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[ace] <FONT
face="Courier New" size=3>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.
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size=2>
Would this
help?
<FONT face=Arial
size=2>herman
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size=2>
QuotePlus RS Rk
Description: Relative Strength Rank
Relative Strength is a measure of price change over the past 12 months
compared to all the other companies in the Industry Monitors database.
Results are ranked from 1 through 99. Rankings between 1-59 are
colored Red; 60-79 are colored Yellow; 80-99 are colored Green
A minimum of 120 trading days is required to compute the relative
strength ranking. The following weightings are applied depending on
the number of days available.
240 (4 quarters) (40,20,20,20)
180 (3 quarters) (50,30,20)
120 (2 quarters) (60,40)
Source: Computed Value
Filter category: Rankings
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face="Courier New">
<FONT
face="Courier New">
<FONT face=Tahoma
size=2>-----Original Message-----From: harveyhp
[mailto:harveyhp@xxxxxxx]Sent: January 6, 2004 3:55
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: How to test IBD's idea?
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 title=amibroker@xxxxxxxxxxxxxxx
href="">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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