Re: [amibroker] Question on RS - one more exploration

[Jason Hart <jayhart_1972@xxxxxxxxx>]

This is a useful scan that was in the AFL library

 

JAson 

 

EnableRotationalTrading();

SetOption("WorstRankHeld", 5);

PositionSize = -100;

PositionScore = 0;

WatchlistNum = 1;

Filter=1;

NumColumns=0;

function CalculatePosition(st, Lt1, Lt2, Lt3, Lt4, Lt5, Lt6)

{

score=0;

if(st > Lt1) score++;

if(st > Lt2) score++;

if(st > Lt3) score++;

if(st > Lt4) score++;

if(st > Lt5) score++;

if(st > Lt6) score++;

return score;

}

 

// walk through the watchlist grabbing all the symbols to calculate RS vsourse

List = CategoryGetSymbols(categoryWatchlist, WatchlistNum);

for(i=0; (sym = StrExtract(List, i)) != "";i++)

{

if(sym != Name())

{

f = RelStrength(sym);

st3 = EMA(f, 3);

st5 = EMA(f, 5);

st8 = EMA(f, 8);

st12 = EMA(f, 12);

st15 = EMA(f, 15);

Lt30 = EMA(f, 30);

Lt35 = EMA(f, 35);

Lt40 = EMA(f, 40);

Lt45 = EMA(f, 45);

Lt50 = EMA(f, 50);

Lt60 = EMA(f, 60);

z=BarCount - 1;

// uncomment the following if you want to do some backtesting or if you likewaiting around

// a long time for the exploration to complete

//for(z=0;z < BarCount;z++)

{

PositionScore[z] = PositionScore[z] + CalculatePosition(st3[z], Lt30[z],

Lt35[z], Lt40[z], Lt45[z], Lt50[z], Lt60[z]);

PositionScore[z] = PositionScore[z] + CalculatePosition(st5[z], Lt30[z],

Lt35[z], Lt40[z], Lt45[z], Lt50[z], Lt60[z]);

PositionScore[z] = PositionScore[z] + CalculatePosition(st8[z], Lt30[z],

Lt35[z], Lt40[z], Lt45[z], Lt50[z], Lt60[z]);

PositionScore[z] = PositionScore[z] + CalculatePosition(st12[z], Lt30[z],

Lt35[z], Lt40[z], Lt45[z], Lt50[z], Lt60[z]);

PositionScore[z] = PositionScore[z] + CalculatePosition(st15[z], Lt30[z],

Lt35[z], Lt40[z], Lt45[z], Lt50[z], Lt60[z]);

}

}

}

AddTextColumn(FullName(), "Name");

AddColumn(PositionScore[BarCount - 1], "RS");

_______________________________________________________________
Quad Rate Serial Abby <quad_pumped_abby@xxxxxxxxx> wrote:

> I would like to do an exploration for the change in RS of a sector
> over various periods, say one week, two weeks, etc.  I extracted the
> RS of the sector versus the S&P Equal Weight Index using:
>
> Strength = RelStrength ( "SPEW-X", fixup = 1 );
>
> Then I found the change over the time periods in question.
>
> Of course, when you look at a plot of the RS for a symbol or sector it
> appears the numerical value of the RS is directly correlated to the
> price of the underlying.  Thus, the numerical change in RS would be
> meaningless against a different priced sector.  
>
> I thought the simple solution was to divide the RS value by the
> closing price, thus normalizing the results.  But this caused the RS
> charts and values to be identical for every sector.  
>
> Is what I'm trying to do an impossibility with Amibroker or is
>  my
> approach all wrong?  Any help would be appreciated.
>
> Thanks,
>
> Bret
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to 
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html

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For other support material please check also:
http://www.amibroker.com/support.html

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