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Duke, thanks for the article. That'll be a good monday morning read
"Duke Jones, CMT" <Duke.Jones@xxxxxxxxxxxxxxxxxxxxxx> wrote:
For those interested I uploaded the paper mentioned by
Franco into the files section “Alpha & RS Columbine.” It is
a good read on understanding RS concepts.
Duke Jones, CMT
HYPERLINK "http://www.dukejones.com"www.dukejones.com
_____
From: Franco Gornati [mailto:francogornati@xxxxxx]
Sent: Sunday, November 14, 2004 8:12 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] comparative RS
Hi Tomasz,
>This one is called "Relative PERFORMANCE" (not relative
strength)
Ok, two names for the same concept.
For Investopedia 'Relative Strength: a measure of price
trend that
indicates how a stock is performing relative to other stocks
in its
industry. It is calculated dividing the _price performance_
of a stock
by the _price performance_ of an appropriate index for the
same time
period.'
Dividing is a bad idea, subtracting is right. Another way to
look at
it is plotting one performance against the others, just like
Relative
Performance Charts.
Clearly one can sofisticate the concept. For example
O'Neil's RS compare
percentage changes calculated as front-end weighted averages
of 3, 5, 9
and 12 months. Chuck Rademacher once pointed to a Columbine
Capital's
document that futher developed the concept in order to take
into account
of stock's alpha and beta. There are really many
possibilities and in
fact RS seems to be one of the few tools that really works.
--
Franco
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