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)
2)
3) 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:
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