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Ace,
Thanks for the explanation. Obviously I need
to do a lot more studying. I don't want to burden you with ongoing
explanations, but one area of puzzlement is your point 2 in the first part:
"Select a stock or index with more data bars than the total number of stocks in
the sample group. So if you are using 3000 stocks make sure the current
Ticker has at least 3001 days of data in it." Is this an unavoidable
result of the calculation method? With a five-year history and a 4000
stock database it would be necessary to take three or four bites at the data and
it might be difficult to ensure that each bite is a respresntative sample.
Is this correct?
HHP
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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
acesheet
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: 05 January, 2004 3:11 PM
Subject: [amibroker] Re: How to test
IBD's idea?
HHP,Your welcome.I actually use the new
Percentile function to create the initial survey and the CPD curve. The
"First Part" code uses the 11 points (1,10,20,30,40,50,60,70,80,90,99) in
the percentile function to determine the probability distribution. In this
block of code:<A
href="">file://-----------------------------------------------------------//
First Loop i goes through percentile ranks in// increments of 10 from 1 to
99// x = the ROC(C,260) that corresponds to rank y// y = % Rank in 10%
Increments//-----------------------------------------------------------m=LastValue(Count);for(
i = 0; i<=10; i++ ){y[i]=i*10;if(i<1) y[i]=1;if(i>9)
y[i]=99;x[i]=LastValue(Percentile( ROC260, m-1, y[i] ));}You
can screw around with weightings within the ROC's if you want. What you
could do is instead of the variable ROC260, you could say something like
relROC=ROC(C,260)+ROC(C,130)+2*ROC(C,65);and place that
expression into all the locations where ROC260 is in the code I posted. I
read somewhere in one of O'neil's books that IBD uses a higher weighting
for more recent data, but they never say what the weighting is. I actually
do something like this for my RS rank.I would like to set it up so
that I can use more than just the most recent data so that I can do
backtesting using comparative relative strength. I have an idea of how I
can do it, but I suspect it will take a very long time to crunch the
"calibration" numbers.If you create Industry Group surrogates you can
rack and stack them as well using this method and create an IG_RS
variable. Just place them into a separate Group or WL and perform the RS
calibration procedure over that group.This is one of the better
ways of performing ranking in my opinion. Its truly a statistical
percentage rank of what's outperformed what. No funky fitting formulas,
just the real data racked and stacked for your
pleasure.-ace--- In amibroker@xxxxxxxxxxxxxxx, harveyhp
<harveyhp@xxxx> wrote:> Many thanks for making this available,
Ace. Not only is it a useful function (message #55197), but so well
documented that it serves as a lesson for those of us whose coding skills
are somewhat elementary. Just curious: does the recently introduced
Percentile function duplicate some of your work, or is that
different?> > FWIW, on another forum at another time it was
stated that the IBD weighting assigns a weight of one to each of the first
three quarters of the year and a weight of two to the most recent quarter,
but I cannot confirm that.> > HHP>
=================> ----- Original Message -----
> From: acesheet > To:
amibroker@xxxxxxxxxxxxxxx > Sent: 04 January, 2004 8:36
PM> Subject: [amibroker] Re: How to test IBD's
idea?> > > 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> > > > Send BUG REPORTS
to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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