Roman"><SPAN
class=415375507-05012004>
<SPAN
class=415375507-05012004> -----Original Message-----From:
Joseph Landry [mailto:jelandry@xxxxxxxxxxxxx]Sent: Saturday, January
03, 2004 8:13 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] IBD Interest
<BLOCKQUOTE
>Here's
some code fragments from my collection. I've used the RSQP momentum
equation as a ranking number generator, and have used it on
family(watchlist) averages. It's a weighted rate of change
equation.The use of the .001 in the denominators make it seem esoteric but
that is to avoid dividing by zero and I should have replaced it with
the NZ function I have a technique where you can use the OPTIMIZE
(read curve fit since it has 4 coefficients) for any equity but I
think you should use coefficients that are based on the families
performance. Haven't used any of the other IBD like criteria. Which
one of those European mathematicians said if you give me one
coefficient I have a point, 2 a straight line and with 5 coefficients
I can draw any shape? (;>! Hope I didn't mangle this one too badly.
By the way a search in the AB archives for notes from Chuck about
the Columbine methods and documents available will make an interesting
reading for you in this momentum equation area. You probably get a lot
more from Columbine for 100K per year than a list of 1500 stocks ranked by
momentum but this was good background for me. Best regardsJoe
Landry --IBD RS Screens.afl/// SCANS FROM TC 2000
forumlas // IBD Positive GainersFilter =
(Volume/(MA(V,50)+1)-1)*100>39 AND C-Ref(C,-1)>.5 AND MA(V,50)>
70000 AND C>5;VolFac = (Volume/(MA(V,50)+1)-1)*100;//
Quotes Plus Relative Strength (IBD like)RSQP =
(.04*Close/(.001+Ref(C,-62))+ .02*Ref(C,-63)/(.001+Ref(C,-125))+
.02*Ref(C,-126)/(.001+Ref(C,-188)) +
.02*Ref(C,-189)/(.001+Ref(C,-251)))*100;// Hi Flyers - no frills
versionHighFlyers = ((Close -Ref(C,-250))/(Ref(C,-250)+.001) + (Close
- Ref(C,-63))/(Ref(C,-63)+.001)+ (Close -
Ref(C,-21))/(Ref(C,-21)+.001))*100; AddColumn(C,"Close");
AddColumn(VolFac,"% Vol
Delta");AddColumn(RSQP,"RelStr");AddColumn(HighFlyers,"High Fly");
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