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I guess the obvious question is why not use RSI.
After you say that, you can consider Rate of Change (ROC) or take the
Stochastic of ROC if you want it bounded and smoothed.
You can also use the Linear Regression Slope (converted to % per day
to allow comparison, of course)
Other ideas are to the calculate the slope of some averager like MA,
EMA, WMA etc by 100 * ( (Ref(MA(Close, 20), -3) - MA(Close, 20)) /
Ref(MA(Close, 20), -3))
Consider a reversion-to-mean approach - take the worst ranked stock on
the list and buy it.
Others have used the Sharpe or Sortino Ratios as rankers
A fun thing to do is to take all of the above (or more) and set up an
AFL with a CASE/SWITCH statement so you can easily switch between the
different rankers and compare their results in a backtest - And a
second CASE/SWITCH that uses several different types of market timing
- make sure you include no timing - just in case things get worse.
Also consider other hot stock lists like those from Stock Scouter or
Valueline or BarChart or VectorVest - you will find there is quite a
difference.
Easily a few months work
Reef-Break
--- In amibroker@xxxxxxxxxxxxxxx, "dralexchambers"
<dralexchambers@xxx> wrote:
>
> Hi,
>
> Does anyone have an idea how to rank the best performing stocks by
> Relative Strength - similar to the 1-100 scale used by Investors
> Business Daily?
>
> I plan to use the AFL in an exploration I would run once a week to
> identify the fastest moving up or down stocks.
>
> Thanks,
> Alex
>
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