Re: [amibroker] IBD RS Ranking, AmiBroker Email List Archive

Many, many moons ago … there was a discussion on QP's calculation of RS and whether to change it to better reflect an IBD-like RS calculation:

I believe the new calc was never implemented but the calculation proposed is discussed in the message.

On Tue, Feb 26, 2008 at 2:28 PM, Joe Landry <jelandry@xxxxxxxxxxxxx> wrote:

Lee - I don't the context of your question but hope none of what I wrote below strikes you the wrong way. Thought I'd give you the background that I have when I went chasing after the same metric.

The RS that you've got is a measure of the price change for a specific stock over 12 months with a different weighting for each quarter. I like to think of it as a measure of momentum(but then I've been wrong before) Unless you take it the next step the there does not rank it against all the other stocks. Now if you find the percentile rank of that stock to all the other RS of those stocks then you might be close, but you'd have to know what IBD considers it's family.

From Motley Fool - The other Relative Strength yardstick we keep in the Workshop toolbox is the Investor's Business Daily Relative Strength score. Every day, IBD measures each stock's relative price change over the last 12 months compared to all other stocks in their tables (all AMEX, NYSE and Nasdaq stocks). The most recent three-month period is given double weight. IBD then ranks all the stocks by that value. The top 1% are given the Relative Strength score of 99, the next 1% are assigned rank 98, etc., down to the lowest of the low, the stocks that have been beaten by 99% of all stocks -- rank 1.

Thus, a Relative Strength ranking of 90 from IBD tells you that the stock has done better than 90 percent of the stocks in IBD's stock tables. This 1 to 99 score makes for a nice "no math required" RS screening criteria, all for the price of a newspaper.

Now with a subscription to Quotes Plus you'll get the following. QRSRank=GetExtraData("qrs"); Only it won't line up with IBD's. It's been a while since I worked it and as I remember it was in the ball park, and there are a lot of reasons why it will be different and I think the key factor is "what are the stocks in Gary Lyben's Quotes Plus family compared to IBD's". Maybe the IBD proprietary secrets justify the price of a full IBD Daily Graphs subscription/database.

Relative Strength( DayNum )
Returns the relative strength for the selected date. The Quotes Plus Relative Strength is calculated by comparing the performance of each issue for the past 4 quarters to the performance of every other issue in the database over the same time. The most recent quarter is given twice the weight of the previous 3 quarters.

The relative strength value ranges from 0 to 99. A value of 99 means that the issue has performed better than 99% of the other issues in the database. DayNum must be <= 0.

And there's a study in the AB forum files section - a 24 page PDF document written and published by some guys at Columbine Capital Services .. the title of the file is Alpha and RS Columbine. This is where I first the formula used

Hope this helps in some way

JOE

You can get something akin to this in Quotes Plus and it comes through to Amibroker as GetExtraData(

From: lee.dixon

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, February 26, 2008 9:18 AM

Subject: [amibroker] IBD RS Ranking

I'm trying to create a comparative relative strength
ranking that is similar to that of Investors Business Daily - that is
between 0 and 100. The AFL I'm using is:

Filter = C > 5 AND V>100000;
RS_Rank = ((((C - Ref(c,-63))/Ref(c,-63) *.4 + (C - Ref(c,-126))/Ref
(c,-126) * .2 + (C - Ref(c,-189))/Ref(c,-189) *.2 + (C-Ref(c,-252))/Ref
(c,-252) * .2)) * 100;
Addcolumn(C,"Close",1.2);
Addcolumn(RS_Rank, "RS_Rank",1.2);

----- Original Message -----

From: lee.dixon

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, February 26, 2008 9:18 AM

Subject: [amibroker] IBD RS Ranking

I'm trying to create a comparative relative strength
ranking that is similar to that of Investors Business Daily - that is
between 0 and 100. The AFL I'm using is:

Filter = C > 5 AND V>100000;
RS_Rank = ((((C - Ref(c,-63))/Ref(c,-63) *.4 + (C - Ref(c,-126))/Ref
(c,-126) * .2 + (C - Ref(c,-189))/Ref(c,-189) *.2 + (C-Ref(c,-252))/Ref
(c,-252) * .2)) * 100;
Addcolumn(C,"Close",1.2);
Addcolumn(RS_Rank, "RS_Rank",1.2);