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<span
>This is a repost:
<span
>
<font
size=2 face="Courier New">I
have not been following the thread so excuse me if this is not relevant.<span
> I posted a comparison (sort of) on QP's QRS
vs. IBD's RS in the middle of last year:
<font
size=2 face="Courier New">
<font
size=2 face="Courier New"><a
href="">http://groups.yahoo.com/group/amibroker/message/20623
<font
size=2 face="Courier New">
<font
size=2 face="Courier New">FWIW,
<font
size=2 face="Courier New">Peter
<span
>
<span
>
-----Original Message-----
From: Herman vandenBergen
[mailto:psytek@xxxxxxxx]
Sent: Tuesday, January 06, 2004
3:44 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: How
to test IBD's idea?
[ace] 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 <font
size=2 face=Arial>
the weighting is.<font
face="Courier New">
Would this help?
herman
QuotePlus RS Rk
Description:<span
> 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:<span
> Rankings
<span
>-----Original Message-----
From: harveyhp
[mailto:harveyhp@xxxxxxx]
Sent: January 6, 2004 3:55 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: 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
=============
----- Original Message -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="acesheet@xxxxxxxxx">acesheet
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> 05 January, 2004
3:11 PM
Subject:<font size=2
face=Arial> [amibroker] Re:
How to test IBD's idea?
<font size=2
face="Courier New">HHP,<font
size=2 face="Courier New">
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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