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I use the rank of each stock in my hotlist relative to the overall
market - maybe that is close to your Comparative Relative Strength.
So I take the Rank of some XYZ stock and compare it to the Rank of the
overall market. I'm using the ETF VTI, which is an index of 5000
stocks as a measure of the overall market - similar to Vector Vest
VVC. It backtests the best for my hot stock list. So for RSI it
would be RSI(XYZ) - RSI(VTI) - Obviously positive values would mean
the stock is out performing the market.
My overall system has two entry elements and 5 exit tests along with
money management, position sizing and market timing elements. I have
been using it for several years - works well for me.
I should note that selecting stocks for inclusion in my hotlist is the
most important element of the system. The system would generally work
(though not as well) without any TA stuff at all.
Reef-Break
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> wrote:
>
> 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@> 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
> >
> > ------------------------------------
> >
> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> > Yahoo! Groups Links
> >
> >
> >
>
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