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Ace,
After reading your code for many many many times, at last I
understand it now. I feel I can use my method to do backtesting, and
your method to do daily exploartion. It should be a perfect
combination.
cheers,
Gary
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> 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,
> > > > > > > Gary
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