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On Jan 22, 12:35pm, Randy wrote:
> Subject: Relative Strength Calculation
> Has anyone seen EL code for performing a relative strength ranking on a
> group of symbols . I have been trading Fidelity Select Funds since last
> July using the Relative Strength calculation from AIQ Trading Expert.
Relative Strength has a few different meanings depending upon the
context. In technical analysis, the RSI (relative strength index
gives an measure of where the price of a given equity is relative
to its recent high low range (generally measured 0 to 100). For
mutual funds and stocks, relative strength often is a measure of
how well a stock (or fund) is trading relative to a benchmark
index (like the S&P). The later relative strength value is
calculated in a few different ways: (1) one method is simply
to simply rank stocks based upon their percentage price gain
over a recent period, or weihting the gains over several periods,
and a (2) related method is regress the daily price changes
of a stock vs. the index (ie, the S&P), and use the resulting
"alpha" (y-intercept) value. Higher alphas indicate stronger
recent price performance relative to the overall market.
>
> I would like to use TS2K to perform the weekly ranking of funds and
> maybe save a few dollars on the AIQ data.
Probably the easiest thing is to simply calculate the recent percent
change in price, and rank them on that basis.
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