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John
thanks for the input:
1. From the help files and the post 22166 it appears therefore that these three formulae all do the same thing.
Plot(RelStrength("xao"),"relstr XAO",colorBlue,1);
Graph1 = RelStrength( "XAO" );
Plot(1000 * (C / Foreign("XAO", "C")), "relative to XAO",colorGreen, 1);
Now I think I have a handle on how AB calculates the Relstrength.
2. Now on to the next step. There must be more ways than one to skin this cat. I am interested in what others use.
When we do a search for outperforming sectors and stocks do we
· look only at the relstrength,
· or smooth it with a moving average
· or look instead at the rate of change alone, and ignore the inbuilt relstrength?
· or take the ROC of the Relstrength, as previously posted by TJ himself?
What different systems do people use?
>From the archives I see Anthony Faragasso uses the Difference of two rates of changes.
http://groups.yahoo.com/group/amibroker/message/35853
(This keeps it nice and simple.)
>From http://groups.yahoo.com/group/amibroker/message/34763
we find
Filter=C>0;
x=Foreign("~Universe","C");
RSC=ROC(MA(C/x,13),1);
/* this seems to be Metastock based*/
AddColumn(RSC,"Today RSC");
AddColumn(Ref(RSC,-1),"Yesterday RSC");
AddColumn(Ref(RSC,-2),"2 day ago RSC");
What do others use / think?
TIA
Chrisb
john gibb <jgibb1@xxxxxxxxxxxxx> wrote:Hi Kris,
If you look up RelStrength in the CHM
archives(http://www.amibroker.com/listarchive.html), I think you will find
your answer; one excerpt, from Tomasz:
1. Yes you can, but please remember about two things:
a) RelStrength() function needs an index ticker to compare to, for example
"XAO" (ASE all ordinaries index)
b) RelStrength() values are not normalized, so they are different for each
stock. This means that you can only get resonable results if you check for
rising/falling RelStrength or if you detect a new high or new low. Absolute
levels (such as 1) do not work.
2. Use graph1 = RelStrength( "XAO" ); to generate relative strength of
currently selected stock compared to the index.
3. Comparative Relative Strength is calculated by simply DIVIDING the
closing price of currently selected stock by the closing price of BASE stock
(usually an index):
RELSTRENGTH = CLOSE / CLOSE_OF_BASE_STOCK;
HTH,
-john
----- Original Message -----
From: "kris45mar"
To:
Sent: Saturday, September 04, 2004 9:35 AM
Subject: [amibroker] Relative Strength Comparitive and ROC (newbie)
Hi All
Help me out here guys.
I am trying real hard to understand what we are doing here.
I want to create searches based on Relative Strength comparison, to look for
strong sectors and then strong stocks in those sectors.
There are a number of codes out there in the forum but I am trying to get a
grip on exactly what is that the inbuilt Relstrength function does.
I want to know the Relative Strength comparison of a stock eg BHP versus an
index eg XAO, over a time period of 250 days.
Rate of change of BHP :
In English : the percentage change of the price of BHP from a time 250
days ago.
Mathematically = 100 * (today’s close - close of 250 days ago)/ close
of 250 days ago.
In Amibroker: ROC(BHP) = 100 * ((C – Ref(C, -250)) / Ref(C, -250));
Rate of change of XAO :
In English: the percentage change of the value of XAO from a time 250
days ago.
Mathematically = 100 * (today’s value – value of 250 days ago) / value
of 250 days ago.
In Amibroker : ROC(XAO) =
Now that I have the Rate of Change of each, is the Relative Strength
Comparison the difference between these two:
Relstrength = ROC(BHP) – ROC (XAO)
or the one divided by the other:
Relstrength = ROC(BHP) / ROC(XAO) ?
I am asking this because I have found this formula on the internet to use in
the Automatic Analyser as an Exploration:
//relative strength comparison run against XAO or relevant sector.
rsc = ROC(EMA(RelStrength("XAO"), 150), 25);
Filter = rsc > 0;
AddColumn(rsc, "RSC");
In english I think this formula says the 25 period rate of change of the 150
period exponential moving average of the relative strength comparison. Is
this correct or there some redundancy in this formula?
To understand this I need to know exactly what it is that Amibroker’s
Relstrength function is calculating: any help in plain "Newbie english"
would really be greatly appreciated.
regards
chrisb
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