RE: [amibroker] Question on RS, possibly for Tomasz, AmiBroker Email List Archive

Quad,

Below is the code that I use to plot sector comparisons. It plots price, Relative Strength, RSI or ROC directly for each sector, OR it plots the rank of a sector versus all sectors using RSI or ROC.

I hope you find this interesting.

Regards,

Dan.

//Code from the master sector pane:

_SECTION_BEGIN("PlotSectors1");

// This contains a the PlotSectors Procedure that plots that chart.

#include <PlotSectors_Analysis.afl>

** Set up and save the parameters

//Price or Relative Strength Indicator

cRCPriceChartType = ParamList("Chart Type", "Price|Rel Strength|Rank", 2 ) ;

if (cRCPriceChartType == "Price")

cRSPriceChartTypeLocal = "Price";

else

if (cRCPriceChartType == "Rel Strength")

cRSPriceChartTypeLocal = "RelStrength";

else

cRSPriceChartTypeLocal = "Rank";

//Indicator Type for Relative Strength

cRCRSIndicatorType = ParamList("Rel Strength Indicator", "RSI|ROC", 1 ) ;

if (cRCRSIndicatorType == "RSI")

cRSIndicatorTypeLocal = "RSI";

else

if (cRCRSIndicatorType == "ROC")

cRSIndicatorTypeLocal = "ROC";

else

cRSIndicatorTypeLocal = "ROC";

//Symbol used for Relative Strength

cRSPriceChartSymbolLocal = ParamList("Rel Srength Symbol","SP-500|NYSE|NDX-X", 0 ) ;

//Periods for Rel Strength Indicators

iNumIndicatorPeriodsLocal = Param("Rel Strength Indicator Period", 9, 0, 250, 1);

//Set Global Variables

RC1 = StaticVarSetText( "cRSPriceChartSymbol", cRSPriceChartSymbolLocal);

RC2 = StaticVarSetText( "cRSPriceChartType", cRSPriceChartTypeLocal);

RC3 = StaticVarSet( "iNumIndicatorPeriods", iNumIndicatorPeriodsLocal);

RC4 = StaticVarSetText( "cRSIndicatorType", cRSIndicatorTypeLocal);

// Get the Global Variables

cRSPriceChartSymbol = StaticVarGet("cRSPriceChartSymbol");

cRSPriceChartType = StaticVarGet("cRSPriceChartType");

iNumIndicatorPeriods = StaticVarGet("iNumIndicatorPeriods");

cRSIndicatorType = StaticVarGet("cRSIndicatorType");

//Plot the Sectors

cSectorSymbols = "MG130,MG110,MG120,MG910,MG770";

PlotSectors( cSectorSymbols);

cTitleHeader = StaticVarGet("cTitleHeader");

_SECTION_END();

//Procedure in the #include “PlotSectors_Analysis.afl”:

procedure PlotSectors( cSectorSymbols)

{

// Get the Global Variables

cRSPriceChartType = StaticVarGet("cRSPriceChartType");

cRSPriceChartSymbol = StaticVarGet("cRSPriceChartSymbol");

iNumIndicatorPeriods = StaticVarGet("iNumIndicatorPeriods");

iSectorListNum = StaticVarGet("iSectorListNum ");

cRSIndicatorType = StaticVarGet("cRSIndicatorType");

// _TRACE(cRSPriceChartSymbol);

// _TRACE(NumToStr(iIndicatorStyle, 8.0, False));

** Parameters

//List Number for Sector - Default to 3

iSectorListNum = Param("Sector WatchList Num", 3, 0, 50, 1);

bPlotComparisonSymbol = ParamToggle("Plot Base RS Symbol?", "Yes|No", 0);

// Set the base RS Symbol

SetForeign(cRSPriceChartSymbol);

// Set and plot symbol used for basis of comparison

if (bPlotComparisonSymbol == 0) // 0 = Yes

Plot(C, FullName(), ParamColor(Name() + " Color" , colorYellow), styleLine | styleDashed | styleOwnScale);

//Now plot each Sector line.

iNextSymbol = 0;

iContinue = 1; // True

//Get the CSV list of symbols from Sector list

cSectorsSymbolList = GetCategorySymbols( categoryWatchlist, iSectorListNum);

{

cSectorSymbol = StrExtract( cSectorSymbols , iNextSymbol );

if (cSectorSymbol != "")

{

//Plot the Puppy

SetForeign(cSectorSymbol);

if (cRSPriceChartType == "Price")

{

Plot(C, FullName(), ParamColor(Name() + " Color" , colorDefault), styleLine | styleOwnScale | styleNoLabel);

cTitle_ChartType = "Price";

cTitle_RSSymbol = "";

cTitle_Indicator = "";

}

else

{

if(cRSPriceChartType == "RelStrength")

{

Plot((Foreign(cSectorSymbol ,"C")/Foreign(cRSPriceChartSymbol,"C")) * 1000 , " (" + Name() + FullName() + "/" + cRSPriceChartSymbol+ ")", ParamColor(Name() + " Color" , colorDefault), styleLine | styleOwnScale| styleNoLabel);

cTitle_ChartType = "RS";

cTitle_RSSymbol = cRSPriceChartSymbol;

cTitle_Indicator = "";

}

else // Rank

{

cTitle_ChartType = "Rank";

cTitle_RSSymbol = cRSPriceChartSymbol;

//Get the rank for the Current Sector Symbol using the chosen indicator

if(cRSIndicatorType == "RSI")

{

//Set the RSI Indicator

iCurrentSectorSymbolIndicatorValue = RSI(iNumIndicatorPeriods );

//Set the Ind Title

cTitle_Indicator = "RSI(" + NumToStr(iNumIndicatorPeriods) + ")";

}

else // ROC

{

//Set the ROC Indicator

iCurrentSectorSymbolIndicatorValue = ROC(C, iNumIndicatorPeriods) ;

//Set the Ind Title

cTitle_Indicator = "ROC(" + NumToStr(iNumIndicatorPeriods) + ")";

}

// Now get the RSI rank for the watchlist

iRank = -1; // Initialize the Rank

for( i = 0; (cSectorListSymbol = StrExtract( cSectorsSymbolList , i ) ) != ""; i++ )

{

SetForeign(cSectorListSymbol);

if(cRSIndicatorType == "RSI")

iSectorListSymbolIndicatorValue = RSI(iNumIndicatorPeriods ) ;

else

iSectorListSymbolIndicatorValue = ROC(C, iNumIndicatorPeriods) ;

iRank = iRank + IIf(iCurrentSectorSymbolIndicatorValue < iSectorListSymbolIndicatorValue , -1, 0);

}

SetForeign(cSectorSymbol);

Plot(iRank ,"Rank: (" + Name() + FullName() + ")", ParamColor(Name() + " Color", colorDefault), styleLine );

//Plot(iRank ,"Sector Rank: (" + Name() + FullName() + "/" + cRSPriceChartSymbol+ ")", ParamColor(Name() + " Color", colorDefault), styleLine | styleNoLabel);

}

else // Stop. No more symbols

{

iContinue = 0;

}

// This is down here because the StrExtract function is Zero-based.

iNextSymbol = iNextSymbol + 1;

} while (iContinue == 1 OR iNextSymbol < 40); // Last Part is prevent runaway loops

cTitleHeaderLocal = cTitle_ChartType + "/" + cTitle_RSSymbol + "/" + cTitle_Indicator + " " ;

RC = StaticVarSetText( "cTitleHeader ", cTitleHeaderLocal );

}

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Dan Clark
Sent: Saturday, July 09, 2005 11:00 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Question on RS, possibly for Tomasz

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

Quad,

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.

Jason

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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