Quad, Jason,
I’ve been wrestling with almost the
exact same issues for the past couple of weeks. In fact, my
post of 7:57 this morning is related to this issue.
Quad, regarding comparing Sector/Market Relative
Strength against each other… Is this even valid? (No, I’m
not trying to be rude.) Here’s my thinking…
Unless I’m missing something, it
seems that your underlying questions are, “Which are the strongest and weakest
Sectors?” and “How is Sector strength changing over time?”
(If so, these are my questions as well.) If this is correct,
why do we care about the comparative “Relative Strength to Market”?
It seems to me that the combination of the
Sectors IS the market. Correct? If so, then the Sectors’
comparative ROC or RSI is a valid measure. Or, perhaps calculating the
rank of a Sector within all Sectors using ROC or RSI. Do my
arguments make any sense?
I’m using TC2005 data also and the
Sectors/Industries are one of the key reasons that I used the
data. I’ve got several indicators built that calculate
Industry and Sector rank and comparative strength. I use ROC and RSI for
both. I’m VERY interested in improving this.
Jason, this looks VERY interesting, but there
are two issues:
1) When I tried to run an exploration with this, I got the error, “Relative
strength base symbol not found” on all of the RelStrength lines starting
with:
j1 = RelStrength("j");
I’m
using 4.70.5. Any idea why this happens? What did
you do at work to make it run?
2) I’m a little confused about using this as a scan. I.e.
it looks like the code computes the relative strength of the Nasdaq index to
the S&P500 and it’s changes over time. But that wouldn’t
that only return one row?
Inquiring minds want to know. J
Regards,
Dan.
// Here’s the code I’m using
to compute Industry and Market Relative Strength to the current symbol. (Obviously
this works only with a stock symbol which has an industry.)
_SECTION_BEGIN("Relative
Strength");
// Get Symbols
MktBaseSymbol =
ParamStr("Mkt ticker", "SP-500" );
IndustrySymbol =
GetBaseIndex() ;
StockToIndColor =
ParamColor( "Stock to Industry Color", colorOrange );
StockToIndStyle =
ParamStyle("Stock To Industry Style", styleLine + styleNoLabel +
styleOwnScale) | styleDots ;
StockToMktColor =
ParamColor( "Stock to Market Color", colorRed );
StockToMktStyle =
ParamStyle("Stock To Market Style", styleLine + styleNoLabel +
styleOwnScale) ;
IndToMktColor =
ParamColor( "Industry to Market Color", colorGold );
IndToMktStyle =
ParamStyle("Industry To Market Style", styleLine + styleNoLabel +
styleOwnScale) ;
RelStrengthSymbolToIndustry
= RelStrength(IndustrySymbol );
RelStrengthSymbolToMarket=
RelStrength(MktBaseSymbol );
ShortMAPeriods
= Param("Rel Strength Short MA Periods", 10, 1, 50, 1);
LongMAPeriods
= Param("Rel Strength Long MA Periods", 40, 1, 50, 1);
cShortMAPeriods =
NumToStr(ShortMAPeriods, 3.0);
cLongMAPeriods
= NumToStr(LongMAPeriods, 3.0);
// Plot Relative
Strength - Stock To Industry
Plot(
RelStrengthSymbolToIndustry , _SECTION_NAME() + " (" + Name() +
" to " + IndustrySymbol + ")", StockToIndColor
,StockToIndStyle );
// Plot Relative
Strength - Stock To Market
Plot(
RelStrengthSymbolToMarket, " (" + Name() + " to " +
MktBaseSymbol + ")", StockToMktColor , StockToMktStyle );
// Now plot
relative Strength - Industry to Market
RelStrengthIndustryToMarket
= (Foreign(IndustrySymbol,"C")/Foreign(MktBaseSymbol,"C"))
* 1000;
Plot(RelStrengthIndustryToMarket
, " (" + IndustrySymbol+ " to " + Name()+
")", IndToMktColor , IndToMktStyle );
if(
Status("action")==actionCommentary )
{
printf("(Interpretation is not available yet)");}
_SECTION_END();
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Jason Hart
Sent: Saturday, July 09, 2005 9:18
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Question
on RS, possibly for Tomasz
I've got a number of different RS-type explorations that I've been
experimenting with. Try this scan - it's by no means perfect, but
you can modify it to fit your criteria. A quick warning though, this
formula works fine on my home PC but at work I had to play around
with "j" because it wasn't recognized as a valid
symbol...strange.
Filter=C>0;
x=RelStrength("!comp");
j = Foreign("!spx", "c");
j1 = RelStrength("j");
j2 = RelStrength("j")/Ref(j1,-20);
j3 = RelStrength("j")/Ref(j1,-30);
j4 = RelStrength("j")/Ref(j1,-50);
j5 = RelStrength("j")/Ref(j1,-100);
j6 = RelStrength("j")/Ref(j1,-120);
j7 = RelStrength("j")/Ref(j1,-150);
j8 = RelStrength("j")/Ref(j1,-200);
vol1 = StDev(log(C/Ref(C,-1)),720) * sqrt(260)*100;
vol2 = StDev(log(C/Ref(C,-1)),20) * sqrt(260)*100;
vol3 = StDev(log(C/Ref(C,-1)),50) * sqrt(260)*100;
vol4 = StDev(log(C/Ref(C,-1)),90) * sqrt(260)*100;
Vol5 =
(Vol2 + Vol3+ Vol4)/3;
Vol6 =
Vol5-Vol1;
Final =
(j2*1) + (j3*1.2) + (j4*1.3)+(j5*1.4) + (j6*1.5) + (j7*1.7) + (j8*1.7);
RSC=LinRegSlope(x,7);
AddColumn(IIf(rsc>0,BarsSince(rsc<=0),BarsSince(rsc>=0)),"Cross",1.0);
AddTextColumn(FullName(),"name",5);
AddColumn(FINAL,"Today RSC",1.2,colorDefault,IIf(final==0,colorBlue,IIf(final>Ref(final,-1),colorGreen,colorRed)));
AddColumn(Ref(final,-1),"Yesterday RSC",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-1)>=Ref(final,-2),colorGreen,colorRed)));
AddColumn(Ref(final,-2),"2 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-2)>=Ref(final,-3),colorGreen,colorRed)));
AddColumn(Ref(final,-3),"3 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-3)>=Ref(final,-4),colorGreen,colorRed)));
AddColumn(Ref(final,-4),"4 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-4)>=Ref(final,-5),colorGreen,colorRed)));
AddColumn(Ref(final,-5),"5 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-5)>=Ref(final,-6),colorGreen,colorRed)));
AddColumn(Ref(final,-6),"6 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-6)>=Ref(final,-7),colorGreen,colorRed)));
AddColumn(Ref(final,-7),"7 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-7)>=Ref(final,-8),colorGreen,colorRed)));
AddColumn(Ref(final,-8),"8 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-8)>=Ref(final,-9),colorGreen,colorRed)));
AddColumn(Ref(final,-9),"9 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-9)>=Ref(final,-10),colorGreen,colorRed)));
AddColumn(Ref(final,-10),"10 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-10)>=Ref(final,-11),colorGreen,colorRed)));
Quad Rate Serial Abby
<quad_pumped_abby@xxxxxxxxx> wrote:
I would like to do an exploration for the change in RS of a sector
over various periods, say one week, two weeks,
etc. I extracted the
RS of the sector versus the S&P Equal Weight
Index using:
Strength = RelStrength ( "SPEW-X", fixup
= 1 );
Then I found the change over the time periods in
question.
Of course, when you look at a plot of the RS for a
symbol or sector it
appears the numerical value of the RS is directly
correlated to the
price of the underlying. Thus, the numerical
change in RS would be
meaningless against a different priced
sector.
I thought the simple solution was to divide the RS
value by the
closing price, thus normalizing the results.
But this caused the RS
charts and values to be identical for every
sector.
Is what I'm trying to do an impossibility with
Amibroker or is my
approach all wrong? Any help would be
appreciated.
Thanks,
Bret
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