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,
//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);
do
{
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
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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For other support material please check also:
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Please
note that this group is for discussion between users only.
To get support from AmiBroker please send an
e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Please
note that this group is for discussion between users only.
To get support from AmiBroker please send an
e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html