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Chuck,
The formula Joe has posted is a straight translation of QP QRS
ranking. I certainly appreciate your thoughts and modification to
the formula as I'll that as well.
Regards,
Gary
Here's info on QRS from the QP help file:
Quotes Plus Relative Strength Indicator
The Quotes Plus Relative Strength indicator is calculated for each
issue each day, and becomes part of the data you download to your
PC. The indicator ranks each issue in the database against every
other issue in the database, based on its performance for the last
12 months.
Every issue is ranked from 0 to 99 so that its rank is equal to the
percentage of issues that it has outperformed over the previous 12
month period. A rating of 92, for example, means that the issue has
outperformed 92% of all of the issues in the database.
The formula is :
( Current Close / Close from 62 trading days ago ) * .4
+ ( Close from 63 trading days ago / Close from 125 trading days
ago ) * .2
+ ( Close from 126 trading days ago / Close from 188 trading days
ago ) * .2
+ ( Close from 189 trading days ago / Close from 251 trading days
ago ) * .2
This value is sorted for all of the issues, and the top 1% of issues
get a value of 99. The other issues are ranked similarly, down to
the bottom 1%, which get a value of 0.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Joe,
>
> I have serious concerns about the formula that you have given:
>
> RSQP = (.04*Close/(Ref(C,-62))+
> .02*Ref(C,-63)/(Ref(C,-125))+
> .02*Ref(C,-126)/(Ref(C,-188)) +
> .02*Ref(C,-189)/(Ref(C,-251)))*100;
>
> It seems to me that it should be:
>
> RSQP = .04*Close/(Ref(C,-62))+
> .02*Close/(Ref(C,-125)+
> .02*Close/(Ref(C,-188) +
> .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!!
>
>
>
>
> -----Original Message-----
> From: Joseph Landry [mailto:jelandry@x...]
> Sent: Saturday, January 03, 2004 8:13 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] IBD Interest
>
>
> 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 regards
> Joe Landry
>
>
> --IBD RS Screens.afl
> /// SCANS FROM TC 2000 forumlas
> // IBD Positive Gainers
> Filter = (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 version
>
> HighFlyers = ((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");
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
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