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Ace,
Please check my code below, it looks much simpler. It can rank from
1 to 100. But the exploration is really slow for big database. I am
trying to reduce the calculation amount before I can use it for
daily exploration.
//replace your watchlist number with 15
list = CategoryGetSymbols( categoryWatchlist, 15 );
p = 20;
Count=0;
rank = 0;
symVal = 0;
relval = 0;
Ownval = ROC(C,p);
for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
{
symVal = Nz(Foreign( sym, "Close" ));
relval = ROC(symval, p);
n=Nz(IIf(relVal!=0,1,0));
Count[BarCount-1]=Count[BarCount-1]+n[BarCount-1];
if(relval[BarCount-1] > Ownval[BarCount-1])
rank[BarCount-1] = rank[BarCount-1]+1;
}
AddColumn(Count,"count",1.0);
AddColumn(rank,"rank",1.0);
rank[BarCount-1] = int(100*(Count[BarCount-1]-rank[BarCount-1])/Count
[BarCount-1]);
Filter = 1;
AddColumn(Ownval,"ROC",1.2);
AddColumn(rank,"rank",1.0);
Gary,
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> 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
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