Many, many moons ago … there was a discussion on QP's calculation of RS and whether to change it to better reflect an IBD-like RS calculation:
http://finance.groups.yahoo.com/group/quotes-plus/message/7895 I believe the new calc was never implemented but the calculation proposed is discussed in the message. Regards On Tue, Feb 26, 2008 at 2:28 PM, Joe Landry <[EMAIL PROTECTED]> wrote: > Lee - I don't the context of your question but hope none of what I > wrote below strikes you the wrong way. Thought I'd give you the background > that I have when I went chasing after the same metric. > > The RS that you've got is a measure of the price change for a specific > stock over 12 months with a different weighting for each quarter. I like to > think of it as a measure of momentum(but then I've been wrong before) > Unless you take it the next step the there does not rank it against all the > other stocks. Now if you find the percentile rank of that stock to all the > other RS of those stocks then you might be close, but you'd have to know > what IBD considers it's family. > > From Motley Fool - The other Relative Strength yardstick we keep in the > Workshop toolbox is the Investor's Business > Daily<http://www.investors.com/>Relative Strength score. Every day, IBD > measures each stock's relative price > change over the last 12 months compared to all other stocks in their tables > (all AMEX, NYSE and Nasdaq stocks). The most recent three-month period is > given double weight. IBD then ranks all the stocks by that value. The top 1% > are given the Relative Strength score of 99, the next 1% are assigned rank > 98, etc., down to the lowest of the low, the stocks that have been beaten by > 99% of all stocks -- rank 1. > > Thus, a Relative Strength ranking of 90 from IBD tells you that the stock > has done better than 90 percent of the stocks in IBD's stock tables. This 1 > to 99 score makes for a nice "no math required" RS screening criteria, all > for the price of a newspaper. > > Now with a subscription to Quotes Plus you'll get the following. > QRSRank=GetExtraData("qrs"); Only it won't line up with IBD's. It's been a > while since I worked it and as I remember it was in the ball park, and there > are a lot of reasons why it will be different and I think the key factor is > "what are the stocks in Gary Lyben's Quotes Plus family compared to > IBD's". Maybe the IBD proprietary secrets justify the price of a full IBD > Daily Graphs subscription/database. > > *Relative Strength( DayNum ) > *Returns the relative strength for the selected date. The Quotes Plus > Relative Strength is calculated by comparing the performance of each issue > for the past 4 quarters to the performance of every other issue in the > database over the same time. The most recent quarter is given twice the > weight of the previous 3 quarters. > > The relative strength value ranges from 0 to 99. A value of 99 means that > the issue has performed better than 99% of the other issues in the database. > *DayNum* must be <= 0. > > And there's a study in the AB forum files section - a 24 page PDF document > written and published by some guys at Columbine Capital Services .. the > title of the file is Alpha and RS Columbine. This is where I first the > formula used > > Hope this helps in some way > > JOE > > > > > You can get something akin to this in Quotes Plus and it comes through to > Amibroker as GetExtraData( > *From:* lee.dixon <[EMAIL PROTECTED]> > *To:* amibroker@yahoogroups.com > *Sent:* Tuesday, February 26, 2008 9:18 AM > *Subject:* [amibroker] IBD RS Ranking > > I'm trying to create a comparative relative strength > ranking that is similar to that of Investors Business Daily - that is > between 0 and 100. The AFL I'm using is: > > Filter = C > 5 AND V>100000; > RS_Rank = ((((C - Ref(c,-63))/Ref(c,-63) *.4 + (C - Ref(c,-126))/Ref > (c,-126) * .2 + (C - Ref(c,-189))/Ref(c,-189) *.2 + (C-Ref(c,-252))/Ref > (c,-252) * .2)) * 100; > Addcolumn(C,"Close",1.2); > Addcolumn(RS_Rank, "RS_Rank",1.2); > > ----- Original Message ----- > *From:* lee.dixon <[EMAIL PROTECTED]> > *To:* amibroker@yahoogroups.com > *Sent:* Tuesday, February 26, 2008 9:18 AM > *Subject:* [amibroker] IBD RS Ranking > > I'm trying to create a comparative relative strength > ranking that is similar to that of Investors Business Daily - that is > between 0 and 100. The AFL I'm using is: > > Filter = C > 5 AND V>100000; > RS_Rank = ((((C - Ref(c,-63))/Ref(c,-63) *.4 + (C - Ref(c,-126))/Ref > (c,-126) * .2 + (C - Ref(c,-189))/Ref(c,-189) *.2 + (C-Ref(c,-252))/Ref > (c,-252) * .2)) * 100; > Addcolumn(C,"Close",1.2); > Addcolumn(RS_Rank, "RS_Rank",1.2); > > >
