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<FONT face=Arial color=#0000ff
size=2>Ace/Gary,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>This is probably a very dumb question but could you explain why you need
an integer Ranking number if you already have ROC Ranking number? I am
missing somethin basic...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Another question is whether you need to know the rank of all 3000 stocks
or only the top 100?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>You comments will be much appreciated!
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: acesheet
[mailto:acesheet@xxxxxxxxx]Sent: January 6, 2004 11:22
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
How to test IBD's idea?Gary,I see that you
are basically placing the ROC of whatever stock you are analyzing in the
particular order within the 'ROC stackup' for the day under
consideration.What you are doing is pretty much the same thing I did,
but in a different way. So it is a pure statistical stackup in that sense
and is the proper way of performing a ranking. It is very slow and
memory consuming for a large watchlist though. I like the results, but
it sure takes some time! It seems correct.In terms of Exploring for RS
stocks you'll find the code I presented is much faster, once the
calibration indices are created (~xroc and ~yrank). It does the same thing
that you did, but it only needs to create the stackup once. My code
creates a reference index that stores the stackup information for today,
whereas yours creates it for each stock you are scanning, which is why it
takes so long. Mine takes a long time, but only once per day. The RS
calculation then references the stored information, which makes it a lot
quicker.This is good work though. I'll be able to refer back to it for
ideas I think.Take that for what its
worth.-ace--- In amibroker@xxxxxxxxxxxxxxx,
"gary_tiger2001" <gary_tiger2001@xxxx> wrote:> 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,> > > > > >
GarySend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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