Good afternoon,
Just to join in for the discussion of this interesting topic...
The Relative Strength from IBD concept is to compare the whole
market's stocks to find out the best performers. Therefore, it
should not be just using some kind of weighted ROC or momentum
calculation based purely on individual stock.
So, the individual stock should benchmark with a index. Such as S&P
1500, Russell 3000, or Wilshire 5000 index. (It all depends on the
DataBase the person used... Since I only keep S&P1500, I would just
use S&P1500 index...)
In order just to plot the RS curve, one can take the following
routine from AFL library... by "Don McKay" posted on 2004-01-15.
//--------------8<-----------------------
/* Relative Strength Comparison with Relative Strength Moving
Average*/
RSTick = ParamStr("Base Ticker","^SPSUPX");
//RSTick = "^GSPC"; //Replace with ticker of your choice
WMAvalue = Param("RelStre WMA", 30, 1, 55, 1);
Plot ( RelStrength( RSTick),"RelStrength "+ Name() + " VS "+
RSTick, -8 );// Plot Relative Strength
Plot (WMA( RelStrength( RSTick),WMAvalue)," RelStrength WMA "+
WMAvalue,
colorBrightGreen, styleLine);
//--------------8<-----------------------
The routine would plot the Relative Strength Graph as display on IBD
Charts.
The next step would then be...
a) Normalization of the Relative Strength Graph
b) Ranking...
For:
a) Normalization of the RS Graph:
One has to determine the Look Back Period as reference point. This
can set as variable, so that it can do adjustment and comparison...
Then find out the current changes in PERCENT with reference to the
Look Back Period. (The Result will be used for ranking, let call it
RS_Data).
b) Ranking...
Do a Scan through all the database stocks and AddtoColumn for the
RS_Data...
Export the Data to Excel.
Use Excel Data sorting tools to sort the data from Big to Small, and
then normalized the Rank from 1-100. (If it has 1500 stocks, then 15
stocks rank 100 and so on...)
Best Regards
KH Tang
--- In [email protected], "Don Lindberg" <[EMAIL PROTECTED]> wrote:
>
> Fred,
> Thanks for the code. It is awful close to the IBD charts in the
paper, just
> a bit more choppier than IBD's version. I am playing around with
applying
> different moving averages to see if I can pull it closer to
O'Niel's version
> I'm getting closer. Thanks for your help.
>
> Don
>
>
> -------Original Message-------
>
> From: Fred S. Esch
> Date: 9/6/2006 9:23:11 PM
> To: [email protected]
> Subject: RE: [amibroker] IBD Relative Strength
>
> Dear Don,
> I included an exponential moving average of the ROC to identify
trend
> changes. I agree with Randy's post that being able to rank all
stocks
> against each other in a 1-99 ranking system would be great. My
sense is
> that it can be done but I'm not familiar enough with AFL to do it.
>
> Regards,
>
> Fred
>
> //IBD Weighted ROC
> //Ideally would like to compare an ROC of a stock vs all other
stocks and
> rank them 1-99.
>
> Per = Param("Per",63,5,250,1);
> IBDroc = ((C-Ref(C,-63)/Ref(C,-63))*0.4 + (C-Ref(C,-126)/Ref(C,-
126))*0.2 +
> (C-Ref(C,-189)/Ref(C,-189))*0.2 + (C-Ref(C,-252)/Ref(C,-
252))*0.2)*100;
> IBDrocMA = EMA(IBDroc,Per);
> Plot(IBDroc,"IBD Weighted ROC",colorBlue,styleLine);
> Plot(IBDrocMA,"EMA of IBDroc",colorBlue,styleDashed);
>
>
>
>
> From: [email protected] [mailto:[EMAIL PROTECTED]
On Behalf
> Of Randy Harmelink
> Sent: Wednesday, September 06, 2006 6:03 PM
> To: [email protected]
> Subject: Re: [amibroker] IBD Relative Strength
>
> On 9/6/06, Don Lindberg <[EMAIL PROTECTED]> wrote:
> > I am trying to create an indicator that will mimic the Relative
> > Strength Line from the IBD newspaper charts. Using the default RS
in
> > AmiBroker does not give same graph. I also use Worden's Tel-
Chart,
> > and I am able to get the indicator in TC to work correctly with
the
> > folowing formula:
> > ((((C - C63) / C63) * .4) + (((C - C126) / C126) * .2) + (((C -
> > C189) / C189) * .2) + (((C - C252) / C252) * .2))*100
>
> I believe the calculation would be:
>
> ((((C - C63) / C63) * .4) + (((C63 - C126) / C126) * .2) + (((C126
- C189) /
> C189) * .2) + (((C189 - C252) / C252) * .2))*100
>
> ....but all that will give you is an weighted quarterly ROC with
the most
> recent quarter double-weighted.
>
> > Now my question is, can anyone adapt this indicator code for use
in
> > AmiBroker, so I can have an IBD Relative Strength Line in my AB
charts
> > as well?
>
> The calculation above would only compute the weighted ROC for a
single stock
> In order to create the IBD relative strength line, you now need
to rank
> the weighted ROC of that stock against the weighted ROC of all
other stocks,
> then group the rankings from 1 to 99.
>
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