RE: [amibroker] Risk ratio

["larypowell" <larypowell@xxxxxxxxxxxxx>]

Dave,  What kind of funds or fund family do
you use these 2 methods on?  

 



Larry M. Powell
LM Powell Development Co.



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<span
>-----Original Message-----
From: davelansing2004
[mailto:d.ankrapp@xxxxxxxxxxx] 
Sent: Friday, May 07, 2004 5:12 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Risk ratio

<span
> 

<span
>Hello,<font size=2
face="Courier New">

I just wanted to share a simple filter I use to
address a "good" time 
to purchase mutual funds... I call it my
"Risk ratio". Basically, 
when the Risk ratio is above 2 and rising, it's a
signal for me to 
consider buying the mutual fund. The strongest
signal is when both 
the long-term and short-term Risk ratios are above
2 and rising. I 
use this as a filter for weekly data. It's a
simple ratio, but has 
worked very well for me, especially in combination
with my Trend 
Index.

//Risk ratio//

ROR=ROC(Close,1);
period1= Param("long-term",30,30,100,5);
y1 = IIf(ROR>0,ROR,0);
y2 = IIf(ROR<0,ROR,0);
y3 = Sum(y1,period1); 
y4 = Sum(y2,period1);
y5 = Sum(y1,13);
y6 = Sum(y2,13);
ratio1 = abs(y3/y4); //long-term Risk ratio//
ratio2 = abs(y5/y6); //short-term Risk ratio//
Plot(ratio1,"long-term",colorBlue);
Plot(ratio2,"short-term",colorRed);

Title = "Risk Ratio"
+"    "
+EncodeColor(colorBlue)+"long-term
{"+WriteVal(period1,1.0)+" bars} 
= " +WriteVal(ratio1,1.1)
+"    "
+EncodeColor(colorRed)+"short-term {13 bars}
= "+WriteVal(ratio2,1.1);




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