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Hello Sanford,
There is an indicator called AccuTrack that comes with FastTrack
software. They use it for mutual fund switching. Here is Nelson
Freeburg's (Formula Research, v VI, No.7) definintion:
"After the close, calulcate the daily percentage change of Fund1 and
Fund2. Then smooth each series with a long-term exp moving average
(EMA). Throughout the study we used 48-day smoothing but a wide range
of settings will work.
Next, subtract the Fund2 series from the Fund1 series. Smooth that
difference with a short-term EMA, in this case a 12-day EMA."
So it is the sort term ema of the spread of two long term ema's of %
Daily price change.
Best regards,
Jim Johnson
Sunday, June 03, 2001, 7:25:03 PM, you wrote:
SM> I'd like to examine the relative strength or weakness of two securities on
SM> intraday charts. (That is, I am not interested in the Relative Strength
SM> Index.) I'd like to know, for example, of two securities, which often move
SM> together, whether one is a bit stronger on the day than the other.
SM> In looking around for indicators, all I have found are spreads, either
SM> differences or ratios, of the two securities. When compared on
SM> automatically scaled charts, both differences and ratios have remarkably
SM> similar behavior, specifically in the locations and magnitudes of local
SM> extrema. (Perhaps this is not surprising since one is just a log
SM> transformation of the other). But neither seems to capture what I'm
SM> looking for. Looking at these spreads seems to offer no more insight into
SM> the relative strength of the securities than simply eyeballing and
SM> comparing the individual charts.
SM> Are there other well-know indicators of comparative strength that I have
SM> missed? I haven't come across anything else yet.
SM> Thanks,
SM> Sandy Morton
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