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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. 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: "Barry Silberman" <barry@xxxxxxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, March 04, 2000 12:25 AM
Subject: Help with EL for relative strength of stock vs sector
> 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}
>
>
> Thank you.
>
> Barry
>
>
>
>
>
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