Dan,
The full code is listed below. This is a
"dashboard" so to speak of what the different sectors are doing, a
top down look. I'm more of a top down investor vs bottom up so this fits
my style better. What I typically do is run it against an ETF watchlist
of about 150 different ETFs and then I'll also run it against a WL that has 450
of my favorite mutual funds.
This is more of a rotational trading tool. I don't
use this exploration with individual stocks, I think it is more
useful for ETFs and funds. What I'll try to do with this code is to
invest in 3-5 ETFs/Funds that are in the top 25% in terms of strength.
However, if you want more octane and less diversification, you can also see
which sector funds/ETFs are the strongest and buy the individual stocks that
these funds hold.
The code is still a work in progress but I'll explain what some of
the outputs are. The first column "TotalB" is derived from
differing ROC periods and where the ETF is trading relative to different
MAs. If it is trading above MAs it gets more points and vice versa.
I was comparing it to other indicators and it is very similar to Martin
Pring's "KST" indicator.
RSC is similar to TotalB but it incorporates some other
momentum components into the ranking. I'm still working on this one
"B -10" is what the TotalB was 10 days ago and the
"difference" column is the difference between the two columns.
What I look for in the difference column is maybe some bottom feeding
opportunities where there is a big swing in the score of an ETF that has been
struggling. I haven't looked into how effective this is in great
detail. A current example is the BHH ETF but I'm not to keen on
the sector.
Then the RS columns list current RS, RS 10 days ago and RS 20
days ago. If the RS is greater than the previous n periods it is green
and if the RS is lower then it is RED.
"ST SD" is a shorter term measure of
standard deviation and then the "hist SD" is the short term less the
historical StDev. Thus, if you get a negative value in the
"hist SD" column then the security is trading at a lower
volatility level relative to its historical average. I like these two
columns b/c they can help determine your asset weightings. Say
you have two investment candidates: security one with a SD over 30 and the
second at a SD of 15.....then you can weight your decisions based on how much
octane you want. If you want less octane you could do a 75% / 25%
security2 / security 1 weighting. Or if you want more octane have a
greater weighting in security 1 with the 30 SD.
The ROC columns are for visual purposes and can help you quickly
determine how strong a stock is. If all three ROC columns are green then
the security is strong. What I do here is look at the shorter term
ROC. Say the longer term ROCs are green but the shorter term ROC is
yellow or Red then that could be an indication that the current trend is
weakening or there is a change in trend altogether on the horizon.....then the
opposite is true. If LT ROCs are red but the ST ROC is yellow or green then
it is showing ST strength and it could be reversing.
YTD, 30D%, 10d%, etc are the % change for those periods
SPX and Nasdaq columns are the securities correlation to the
S&P 500 and Nasdaq composite
Finally EMA 170 & 50: shows if the security is rising
relative to its 170 and 50 day MAs. If it is 1 then it is rising, if it
is 0 then the stock is falling relative to these MAs.
I think I got it all covered. Like I said this is still a
work in progress and would appreciate any feedback. The first few columns
of the exploration are all relatively the same. What I would like to
do is incorporate some sort of ranking in this scan the uses a combination of
the three outputs. I haven't figured out the ranking part yet. I
saw the "osaka
plug in / ranking" posts from last week but I haven't had time to work
with them yet.
Jason
_______________________________
//Filter=Cross(PDI(14),MDI(14)) AND StochD(14) < 50;
Filter = C > 0;
a= MA(ROC(C,5),5);
a1 = MA(ROC(C,10),5);
a2= MA(ROC(C,20),5);
a3=MA(ROC(C,50),5);
a4=MA(ROC(C,100),5);
a5 = MA(ROC(C,200),5);
aa = Ref(MA(ROC(C,5),5),-5);
aa1 = Ref(MA(ROC(C,10),5),-5);
aa2 = Ref(MA(ROC(C,20),5),-5);
aa3 = Ref(MA(ROC(C,50),5),-5);
aa4 = Ref(MA(ROC(C,100),5),-5);
aa5 = Ref(MA(ROC(C,200),5),-5);
ab = Ref(MA(ROC(C,5),5),-10);
ab1 = Ref(MA(ROC(C,10),5),-10);
ab2 = Ref(MA(ROC(C,20),5),-10);
ab3 = Ref(MA(ROC(C,50),5),-10);
ab4 = Ref(MA(ROC(C,100),5),-10);
ab5= Ref(MA(ROC(C,200),5),-10);
x0 =
(a+aa+ab)*.35;
x1 =
(a1+aa1+ab1)*.65;
x2 =
(a2+aa2+ab2)*(1.65);
x3 =
(a3+aa3+ab3)*(1.75);
x4 =
(a4+aa4+ab4)*(1.5);
x5 =
(a5+aa5+ab5)*(.65);
b = (C - MA(C,20))/C;
b1 = (C-MA(C,50))/C;
b2 = (C-MA(C,100))/C;
b3 = (C-MA(C,200))/C;
bb = (b*1.7)*100;
bb1 = (b1*2.0)*100;
bb2 = (b2*1.2)*100;
bb3 =
(b3*(1.2))*100;
z =
x0+x1+x2+x3+x4+x5+bb+bb1+bb2+bb3;
b = 1041231;
a=DateNum()==b;
i=ValueWhen(a,C);
ii = ((C-i)/i)*100;
week = ((C - Ref(C,-5))/ Ref(C,-5))*100;
Mth = ((C- Ref(C,-30))/Ref(C,-30))*100;
tenday =
((C - Ref(C,-10))/Ref(C,-10))*100;
Oneday =
((C - Ref(C,-1))/Ref(C,-1))*100;
j = Foreign("!spx", "c");
j1 = RelStrength("!spx");
j2 = RelStrength("!spx")/Ref(j1,-20);
j3 = RelStrength("!spx")/Ref(j1,-30);
j4 = RelStrength("!spx")/Ref(j1,-50);
j5 = RelStrength("!spx")/Ref(j1,-100);
j6 = RelStrength("!spx")/Ref(j1,-120);
j7 = RelStrength("!spx")/Ref(j1,-150);
j8 = RelStrength("!spx")/Ref(j1,-200);
mamPeriod
= 13;
mam = 100*(Close/MA(Close,
(2*mamPeriod) +1) -1);
mom= MA(MAm,5)*100;
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);
Combined =
(.50*final)+(.5*z);
CombinedI=
(.35*final)+(.35*z)+(.3*mom);
CombinedII=MA(CombinedI,25);
//Filter = CombinedI > CombinedII AND Cross(PDI(14),MDI(14))
AND z-Ref(z,-5) > 20;
//Filter = final > 10 AND Cross(PDI(14),MDI(14));
PositionSize = -25;
Buy = final > 10
AND Cross(PDI(14),MDI(14)) AND
z-Ref(z,-10) > 15 AND ADX(14) > Ref(ADX(14),-5);
Sell = Cross(MDI(14),PDI(14)) OR
Cross(Signal(),MACD());
ApplyStop(
stopTypeNBar, stopModeBars, 70, True
);
AddTextColumn(FullName(),"Name",5);
ro11 = MA(ROC(C,20),10);
ro1 = MA(ROC(C,50),10);
ro2 = MA(ROC(C,120),10);
AddColumn(z,"TotalB");
AddColumn(CombinedII,"RSC");
AddColumn(Ref(z,-10), "B -10 dys");
AddColumn(z-Ref(z,-10), "difference");
AddColumn(final,"RS",1.2,colorDefault,IIf(final==0,colorBlue,IIf(final>=Ref(final,-10),colorGreen,colorRed)));
AddColumn(Ref(final,-10),"10 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-10)>=Ref(final,-20),colorGreen,colorRed)));
AddColumn(Ref(final,-20),"20 days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-20)>=Ref(final,-30),colorGreen,colorRed)));
AddColumn(Vol5,"ST SD");
AddColumn(vol6,"Hist SD");
AddColumn(ro11,
"ROC20",1.2,colorDefault,IIf(ro11>0 AND
ro11<5,colorYellow,IIf(ro11 > 5 ,colorGreen,colorRed)));
AddColumn(ro1,
"ROC50",1.2,colorDefault,IIf(ro1>0 AND
ro1<5,colorYellow,IIf(ro1 > 5 ,colorGreen,colorRed)));
AddColumn(ro2,
"ROC120",1.2,colorDefault,IIf(ro2>0 AND
ro2<5 ,colorYellow,IIf(ro2 > 5 ,colorGreen,colorRed)));
AddColumn(ii,
"YTD%",1.2,colorDefault,IIf(ii> 0 ,colorGreen,colorRed));
AddColumn(Mth,
"30d %",1.2,colorDefault,IIf(Mth> 0 ,colorGreen,colorRed));
AddColumn(tenday,
"10d %",1.2,colorDefault,IIf(tenday > 0.005 AND
tenday < 0.009
,colorYellow,IIf(tenday > 0 ,colorGreen,colorRed)));
AddColumn(week,
"5d %",1.2,colorDefault,IIf(week > 0.005 AND
week < 0.009 ,colorYellow,IIf(week > 0 ,colorGreen,colorRed)));
AddColumn(oneDay,
"1d %",1.2,colorDefault,IIf(oneDay > 0.005 AND
oneDay < 0.009
,colorYellow,IIf(oneDay > 0 ,colorGreen,colorRed)));
RS1=Foreign("!spx","C");
RS2 = Foreign("!comp","C");
Corr1 = ROC(RS1,1);
Corr2 = ROC(C,1);
Corr3 = ROC(RS2,1);
Corr4 = ROC(C,1);
test=Correlation(corr1,Corr2,20);
test1=Correlation(Corr3,Corr4,30);
test=Correlation(Corr1,Corr2,125);
test1=Correlation(Corr3,Corr4,125);
AddColumn(test,"SPX");
AddColumn(test1,"Nasdaq");
rising = EMA(C,170) > Ref(EMA(C,170),-47);
rising1 = EMA(C,50) > Ref(EMA(C,50),-25);
rising ==1;
rising1==1;
AddColumn(rising,"ema 170");
AddColumn(rising1,"ema 50");