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Ed,
I'm afraid RSI or the other indicators you mentioned are NOT related to
Comparative Relative Strength - that' what Alex was asking for, IMHO.
Alex: You should use the RELSTRENGTH function in AB - see
http://www.amibroker.com/guide/afl/afl_view.php?id=123 . I don't know
how IBD is doing it, but you could, e.g., calculate an ROC on RS and
use that for sorting your exploration. You can also use it as your
PositionScore in backtesting.
And you should also consider Alpha (and its ROC) as a possible
alternative to RS - see
http://www.amibroker.com/library/detail.php?id=157 .
Thomas
> 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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