Exploration for Relative Strength Setups

[timgadd@xxxx]

For those Amibroker users who use Relative Strength chart analysis, 
here's an exploration I use to identify issues that are making 
anomolous relative strength moves. These are not buy/sell signals, 
but entry setups. Once identified, I then look at the price and 
relative strength comparative charts for the actual entry decisions 
using good old chart analysis. The object is to identify new market 
leaders when they begin to make their move.

The first part of the filter identifies those issues that are 
outperforming a broad market index over the period (T). I select a 
period based on trend characteristics of the index.

The second part of the filter identifies when the relative strength 
comparative line has made a 1, 2, 3, or 4 day change that is one and 
one-half times greater than the average of the absolute values of the 
1, 2, 3, or 4 day relative strength changes over the period (T). Note 
that the relative strength comparative line does not necessarily use 
the same broad market index as used in the first part of the filter.

The third part of the filter identifies when the 1, 2, 3, or 4 day 
price rate of change is one and one-half times greater than the 
average of the absolute values of the 1, 2, 3, or 4 day price ROC over 
the period (T).

I'd love to hear how others are using Amibroker for relative strength 
analysis.

Tim Gadd

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// Relative Strength Setups - Tim Gadd

T = 46;
RS = RelStrength("");

Filter = ROC(C,T) >= ROC(Foreign("^VAY","Close"),T) OR

(((ROC(RS,1)/MA(abs(ROC(RS,1)),T)) > 1.5 OR
(ROC(RS,2) / MA(abs(ROC(RS,2)),T)) > 1.5 OR
(ROC(RS,3) / MA(abs(ROC(RS,3)),T)) > 1.5 OR
(ROC(RS,4) / MA(abs(ROC(RS,4)),T)) > 1.5)

OR

((ROC(C,1)/MA(abs(ROC(C,1)),T)) > 1.5 OR
(ROC(C,2) / MA(abs(ROC(C,2)),T)) > 1.5 OR
(ROC(C,3) / MA(abs(ROC(C,3)),T)) > 1.5 OR
(ROC(C,4) / MA(abs(ROC(C,4)),T)) > 1.5));

NumColumns = 9;

Column0 = ROC(C,T);
Column0Name = "ROC(T)";

Column1 = ROC(C,1) / MA(abs(ROC(C,1)),T);
Column1Name = "RelROC(1/T)";
Column2 = ROC(RS,1) / MA(abs(ROC(RS,1)),T);
Column2Name = "RelRS(1/T)";


Column3 = ROC(C,2) / MA(abs(ROC(C,2)),T);
Column3Name = "RelROC(2/T)";
Column4 = ROC(RS,2) / MA(abs(ROC(RS,2)),T);
Column4Name = "RelRS(2/T)";

Column5 = ROC(C,3) / MA(abs(ROC(C,3)),T);
Column5Name = "RelROC(3/T)";
Column6 = ROC(RS,3) / MA(abs(ROC(RS,3)),T);
Column6Name = "RelRS(3/T)";

Column7 = ROC(C,4) / MA(abs(ROC(C,4)),T);
Column7Name = "RelROC(4/T)";
Column8 = ROC(RS,4) / MA(abs(ROC(RS,4)),T);
Column8Name = "RelRS(4/T)";