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I have done some work with RS and I think OM is correct you will probably
find better results
if you increase your lookback period.
you seem to be looking for stocks showing change (strength or weakness) with
their
own sectors. this may keep the spread small as you know most times these
move in
the same direction.
Another way (more work) would be to do RS for the sectors find the highest
relative strength
sectors and then look at the RS of the individual stocks in each sector and
compare their
relative strength ranking against each other ... hopefully giving you the
strongest of the sector.
Just another way
Randy Smith
----- Original Message -----
From: <editorial@xxxxxxxxxxxxx>
To: "Barry Silberman" <barry@xxxxxxxxxxxxxxxxxxxxx>
Cc: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Saturday, March 04, 2000 2:44 PM
Subject: Re: Help with EL for relative strength of stock vs sector
>
> 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}
>
>
>
>
>
>
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