Re: Help with EL for relative strength of stock vs sector

[editorial@xxxxxxxxxxxxx]

Overall, I see no problem with your version of "relative strength"...  no inherent problems with the code.

You might want to try some longer values for the input RatioLen.  You might even try optimizing it for values between, say, 5 and 400 (stepping through your optimization values by five at a time - 5, 10, 15, 20...).

Traditionally, relative price strength is viewed over fairly long periods of time...  most commonly somewhere between 30 and 200 days for EOD use.


Good trading,

OM



-- Barry wrote: 
> In trying to backtest  improvements to entries for
> EOD trading with equities I came up with the 
> following code to measure relative strength of an
> individual stock (data1) as compared with a sector
> (Data2).  Although the code seems to work, it 
> suprisingly improves the entries only marginally.
> 
> Can someone tell me if there is a flaw in the
> reasoning or a  better way to approach this concept
> of relative strength.
> 
> The code I'm using is as follows:
> 
> {Sector Strength Filter
> Data1 = individual stock
> Data2 = sector  }
> 
> INPUTS: RatioLen(5);
> Variable: spread_B(0), DataOne(0), DataTwo(0);
> 
> DataOne = xaverage(close data1, RatioLen);
> DataTwo = xaverage(close data2, RatioLen);
> 
> If DataTwo <> 0 then
> Spread_B = DataOne / DataTwo;
> 
> Condition1 = spread_B - spread_B[1] > 0 ;   {For Long
> entry}
> Condition2 = spread_B - spread_B[1] < 0;   {for short
> entry}